# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007183
**Filing Date:** 2026-5
**Character Count:** 665274
**Document Hash:** b97a0432018ca5243350db11d71de984
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007183.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007183

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043340

**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 Global Bond Opportunities Fund (U.S. Dollar-Hedged) (Series ID: S000009682)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026534 | Institutional | PGBIX           |
| C000026536 | A             | PAIIX           |
| C000026538 | C             | PCIIX           |
| C000064136 | I-2           | PGNPX           |

## 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 Global Bond Opportunities Fund (U.S. Dollar-Hedged)

- **b. EDGAR series identifier (if any):** S000009682

- **c. LEI of Series:** 549300F3V4IM7FBY9U59

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $4730406281.67

**Total Liabilities:** $2897337074.54

**Net Assets:** $1833069207.13

**Delayed Delivery Securities:** $156282.64

**Cash Not Reported:** $20544632.48

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 467222.474900 | **1-Year:** 97283.150000 | **5-Year:** 416148.092300 | **10-Year:** 157532.132900 | **30-Year:** -43960.060100

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

- **3-Month:** 4144.908400 | **1-Year:** 16584.808200 | **5-Year:** 38831.623300 | **10-Year:** 11144.176200 | **30-Year:** 6.670600

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026536 | 0.37%                | 0.57%                | -3.07%               |
| Class ID C000026538 | 0.30%                | 0.51%                | -3.13%               |
| Class ID C000064136 | 0.39%                | 0.59%                | -3.05%               |
| Class ID C000026534 | 0.40%                | 0.60%                | -3.04%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4752457.43              | $5150976.10                                |
| Month 2  | $2794193.12              | $11057622.53                               |
| Month 3  | $-2871281.90             | $-53862284.89                              |

**Designated Index Information**

- **Index Name:** Bloomberg Global-Aggregate Total Return Hedged Index

- **Index Identifier:** LEGATRUH

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                                    | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A             | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1064 | PA      | $1059.73      | 0.00%             | 2031-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $16436.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $29696.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 08/33 2             | CUSIP: BMXC0WII0<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     2400000 | PA      | $1318312.66   | 0.07%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $7904.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-3448.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS SGD SIBSORA/2.00000 09/16/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |           1 | NC      | $414905.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.01000 03/31/26-28Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $221074.43    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $20287.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-242794.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-211486.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.50000 12/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-97972.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                 | ONEOK INC COMPANY GUAR 09/27 4.25                         | CUSIP: 682680CB7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1895737.96   | 0.10%             | 2027-09-24      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUND FUTURE  JUN26 XEUR 20260608                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -802 | NC      | $2441983.33   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080022 G2 12/26 FLOATING VAR                 | CUSIP: 36225CAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          13 | PA      | $13.30        | 0.00%             | 2026-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-212.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260409                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2181.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY1579 FR 04/55 FIXED 6.5               | CUSIP: 31426KXH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      895065 | PA      | $926790.42    | 0.05%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM2007 FN 09/48 FIXED VAR                       | CUSIP: 3140J6GR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      219983 | PA      | $210802.98    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $32621.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260508                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2638.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $26292.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                      | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A       | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3900000 | PA      | $4508319.83   | 0.25%             | 2035-07-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260729                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $10539.29     | 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      | $-36388.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-538.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $24602.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-110.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/32 3.375    | CUSIP: ACI2V6L67<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     1800000 | PA      | $2017906.43   | 0.11%             | 2032-03-05      | Fixed         | 3.38%                 | 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        |    48561000 | PA      | $15134861.28  | 0.83%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2026.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20260401                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-234585.36   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.50000 03/19/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-13326.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO XIV DAC 14A                                            | HAYFIN EMERALD CLO HAYEM 14A A 144A                       | CUSIP: ACI2SSWQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     6200000 | PA      | $7165576.24   | 0.39%             | 2039-01-22      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-43421.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-3153.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                       | NEXTERA ENERGY CAP HLDGS INC                              | CUSIP: 65339ND76<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      400000 | PA      | $399691.24    | 0.02%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.99798 06/30/26-27Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $13215.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | AUST 10Y BOND FUT JUN26 XSFE 20260615                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |       -1026 | NC      | $466663.05    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GSC CAPITAL CORP MORTGAGE TRUST 2006-2                                    | GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 2 A1             | CUSIP: 362480AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      644013 | PA      | $639213.81    | 0.03%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $4216.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-18210.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4              | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    10300000 | PA      | $2812158.40   | 0.15%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.42145 07/06/26-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $11230.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.7547* 03/13/26-10Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $27668.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF JAPAN INC (DBJ)                                       | DEVELOPMENT BK OF JAPAN SR UNSECURED 144A 08/27 4         | CUSIP: 25159MBP1<br>LEI: 5493001HGBABMWFZUI25 | Long             | DBT              | CORP              | JP        |     2700000 | PA      | $2697648.33   | 0.15%             | 2027-08-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                | BUONI POLIENNALI DEL TES SR UNSECURED REGS 04/28 3.4      | CUSIP: ACI2BGT93<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    19300000 | PA      | $22541249.98  | 1.23%             | 2028-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC1355 FN 09/54 FIXED 6.5                       | CUSIP: 3140ANQH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1710129 | PA      | $1769197.15   | 0.10%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOUTH KOREA GOVT AS BP MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-97977.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2025-NQM3                                    | BARCLAYS MORTGAGE LOAN TRUST BARC 2025 NQM3 A1 144A       | CUSIP: 06745VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9492384 | PA      | $9538456.08   | 0.52%             | 2065-05-25      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.72250 12/01/30-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $632203.23    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                       | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1               | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26319 | PA      | $24338.48     | 0.00%             | 2044-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 07/33 4.875    | CUSIP: 80413TBD0<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      500000 | PA      | $494572.54    | 0.03%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260608                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $545952.56    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 11/40 1.375                               | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      500000 | PA      | $322236.33    | 0.02%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                               | CUSIP: 912797QD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      200000 | PA      | $199698.25    | 0.01%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                       | ELEVANCE HEALTH INC                                       | CUSIP: 28621BDD4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1048473.62   | 0.06%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-4                                            | LUMINENT MORTGAGE TRUST LUM 2006 4 A1A                    | CUSIP: 55027BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      811590 | PA      | $723484.81    | 0.04%             | 2046-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25       | CUSIP: BKVDQPII1<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     2600000 | PA      | $1448568.35   | 0.08%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $3179.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2                            | AMERICAN HOME MORTGAGE INVESTM AHM 2007 2 13A1            | CUSIP: 02660CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      802869 | PA      | $465046.06    | 0.03%             | 2047-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BRACCAN MORTGAGE FUNDING 2025-1 PLC 25-1A                                 | BRACCAN MORTGAGE FUNDING BRACN 2025 1A A 144A             | CUSIP: ACI2X1P88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      686887 | PA      | $909072.38    | 0.05%             | 2067-05-17      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-353293.23   | -0.02%            |  |  |  | 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        |    15100000 | PA      | $881544.63    | 0.05%             | 2026-06-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260803                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $5241.42      | 0.00%             |  |  |  | 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        |    37705658 | PA      | $39015183.93  | 2.13%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-990.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM3972 FN 07/50 FIXED VAR                       | CUSIP: 3140X7MW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      608225 | PA      | $565081.81    | 0.03%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260409                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $12508.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260724                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $57392.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260721                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-25300.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-941.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO III DESIGNATED ACTIVITY CO 3A                      | BLACKROCK EUROPEAN CLO DAC BECLO 3A AR 144A               | CUSIP: ACI1Y3X37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2500000 | PA      | $2886634.79   | 0.16%             | 2035-07-19      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                             | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/35 FIXED 5.102    | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      418654 | PA      | $429049.24    | 0.02%             | 2035-04-01      | Fixed         | 5.10%                 | 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        |      618338 | PA      | $571562.47    | 0.03%             | 2036-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-442212.41   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $43422.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-SB1                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 SB1 A1A         | CUSIP: 41162BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35928 | PA      | $33665.52     | 0.00%             | 2036-12-19      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.65000 05/11/22-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-46938.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-33385.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8448 FR 07/54 FIXED 6.5               | CUSIP: 3132DWL50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1271337 | PA      | $1315978.35   | 0.07%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $5062.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/36 5   | CUSIP: ACI2KMVF3<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     6900000 | PA      | $4611028.85   | 0.25%             | 2036-07-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $73.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBH7 PIMCO FXVAN PUT USD KRW 1400.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    10259500 | NC      | $30583.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 09/31 5.125                     | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1400000 | PA      | $1607089.52   | 0.09%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-9325.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-57926.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                   | GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25           | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |      600000 | PA      | $590110.01    | 0.03%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF4                                        | STRUCTURED ASSET SECURITIES CO SASC 2006 RF4 1A1 144A     | CUSIP: 863911AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      480867 | PA      | $405109.89    | 0.02%             | 2036-10-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-8035.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                        | F+G GLOBAL FUNDING SECURED 144A 09/28 VAR                 | CUSIP: 30321L2L5<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |     4100000 | PA      | $4112407.58   | 0.22%             | 2028-09-08      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/33 3.5                                 | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      800000 | PA      | $769875.00    | 0.04%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260403                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-356.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260417                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $36610.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $590681.43    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $9585.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260417                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-15189.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 5.125    | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     3400000 | PA      | $3436943.62   | 0.19%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-2581.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-37214.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-23917.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $31242.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                           | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR           | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     2300000 | PA      | $2373810.47   | 0.13%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00500 09/29/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $20522.53     | 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        |     2694260 | PA      | $2709995.36   | 0.15%             | 2055-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1         | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37668 | PA      | $16772.08     | 0.00%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-8                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 5A1            | CUSIP: 22541NX20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         269 | PA      | $278.57       | 0.00%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX6702 FR 02/55 FIXED 6.5               | CUSIP: 31426CNU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      668287 | PA      | $694671.56    | 0.04%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS NOK 4.50000 09/16/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NO        |           1 | NC      | $-2935.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                                       | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A        | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2696625.19   | 0.15%             | 2035-01-18      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM3243 FN 02/50 FIXED VAR                       | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      368515 | PA      | $341824.38    | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/2.96478 10/05/22-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $219122.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CROSS 2024-H8 MORTGAGE TRUST                                              | CROSS MORTGAGE TRUST CROSS 2024 H8 A1 144A                | CUSIP: 22757GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2311904 | PA      | $2320787.53   | 0.13%             | 2069-12-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2025-RPL1                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2025 RPL1 A1A 144A   | CUSIP: 16160VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3007043 | PA      | $2703687.18   | 0.15%             | 2065-04-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-6504.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-90                                                        | FANNIE MAE FNR 2002 90 A2                                 | CUSIP: 31392GEN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38285 | PA      | $38541.39     | 0.00%             | 2042-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/44 4.125                               | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    39575000 | PA      | $35915085.40  | 1.96%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 4.52250 12/01/30-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-244364.81   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                       | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1          | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31324 | PA      | $25026.92     | 0.00%             | 2037-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                        | MET LIFE GLOB FUNDING I SECURED 144A 01/31 4.35           | CUSIP: 59217GFU8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1781132.89   | 0.10%             | 2031-01-12      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 133 EC            | CUSIP: 38380HCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5077 | PA      | $4856.62      | 0.00%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                               | PHILLIPS 66                                               | CUSIP: 71855BD25<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2499446.75   | 0.14%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                    | REALKREDIT DANMARK COVERED REGS 01/27 1                   | CUSIP: ACI3558C8<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    44548000 | PA      | $6822695.84   | 0.37%             | 2027-01-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD 2024-2A                                                | NAVESINK CLO, LIMITED NAVS 2024 2A A1R 144A               | CUSIP: 63942YAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3000000 | PA      | $3000138.12   | 0.16%             | 2036-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-10511.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $22193.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $46290.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $52324.31     | 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      | $-1164.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-24686.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080011 G2 11/26 FLOATING VAR                 | CUSIP: 36225CAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          81 | PA      | $81.17        | 0.00%             | 2026-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.45100 05/27/25-25Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-592833.59   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOUTH KOREA GOVT AS BP MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-32659.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 1.00000 05/18/22-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-28067.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $62889.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.50000 03/18/26-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $177845.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-18                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 18 6A1           | CUSIP: 863579XK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29946 | PA      | $26917.33     | 0.00%             | 2035-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                       | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   580000000 | PA      | $3036260.99   | 0.17%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                              | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/35 5        | CUSIP: 00402AAB7<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |      900000 | PA      | $877124.39    | 0.05%             | 2035-05-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                   | BCAP LLC TRUST BCAP 2011 RR5 7A1 144A                     | CUSIP: 05534AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5277 | PA      | $5261.54      | 0.00%             | 2047-01-26      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                                   | FREDDIE MAC FHR 5511 FB                                   | CUSIP: 3137HKKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3194279 | PA      | $3220989.20   | 0.18%             | 2055-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL EURO CLO 2022-2 DAC 22-2A                                    | BAIN CAPITAL EURO CLO BCCE 2022 2A ARR 144A               | CUSIP: ACI2ZP3K0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2700000 | PA      | $3119274.52   | 0.17%             | 2038-01-22      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $155661.73    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $-12747.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO120626                                | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  3115000000 | PA      | $2164047.81   | 0.12%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2247.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                            | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/51 1.75        | CUSIP: BMZ8B6II2<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      250000 | PA      | $86537.00     | 0.00%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 07/51 1.25                 | CUSIP: BLH381II0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     3300000 | PA      | $1828744.63   | 0.10%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 01/35 VAR              | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1731063.73   | 0.09%             | 2035-01-23      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                        | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A       | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      696753 | PA      | $697488.71    | 0.04%             | 2031-07-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                               | REPUBLIC OF POLAND BONDS 02/35 5.375                      | CUSIP: 857524AH5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      700000 | PA      | $714357.86    | 0.04%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $1749977.05   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CMO PLACEHOLDER                                                           | PROJECT NOVA TERM LOAN                                    | CUSIP: BA000QBV9<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |      400000 | PA      | $400000.00    | 0.02%             | 2026-08-31      | Floating      | 6.59%                 | No            |                  3 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G 09/35 2               | CUSIP: BMF7LTII5<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    11300000 | PA      | $5723520.40   | 0.31%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $51304.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 03/19/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $219365.70    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-472497.72   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $12807.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JABIL INC                                                                 | JABIL INC                                                 | CUSIP: 46652MED3<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |     2950000 | PA      | $2933805.39   | 0.16%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3B         | CUSIP: 17311XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1495919 | PA      | $1116636.85   | 0.06%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                      | NORDEA KREDIT REALKREDIT COVERED 10/50 1                  | CUSIP: BKDSHHII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          15 | PA      | $1.78         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.80611 03/03/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $137060.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.90500 08/15/25-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-14.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT DKK SOLD USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $8148.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                               | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                  | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     8497099 | PA      | $82753248.56  | 4.51%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3.5 JUMBOS                              | CUSIP: 21H032647<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -30400000 | PA      | $-27887982.03 | -1.52%            | 2056-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $20642.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $108.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                               | PHILLIPS 66                                               | CUSIP: 71855BD82<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     5550000 | PA      | $5545041.08   | 0.30%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $1742.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-765.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260713                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1968.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020448<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -16700000 | PA      | $-15366194.71 | -0.84%            | 2041-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-242.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5472 FN 09/54 FIXED 6.5                       | CUSIP: 31418FCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      743785 | PA      | $769475.53    | 0.04%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $27761.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260423                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-4383.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260406                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $61318.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.98808 06/30/26-27Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $100939.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                            | COUNTRYWIDE HOME LOANS CWHL 2005 R2 1AF1 144A             | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16621 | PA      | $16206.45     | 0.00%             | 2035-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                               | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $99728.09     | 0.01%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-10708.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260519                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-94.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-14694.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO 14A                                                     | ARES EURO CLO ARESE 14A AR 144A                           | CUSIP: ACI2RNVJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1497692 | PA      | $1732951.60   | 0.09%             | 2034-10-21      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $2503.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-OA4                                           | COUNTRYWIDE HOME LOANS CWHL 2006 OA4 A2                   | CUSIP: 126694F29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3245933 | PA      | $905059.86    | 0.05%             | 2046-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-5615.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.25000 09/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-3159472.55  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    53650000 | PA      | $51697108.35  | 2.82%             | 2056-06-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $300.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-154479.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                          | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A            | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      770565 | PA      | $705073.10    | 0.04%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA6106 FN 06/50 FIXED 4                         | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      477654 | PA      | $456078.59    | 0.02%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260417                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-16941.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                      | KEURIG DR PEPPER                                          | CUSIP: 49271KDF8<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1297725.52   | 0.07%             | 2026-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-4129.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO6                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1           | CUSIP: 75114NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      272331 | PA      | $55021.40     | 0.00%             | 2046-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $9455.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260417                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $183.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $183808.22    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MML DORCHESTER SCSP                                                       | PROJECT DORCHESTER EUR TERM LOAN                          | CUSIP: BA000T4M1<br>LEI: 213800PP3CKB6OTAPQ90 | Long             | LON              | CORP              | US        |      700000 | PA      | $809095.15    | 0.04%             | 2027-01-04      | Floating      | 4.61%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX MAIN45 5Y ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $-971323.14   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $10993.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $23069.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $287661.27    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $518282.73    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-12                                   | COUNTRYWIDE HOME LOANS CWHL 2006 12 A1                    | CUSIP: 125432AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      703597 | PA      | $324423.06    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-16685.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260601                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $128.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290502                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $33197.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-519069.98   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $5145.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                      | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581          | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    17200000 | PA      | $17697603.74  | 0.97%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $7389.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $348850.18    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260511                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-8017.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/35 3   | CUSIP: ACI2TFSN6<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     2000000 | PA      | $2264171.88   | 0.12%             | 2035-04-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8464 FR 09/54 FIXED 6.5               | CUSIP: 3132DWMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2037238 | PA      | $2107605.00   | 0.11%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-9746.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1B 144A        | CUSIP: 78449XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       93775 | PA      | $94048.82     | 0.01%             | 2053-07-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $5247.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-4664.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                              | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/30 4.5      | CUSIP: 00402AAA9<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |      300000 | PA      | $296028.08    | 0.02%             | 2030-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED REGS 09/31 5.125                     | CUSIP: ACI2RB4B9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      500000 | PA      | $573960.54    | 0.03%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK PLC                                                          | SANTANDER UK PLC COVERED 144A 12/27 4.496                 | CUSIP: 80283LBB8<br>LEI: PTCQB104N23FMNK2RZ28 | Long             | DBT              | CORP              | GB        |     4800000 | PA      | $4837401.17   | 0.26%             | 2027-12-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $17394.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 3.75000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $2259421.78   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3             | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $78207.53     | 0.00%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE                                | TERWIN MORTGAGE TRUST TMTS 2003 6HE A1                    | CUSIP: 881561CE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21327 | PA      | $19613.22     | 0.00%             | 2033-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-105.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260624                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $13550.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $4649.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $60298.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $13888.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-3 DAC 23-3A                      | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 3A AR 144A      | CUSIP: ACI2S2BG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1079178 | PA      | $1248673.53   | 0.07%             | 2033-05-15      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260417                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2550.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-12787.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1049.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-8342.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $842975.75    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260624                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2179.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-21709.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QATARENERGY                                                               | QATAR ENERGY SR UNSECURED REGS 09/26 1.375                | CUSIP: ACI1YZ073<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     6400000 | PA      | $6315187.20   | 0.34%             | 2026-09-12      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-343032.83   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                               | REPUBLIC OF POLAND BONDS 02/30 4.875                      | CUSIP: 857524AF9<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     1000000 | PA      | $1022741.22   | 0.06%             | 2030-02-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-OA5                                           | COUNTRYWIDE HOME LOANS CWHL 2006 OA5 3A1                  | CUSIP: 126694N46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      122311 | PA      | $113024.83    | 0.01%             | 2046-04-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                             | THAILAND GOVERNMENT BOND SR UNSECURED 06/45 2.98          | CUSIP: ACI2S0HH5<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    66738000 | PA      | $1950376.57   | 0.11%             | 2045-06-17      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-25854.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $633.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                               | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A              | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1121107 | PA      | $1124000.18   | 0.06%             | 2039-02-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS SEK 2.75000 09/16/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |           1 | NC      | $-72565.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-FRE1                                     | MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1           | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      628025 | PA      | $625003.33    | 0.03%             | 2035-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-8342.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOUTH KOREA GOVT AS BP MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-113487.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $589866.76    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A          | CUSIP: 41161PSK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8672 | PA      | $8206.24      | 0.00%             | 2035-06-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $60922.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 63 3A1          | CUSIP: 12668AXF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       52998 | PA      | $50025.87     | 0.00%             | 2035-11-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0334 FN 01/59 FIXED 3.5                       | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1397620 | PA      | $1268557.78   | 0.07%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 01/44 8.75                 | CUSIP: BPXR8CII6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    74900000 | PA      | $4020841.37   | 0.22%             | 2044-01-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $4660.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 01/30 VAR              | CUSIP: 95000U4C4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     4600000 | PA      | $4575087.18   | 0.25%             | 2030-01-23      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $22449.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                           | PHILIP MORRIS INTL INC PHILIP MORRIS INTL INC             | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1023588.61   | 0.06%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MDPK-2021-39A                                                             | MADISON PARK FUNDING LTD MDPK 2021 39A AR 144A            | CUSIP: 55821LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2300000 | PA      | $2303149.48   | 0.13%             | 2034-10-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290503                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $33176.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260421                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-12261.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND COMPANY                                              | BECTON DICKINSON+CO.                                      | CUSIP: 07588MD11<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249972.63    | 0.01%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 4.70000 03/23/31-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $5553.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $70284.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260611                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-3523.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR FUT OPTN  MAY26C 113 EXP 04/24/2026               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -29 | NC      | $-3859.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0741 G2 11/55 FIXED 3                      | CUSIP: 3618N5ZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8060475 | PA      | $7206255.11   | 0.39%             | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $29726.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                      | JYSKE REALKREDIT A/S COVERED REGS 10/50 1                 | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |           5 | PA      | $0.54         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A        | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      376066 | PA      | $376320.17    | 0.02%             | 2036-10-16      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-7790.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ6336 FR 10/54 FIXED 6.5               | CUSIP: 3133CXBD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      389350 | PA      | $404722.16    | 0.02%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $1072195.69   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12        | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       77213 | PA      | $23824.97     | 0.00%             | 2037-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD7358 FN 04/55 FIXED 6.5                       | CUSIP: 3140B8E80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      165494 | PA      | $171209.74    | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0245 FN 08/54 FIXED 6.5                       | CUSIP: 3140AMHX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      760956 | PA      | $794450.21    | 0.04%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $40205.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $9986.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-NC1                                        | STRUCTURED ASSET SECURITIES CO SASC 2005 NC1 M4           | CUSIP: 86359BZ46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1702817 | PA      | $1855179.36   | 0.10%             | 2035-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                            | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS              | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       42314 | PA      | $55940.74     | 0.00%             | 2044-06-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-31723.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-135.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 12.97 11/06/25-01/02/29 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-720510.13   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 12/20/23-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1985309.30   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-52891.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3397                                                          | FREDDIE MAC FHR 3397 FC                                   | CUSIP: 31397PLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3954 | PA      | $3948.94      | 0.00%             | 2037-12-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC6DA0 PIMCO SWAPTION 3.9 PUT USD 20260420             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -11200000 | NC      | $-63434.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-4621.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $163.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $9010.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20270104                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $18245.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                             | JONES LANG LASALLE FIN BV                                 | CUSIP: 48002BD90<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |     1600000 | PA      | $1598403.37   | 0.09%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $5962.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF6            | CUSIP: 75971EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1934397 | PA      | $600487.14    | 0.03%             | 2036-11-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| KONA SPC LTD                                                              | KONA SPC LTD COMPANY GUAR 144A 09/26 VAR                  | CUSIP: ACI3000D0<br>LEI: 254900UKS4SVVOMZWX26 | Long             | DBT              | CORP              | KY        |     1400000 | PA      | $1628830.88   | 0.09%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| PROVIDUS CLO VII DAC 7A                                                   | PROVIDUS CLO PRVD 7A ARR 144A                             | CUSIP: ACI38JRZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3900000 | PA      | $4494275.73   | 0.25%             | 2038-07-15      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $103080.72    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-16133.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG46 10Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-20800.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-8014.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $125.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.00000 03/19/25-2Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $144343.98    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP BOA                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $60036.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5422 FN 07/54 FIXED 6.5                       | CUSIP: 31418FAY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      402676 | PA      | $416584.71    | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                  | LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR      | CUSIP: ACI0808H1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      400000 | PA      | $541381.04    | 0.03%             | 2029-06-27      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $9121.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                      | JPMORGAN CHASE + CO SR UNSECURED 10/28 VAR                | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3200000 | PA      | $3200187.20   | 0.17%             | 2028-10-22      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.06350 11/17/22-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $196093.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                           | COSTA RICA GOVERNMENT BONDS 144A 11/30 5.4995             | CUSIP: ACI3721X4<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     2750000 | PA      | $3253825.29   | 0.18%             | 2030-11-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $23017.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $241.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR CHF SRFXON3/0.25000 09/16/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |           1 | NC      | $-37034.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | FWD0M1442 COLOMBIA GOVT                                   | CUSIP: 990ADDTQ0<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        |   459700000 | PA      | $96352.81     | 0.01%             | 2031-03-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | REPUBLIC OF COLOMBIA SR UNSECURED 01/31 6.125             | CUSIP: 195325EU5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     7300000 | PA      | $7190500.00   | 0.39%             | 2031-01-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-5388.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 05/26 0.00000                               | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      771000 | PA      | $768195.49    | 0.04%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WEST STREET GLOBAL GROWTH PARTNERS LP                                     | PROJECT HUDSON II FIXED TERM LOAN                         | CUSIP: BA0004RR0<br>LEI: 549300VKOBL0QVVJAP44 | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $602118.40    | 0.03%             | 2026-05-29      | Fixed         | 7.73%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8384 FR 12/53 FIXED 6                 | CUSIP: 3132DWJ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4379046 | PA      | $4477987.10   | 0.24%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT2                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT2 A4          | CUSIP: 83611MML9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      224288 | PA      | $220724.97    | 0.01%             | 2036-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A3          | CUSIP: 12668ALV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10156 | PA      | $9402.04      | 0.00%             | 2035-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/46 4.625                               | CUSIP: 912810UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      900000 | PA      | $867726.56    | 0.05%             | 2046-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                              | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 05/26 5.75     | CUSIP: 147918AB2<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |     1400000 | PA      | $1401874.61   | 0.08%             | 2026-05-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 2A3           | CUSIP: 61752JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1553213 | PA      | $310494.27    | 0.02%             | 2046-09-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260708                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-785.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 05/32 VAR                  | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1100000 | PA      | $1009141.93   | 0.06%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-13720.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-21153.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.75000 09/16/26-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $778324.40    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $750.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-12719.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 06/54 2.2                     | CUSIP: ACI2PXFN5<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    54150000 | PA      | $254056.84    | 0.01%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG9137 FR 08/53 FIXED 5.5               | CUSIP: 3133CAEJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2182502 | PA      | $2197538.05   | 0.12%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $521030.87    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SCULE 6A                                                                  | SCULPTOR EUROPEAN CLO SCULE 6A AR 144A                    | CUSIP: ACI1ZPWK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4700000 | PA      | $5436570.41   | 0.30%             | 2034-10-15      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                               | LETRA TESOURO NACIONAL BILLS 07/26 0.00000                | CUSIP: ACI2CRX85<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    71600000 | PA      | $13386532.62  | 0.73%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260429                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2021.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 1.75000 03/16/22-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-153155.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                               | REPUBLIC OF PANAMA EUR TERM LOAN                          | CUSIP: BA000GRH5<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | CORP              | IE        |     2600000 | PA      | $3008424.61   | 0.16%             | 2027-03-05      | Floating      | 3.89%                 | No            |                  3 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                  | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/35 5.375        | CUSIP: 80414L3B9<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     3200000 | PA      | $3184677.02   | 0.17%             | 2035-06-02      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                            | AUSTRALIAN GOVERNMENT BONDS 05/30 2.5                     | CUSIP: ACI137Q48<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     2300000 | PA      | $1459252.23   | 0.08%             | 2030-05-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/34 3   | CUSIP: ACI2PBKR8<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    29970000 | PA      | $34841055.11  | 1.90%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1099.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260511                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $4013.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOCTORS CO/THE                                                            | DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5      | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |      200000 | PA      | $182271.22    | 0.01%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    56400000 | PA      | $54380053.74  | 2.97%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $3603.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $277013.98    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1347.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2019-1 CLASS A PASS THROUGH TRUST                         | BRITISH AIR 19 1 A PTT PASS THRU CE 144A 12/30 3.35       | CUSIP: 11043XAB9<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |      982413 | PA      | $954382.33    | 0.05%             | 2030-12-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-52181.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP1                                        | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 1AF1 144A        | CUSIP: 3623413C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1200285 | PA      | $965449.62    | 0.05%             | 2036-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $57021.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP CBK                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $120072.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AMETEK INC                                                                | AMETEK INC DISC COML                                      | CUSIP: 03111CD91<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |      900000 | PA      | $899101.89    | 0.05%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-3414.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.00000 09/16/26-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-696013.65   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $351316.24    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $119610.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260409                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $26362.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOGETHER ASSET BACKED SECURITISATION 14 2025-1ST1 PLC 25-1ST1A            | TOGETHER ASSET BACKED SECURITI TOGET 2025 1ST1A A 144A    | CUSIP: ACI30HX54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2658575 | PA      | $3513210.50   | 0.19%             | 2066-08-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $22496.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $11358.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                          | PROJECT CASHMERE CLASS A1 144A                            | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    26000000 | PA      | $17938704.83  | 0.98%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-4414.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCJ2 PIMCO FXVAN PUT USD KRW 1400.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     1182184 | NC      | $3772.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                                 | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A AR 144A            | CUSIP: ACI2VQ1V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      870858 | PA      | $1005394.40   | 0.05%             | 2033-08-15      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-15955.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                     | CROWN CASTLE                                              | CUSIP: 22823QDM0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     2850000 | PA      | $2843007.24   | 0.16%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-219350.53   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG46 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $6163268.74   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 4.75     | CUSIP: 80413TBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     2400000 | PA      | $2406463.61   | 0.13%             | 2028-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A    | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      914006 | PA      | $819825.33    | 0.04%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-58461.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                                        | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A          | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3083661 | PA      | $2681825.91   | 0.15%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-369.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                      | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5                | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          10 | PA      | $1.03         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                   | BANK OF NOVA SCOTIA COVERED 144A 03/28 4.299              | CUSIP: 06418BAK4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     7400000 | PA      | $7443202.38   | 0.41%             | 2028-03-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C              | CUSIP: 61753EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1533845 | PA      | $705056.90    | 0.04%             | 2037-01-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-2237.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $20704.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD5573 FN 03/55 FIXED 6.5                       | CUSIP: 3140B6FP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      310561 | PA      | $323819.87    | 0.02%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.50000 12/18/24-2Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $74182.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-368305.16   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                  | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/30 4.75         | CUSIP: 80414L2X2<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     1500000 | PA      | $1487392.71   | 0.08%             | 2030-06-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $1392.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260429                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $4140.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                      | ROYAL BANK OF CANADA SR UNSECURED 08/29 VAR               | CUSIP: 78017DAL2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     4700000 | PA      | $4708857.29   | 0.26%             | 2029-08-06      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 01/29 2.5                                 | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3635376 | PA      | $3772148.15   | 0.21%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.50000 09/16/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $3655426.55   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX9932 FR 04/55 FIXED 6.5               | CUSIP: 31426HBA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      665295 | PA      | $688667.80    | 0.04%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED REGS 07/33 4.875    | CUSIP: ACI2C95L7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      800000 | PA      | $791316.06    | 0.04%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $95505.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-19830.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 07/46 11.5                     | CUSIP: ACI2Q1VT3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    60400000 | PA      | $14571.20     | 0.00%             | 2046-07-25      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP GST                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $500300.59    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $47239.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                       | EUROPEAN UNION SR UNSECURED REGS 10/45 3.75               | CUSIP: ACI2X44W2<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     9900000 | PA      | $11082854.35  | 0.60%             | 2045-10-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR FUT OPTN  MAY26P 110 EXP 04/24/2026               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -29 | NC      | $-10791.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1600000 | NC      | $-4453.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                          | DEUTSCHE BANK NY 02/28 VAR                                | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     1600000 | PA      | $1613595.71   | 0.09%             | 2028-02-08      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260603                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $367.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-63210.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    99000000 | PA      | $97444780.29  | 5.32%             | 2056-06-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                           | AES CORP DISC COML PAPER                                  | CUSIP: 00809KD21<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1599642.72   | 0.09%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $272.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-1025.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006 GP4                                                  | LEHMAN XS TRUST LXS 2006 GP4 1A1                          | CUSIP: 525161AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      963985 | PA      | $890469.65    | 0.05%             | 2046-08-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260521                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1290.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H24                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H24 F             | CUSIP: 38376RJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      496641 | PA      | $498589.58    | 0.03%             | 2066-11-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | MORGAN STANLEY REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | LU        |     4772936 | PA      | $5516799.13   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 06/51 0.7                     | CUSIP: BP5D0MII4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    30000000 | PA      | $98639.61     | 0.01%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $171207.74    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260515                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $255.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A         | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3866 | PA      | $3890.43      | 0.00%             | 2045-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.9544* 02/05/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $60413.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260430                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-37139.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $148136.41    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GPMT LTD 2021-FL4                                                         | GPMT LTD. GPMT 2021 FL4 A 144A                            | CUSIP: 36262TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1213862 | PA      | $1212316.91   | 0.07%             | 2036-12-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-220.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CNY R 1.50000 03/17/27-5Y BOA                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |           1 | NC      | $-2647.57     | -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        |     2669000 | NC      | $3838.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.07585 03/13/26-20Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6125.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-59029.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.00000 03/18/26-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $144956.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC2                                    | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC2 M4              | CUSIP: 61744CNU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2866157 | PA      | $2698610.67   | 0.15%             | 2035-02-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.75000 09/16/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-5237039.71  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7                        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 7 6A            | CUSIP: 07384MYW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         781 | PA      | $763.40       | 0.00%             | 2033-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG5960 FR 07/53 FIXED 5.5               | CUSIP: 3133C6TR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      354929 | PA      | $357825.93    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                         | NATWEST GROUP PLC JR SUBORDINA 12/99 VAR                  | CUSIP: ACI1SQVK7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      500000 | PA      | $651812.01    | 0.04%             | 2027-05-12      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-9236.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $68679.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1936.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/30 3.25     | CUSIP: ACI1LTCD5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      200000 | PA      | $187778.60    | 0.01%             | 2030-10-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $19623.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 09/29 VAR              | CUSIP: 95000U4A8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     4100000 | PA      | $4055597.08   | 0.22%             | 2029-09-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC SR UNSECURED 11/29 VAR                       | CUSIP: 06738EDD4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     3900000 | PA      | $3879305.70   | 0.21%             | 2029-11-11      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-190415.36   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $35984.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PENTA CLO 9 DAC                                                           | PENTA CLO S.A. PENTA 2021 9A A 144A                       | CUSIP: ACI1Y3GV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3100000 | PA      | $3573956.76   | 0.19%             | 2036-07-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-62810.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $9253.10      | 0.00%             |  |  |  | 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        |      243846 | PA      | $194564.45    | 0.01%             | 2037-10-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-1570.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-2311.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1B3        | CUSIP: 92922F4S4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      275810 | PA      | $267986.53    | 0.01%             | 2045-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-3729.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK LIMITED                                           | NATIONAL AUSTRALIA BANK COVERED 144A 11/28 5.134          | CUSIP: 632525BL4<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |     2600000 | PA      | $2670666.93   | 0.15%             | 2028-11-28      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 09/29 6.625                     | CUSIP: ACI28T967<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     2600000 | PA      | $3205958.64   | 0.17%             | 2029-09-27      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260707                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1361.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260406                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-18390.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/17/26-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $196801.37    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20270610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-4094.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-78459.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                             | THAILAND GOVERNMENT BOND SR UNSECURED 05/36 1.84          | CUSIP: ACI386HX7<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    17187000 | PA      | $503884.48    | 0.03%             | 2036-05-17      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/1.2500 06/16/21-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-400402.43   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-31562.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $35837.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260401                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1151.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $365370.27    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.11647 02/14/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $13578.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-18391.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1922233.02   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 02/30 5.375                  | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     1600000 | PA      | $1625637.95   | 0.09%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                           | AMERICAN MONEY MANAGEMENT CORP AMMC 2021 24A AR 144A      | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2300000 | PA      | $2300754.08   | 0.13%             | 2035-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                             | BOEING CO/THE SR UNSECURED 05/29 6.298                    | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1050117.46   | 0.06%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 03/30 5.25                      | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1400000 | PA      | $1642608.80   | 0.09%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-185.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $57295.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                               | FRANCE (GOVT OF) BONDS 144A REGS 02/29 2.75               | CUSIP: ACI2FJ6B3<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    19700000 | PA      | $22663229.17  | 1.24%             | 2029-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2014-11                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 11 2A2 144A      | CUSIP: 17323JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4856522 | PA      | $1920094.02   | 0.10%             | 2036-08-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.24000 09/16/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $78914.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A          | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3061254 | PA      | $2672423.92   | 0.15%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-8                                                       | IMPAC CMB TRUST IMM 2004 8 1A                             | CUSIP: 45254NKQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25968 | PA      | $25836.92     | 0.00%             | 2034-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-48                                                        | FANNIE MAE FNR 2006 48 TF                                 | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9205 | PA      | $9138.03      | 0.00%             | 2036-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5               | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      151094 | PA      | $144567.26    | 0.01%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-39071.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-38811.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $270.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1969.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                          | ABN AMRO BANK NV 144A 12/35 VAR                           | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     2800000 | PA      | $2839997.22   | 0.15%             | 2035-12-03      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CAN 5YR BOND FUT  JUN26 XMOD 20260619                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        -381 | NC      | $429463.77    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $1989741.70   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260403                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-19926.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                             | CITIGROUP INC SR UNSECURED REGS 09/26 2.125               | CUSIP: ACI09B6W5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     5600000 | PA      | $6459146.03   | 0.35%             | 2026-09-10      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A             | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      364238 | PA      | $335278.92    | 0.02%             | 2047-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20270104                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $13737.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $36350.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $42222.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $9434.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-49941.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | SOUTH AFRICA TREASURY BILL SOUTH AFRICAN T BILLS 7.775  2 | CUSIP: ACI2YZPV1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    53220000 | PA      | $3088103.33   | 0.17%             | 2026-07-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8149 G2 07/52 FIXED 3.5                    | CUSIP: 36179XBS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15131051 | PA      | $14000307.90  | 0.76%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-13370.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260609                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-6223.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260417                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-1432.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $-57853.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.98104 09/01/23-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $96116.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.99801 02/13/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $126505.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                               | PHILLIPS 66                                               | CUSIP: 71855BEV0<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2979984.30   | 0.16%             | 2026-05-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-13544.47    | -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      | $-209569.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $6837.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                   | HCA INC DISC COML PAPER 05/26 ZCP                         | CUSIP: 40412DEB1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     6250000 | PA      | $6218865.63   | 0.34%             | 2026-05-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $29604.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                               | BANK OF AMERICA CORP SR UNSECURED 01/36 VAR               | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1530201.81   | 0.08%             | 2036-01-24      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1           | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16348 | PA      | $14850.01     | 0.00%             | 2035-06-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/34 1   | CUSIP: ACI1KDG39<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     3400000 | PA      | $1766457.38   | 0.10%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $4914.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX9880 FR 04/55 FIXED 6.5               | CUSIP: 31426G6S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      737119 | PA      | $762727.32    | 0.04%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB2414 FN 06/54 FIXED 6                         | CUSIP: 3140ABVG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1301901 | PA      | $1328630.40   | 0.07%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3         | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5299 | PA      | $3880.27      | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-14626.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $37385.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA COMPANIES GLOBAL FUNDING                                  | MUTUAL OF OMAHA GLOBAL SECURED 144A 01/31 4.546           | CUSIP: 62829D2H2<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1779603.64   | 0.10%             | 2031-01-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260406                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $19461.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $19388.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $9515.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   364300000 | PA      | $358861715.03 | 19.58%            | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                               | KUWAIT INTL BOND SR UNSECURED 144A 10/30 4.136            | CUSIP: 501499AE7<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     2000000 | PA      | $1959304.32   | 0.11%             | 2030-10-09      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1.5            | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     8198193 | PA      | $1010521.23   | 0.06%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1028.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8364 FR 09/53 FIXED 6.5               | CUSIP: 3132DWJH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2265379 | PA      | $2343819.30   | 0.13%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-37047.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260423                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-906.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-13114.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F062648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $103466.00    | 0.01%             | 2056-04-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-495100.81   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-7159.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 01/28 0.5                                 | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5405604 | PA      | $5365158.51   | 0.29%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUND OPTION  MAY26C 128 EXP 04/24/2026               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -17 | NC      | $-2161.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHERN CO                                                               | SOUTHERN CO JR SUBORDINA 09/81 VAR                        | CUSIP: ACI20FY59<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      900000 | PA      | $1009241.09   | 0.06%             | 2081-09-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS5611 FN 07/53 FIXED VAR                       | CUSIP: 3140XMGV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3980866 | PA      | $3768992.68   | 0.21%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.87400 03/05/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-16613.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                               | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1                   | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          94 | PA      | $96.46        | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RA4542 FR 02/51 FIXED 2.5               | CUSIP: 3133KLBK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      507272 | PA      | $428506.07    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC6EA9 PIMCO SWAPTION 3.62 CALL USD 2026042            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -11200000 | NC      | $-13995.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8331 FR 06/53 FIXED 5.5               | CUSIP: 3132DWHG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      755876 | PA      | $762392.59    | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 04/29 VAR                     | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2326858.04   | 0.13%             | 2029-04-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                                | HPS CORPORATE LENDING FU SR UNSECURED 144A 09/28 4.9      | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $3899288.88   | 0.21%             | 2028-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-9965.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                   | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1          | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         919 | PA      | $908.96       | 0.00%             | 2032-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE5                                              | ACE SECURITIES CORP. ACE 2005 HE5 M4                      | CUSIP: 004421RH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      932306 | PA      | $934546.62    | 0.05%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                                   | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A            | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4000000 | PA      | $4005000.08   | 0.22%             | 2034-08-16      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2007-1                                       | MASTR SPECIALIZED LOAN TRUST MASD 2007 1 A 144A           | CUSIP: 57645KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      783142 | PA      | $302948.53    | 0.02%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.25000 03/18/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-1218040.34  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-49390.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2368.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-670.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1546.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $13395.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-89252.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                          | FREDDIE MAC FHR 2395 FT                                   | CUSIP: 31339LMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          83 | PA      | $82.99        | 0.00%             | 2031-12-15      | Floating      | 4.24%                 | 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      | $-12291.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260917                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-20538.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260401                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $29327.48     | 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      | $-67526.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                     | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3            | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      700000 | PA      | $708188.60    | 0.04%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM-42.5 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $2020.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $1122.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1            | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1192 | PA      | $1160.51      | 0.00%             | 2034-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-38004.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 03/28 2.125                     | CUSIP: ACI23CKY5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      600000 | PA      | $672850.47    | 0.04%             | 2028-03-07      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-18740.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.96000 06/27/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $84583.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL2 A1 144A    | CUSIP: 16159RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      915930 | PA      | $823551.30    | 0.04%             | 2063-03-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $6923.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260615                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-5663.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-34477.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55            | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      500000 | PA      | $493400.03    | 0.03%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-81.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1          | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23054 | PA      | $16303.17     | 0.00%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13100000 | PA      | $11488799.30  | 0.63%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20270104                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $26708.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 06/18/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1174021.78   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                      | NEW S WALES TREASURY CRP LOCAL GOVT G 03/33 2             | CUSIP: ACI1KFVM5<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     3300000 | PA      | $1847492.72   | 0.10%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| POST CLO 2021-1 LTD                                                       | POST CLO LTD POST 2021 1A AR 144A                         | CUSIP: 73742FAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3800000 | PA      | $3803860.08   | 0.21%             | 2034-10-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-12568.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.65000 04/12/22-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-65916.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                            | BULGARIA SR UNSECURED REGS 07/45 4.125                    | CUSIP: ACI2YSLY5<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     2100000 | PA      | $2274779.12   | 0.12%             | 2045-07-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC SR UNSECURED 05/30 VAR                  | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     1900000 | PA      | $1860705.15   | 0.10%             | 2030-05-22      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $149562.61    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1625.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8374 FR 11/53 FIXED 6.5               | CUSIP: 3132DWJT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1633055 | PA      | $1691235.14   | 0.09%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                      | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5                | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     1414393 | PA      | $176750.99    | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1BG         | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      550070 | PA      | $490875.52    | 0.03%             | 2036-08-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260511                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-5019.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7828 G2 01/52 FIXED 3                      | CUSIP: 36179WVV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3352286 | PA      | $2997023.20   | 0.16%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-106888.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                    | REALKREDIT DANMARK COVERED REGS 10/53 1.5                 | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |     1501703 | PA      | $185069.61    | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | 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        |     1091000 | NC      | $1660.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.70000 04/11/22-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-35688.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $941.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $469.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 01/36 VAR            | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3200000 | PA      | $3254142.24   | 0.18%             | 2036-01-28      | Floating      | 5.54%                 | 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        |     8079098 | PA      | $7784007.73   | 0.42%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $24635.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $114836.39    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-OPT                                                      | GSAMP TRUST GSAMP 2004 OPT M1                             | CUSIP: 36242DNU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      147439 | PA      | $144213.77    | 0.01%             | 2034-11-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                    | STANDARD CHARTERED PLC SR UNSECURED 144A 02/28 VAR        | CUSIP: 853254CW8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     4900000 | PA      | $4987483.28   | 0.27%             | 2028-02-08      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A4                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A4 3A            | CUSIP: 589929W87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3709 | PA      | $3665.51      | 0.00%             | 2033-05-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-128083.66   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-8445.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260513                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-42005.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 02/33 13.25                    | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 49618000000 | PA      | $13303185.96  | 0.73%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 11/40 12.75                    | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 40182000000 | PA      | $10650228.90  | 0.58%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260706                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $57.16        | 0.00%             |  |  |  | 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        |       23518 | PA      | $23119.70     | 0.00%             | 2036-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $11125.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2881.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 05/35 4.25                                | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      700000 | PA      | $698263.67    | 0.04%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XV LTD                                             | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 15A A1R 144A        | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2544264 | PA      | $2548537.95   | 0.14%             | 2032-10-23      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260421                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-6118.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-OPT4                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT4 M6          | CUSIP: 17307GUW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1732719 | PA      | $1686095.79   | 0.09%             | 2035-07-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-51429.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESLOC UK PLC 2007-1X                                                     | RESLOC UK PLC RLOC 2007 1X A3B REGS                       | CUSIP: B1XCHCII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      583492 | PA      | $755017.64    | 0.04%             | 2043-12-15      | Floating      | 4.01%                 | 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        |    -8927000 | NC      | $-3615.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $1536.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $20012.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260518                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-675.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                 | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5      | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     8800000 | PA      | $8857200.00   | 0.48%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-5852.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT BONDS 12/33 3.25                      | CUSIP: 135087Q72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    14500000 | PA      | $10374664.74  | 0.57%             | 2033-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $5713.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-23.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $24387.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                               | KUWAIT INTL BOND SR UNSECURED 144A 10/28 4.016            | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     4100000 | PA      | $4044439.26   | 0.22%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-5561.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS9204 FN 09/54 FIXED VAR                       | CUSIP: 3140XRGN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      655793 | PA      | $678443.98    | 0.04%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-3947.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $7847.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-13825.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 07/27 0.375                               | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4919039 | PA      | $4918957.93   | 0.27%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB8624 FN 07/54 FIXED 6.5                       | CUSIP: 3140AJSN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1038560 | PA      | $1080553.27   | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $24543.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO I LTD 2018-3A                                             | 522 FUNDING CLO LTD MORGN 2018 3A AR 144A                 | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       24319 | PA      | $24343.46     | 0.00%             | 2031-10-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-12289.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.71199 06/30/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $17325.12     | 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      | $-49237.74    | -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        |    -1091000 | NC      | $-440.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080364 G2 01/30 FLOATING VAR                 | CUSIP: 36225CMN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         970 | PA      | $969.32       | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1170.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $354.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JABIL INC                                                                 | JABIL INC                                                 | CUSIP: 46652MD85<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249751.48    | 0.01%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1499490.67  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-83049.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $1945.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9              | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    10200000 | PA      | $2914675.13   | 0.16%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-279.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-17119.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.62080 06/30/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $91574.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                          | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A             | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      480550 | PA      | $464478.14    | 0.03%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $397145.41    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPN 10Y BOND(OSE) JUN26 XOSE 20260615                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -293 | NC      | $2882618.60   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A6A             | CUSIP: 12638PAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      125006 | PA      | $33990.72     | 0.00%             | 2037-04-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.00000 03/19/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1465247.85   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $6436171.30   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.68500 12/02/30-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $202193.31    | 0.01%             |  |  |  | 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        |    29700000 | PA      | $8925447.86   | 0.49%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260406                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $25129.70     | 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        |     5998000 | NC      | $9128.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-23445.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25                 | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    25400000 | PA      | $1206591.00   | 0.07%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $11300.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR4                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A3           | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99762 | PA      | $90495.15     | 0.00%             | 2047-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-41                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 41 1A1          | CUSIP: 12667GR62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      147582 | PA      | $109355.44    | 0.01%             | 2035-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260403                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $5623.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-4790.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 12/35 VAR              | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3087663.95   | 0.17%             | 2035-12-03      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $15767.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-88427.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-2562.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI9547 FR 07/54 FIXED 6.5               | CUSIP: 3133WGTC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1667010 | PA      | $1725574.14   | 0.09%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $963008.02    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 11/33 VAR                  | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     3500000 | PA      | $3443815.62   | 0.19%             | 2033-11-06      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-12336.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $65912.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3433.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-6627.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260429                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-315.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $37898.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                           | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2                | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1931 | PA      | $1871.51      | 0.00%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-554840.92   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                               | BNP PARIBAS REGS 02/35 VAR                                | CUSIP: 09659X2W1<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     1100000 | PA      | $1129365.06   | 0.06%             | 2035-02-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.80346 03/03/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $138140.80    | 0.01%             |  |  |  | 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        |     1300000 | PA      | $455000.00    | 0.02%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                      | NORDEA KREDIT REALKREDIT COVERED 10/50 1.5                | CUSIP: BH3VWJII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.15         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $6191.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 3.50000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-15534583.30 | -0.85%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 05/28 2.4           | CUSIP: ACI2T2CQ5<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    12200000 | PA      | $14002522.07  | 0.76%             | 2028-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                   | FREDDIE MAC FHR 4579 FD                                   | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      115861 | PA      | $114418.74    | 0.01%             | 2038-01-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2004-T3                                           | FANNIEMAE GRANTOR TRUST FNGT 2004 T3 1A1                  | CUSIP: 31393YU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5888 | PA      | $5881.60      | 0.00%             | 2044-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0255 G2 03/55 FIXED 3.5                    | CUSIP: 3618N5H93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    77399970 | PA      | $71064552.40  | 3.88%             | 2055-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1             | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67465 | PA      | $60487.64     | 0.00%             | 2046-05-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-231.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-160453.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                   | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1             | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9714 | PA      | $8507.91      | 0.00%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 5A1        | CUSIP: 02152AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16428 | PA      | $7197.83      | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                    | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   118000000 | PA      | $6898654.65   | 0.38%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                   | THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1             | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7937 | PA      | $7828.34      | 0.00%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                                        | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A      | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      928880 | PA      | $776995.87    | 0.04%             | 2036-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                               | NEWGATE FUNDING PLC NGATE 2007 3X A3 REGS                 | CUSIP: B2NDQFII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      244641 | PA      | $320568.61    | 0.02%             | 2050-12-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-424987.24   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-48175.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $16916.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-36263.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20261221                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $62613.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.92500 06/19/25-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $462114.12    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.50000 09/16/26-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $657753.95    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3384 FN 06/48 FIXED 4                         | CUSIP: 31418CXN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25816 | PA      | $24577.59     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                            | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                     | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         522 | PA      | $525.98       | 0.00%             | 2033-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-11183.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRT& RES FIN 2006-BC3                                      | SPECIALTY UNDERWRITING + RESID SURF 2006 BC3 A2C          | CUSIP: 84751WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      308311 | PA      | $188438.92    | 0.01%             | 2037-06-25      | Floating      | 4.09%                 | 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        |     5127002 | PA      | $5160645.11   | 0.28%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.56436 06/30/26-7Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $10921.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-5                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 5 1A2           | CUSIP: 07384MWG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1239 | PA      | $1217.67      | 0.00%             | 2033-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                    | PROJECT FENNO EUR DELAYED DRAW TERM LOAN A                | CUSIP: BA000MLQ8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |      568334 | PA      | $660843.45    | 0.04%             | 2028-07-10      | Floating      | 4.48%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $8758.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                          | MORGAN STANLEY PVT BANK SR UNSECURED 07/28 VAR            | CUSIP: 61776NVF7<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     3900000 | PA      | $3895133.50   | 0.21%             | 2028-07-06      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1807.06      | 0.00%             |  |  |  | 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        |     1000000 | PA      | $1133537.93   | 0.06%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2023-V3                                       | TOWD POINT MORTGAGE FUNDING TPMF 2023 V3 A1 REGS          | CUSIP: ACI2P2371<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1939942 | PA      | $2574898.72   | 0.14%             | 2054-02-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $10998.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 10/27 VAR                     | CUSIP: ACI1XF0D5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     4300000 | PA      | $4902514.76   | 0.27%             | 2027-10-29      | Floating      | 0.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-7941.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.35000 12/15/27-1Y (GRN) LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1807773.65   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $5211.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $19982.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2021-2 DAC                                      | ROCKFORD TOWER EUROPE CLO RFTE 2021 2A A 144A             | CUSIP: ACI2PTDF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2900000 | PA      | $3342077.34   | 0.18%             | 2035-01-24      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $281.04       | 0.00%             |  |  |  | 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      | $423199.36    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                               | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $99798.72     | 0.01%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                     | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1218230370 | PA      | $7702934.23   | 0.42%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-55873.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-37747.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                           | SANDS CHINA LTD SR UNSECURED 08/28 5.65                   | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      800000 | PA      | $806494.40    | 0.04%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-88346.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-27055.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-26                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 1A             | CUSIP: 12668HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      335417 | PA      | $314505.14    | 0.02%             | 2037-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-16327.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                     | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      132480 | PA      | $107914.47    | 0.01%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  3 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1         | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60853 | PA      | $51082.96     | 0.00%             | 2036-05-25      | Floating      | 4.23%                 | 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      | $237731.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-59784.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.00000 06/17/25-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-2410023.02  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-277130.88   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $25.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $4601.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JABIL INC                                                                 | JABIL INC                                                 | CUSIP: 46652MDG7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |      300000 | PA      | $299399.34    | 0.02%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC SR UNSECURED 03/28 VAR                  | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      900000 | PA      | $895974.59    | 0.05%             | 2028-03-13      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| ICG US CLO LTD 2021-1A                                                    | ICG US CLO LTD ICG 2021 1A A1R 144A                       | CUSIP: 449303AL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1726000 | PA      | $1728201.48   | 0.09%             | 2034-04-17      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 03/30 4.375                | CUSIP: BSQNRDII4<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    51900000 | PA      | $68577395.55  | 3.74%             | 2030-03-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                               | NEWGATE FUNDING PLC NGATE 2007 3X BA REGS                 | CUSIP: B2NDQGII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      122320 | PA      | $156641.48    | 0.01%             | 2050-12-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-49327.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-579040.79   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260428                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $3247.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1              | CUSIP: ACI1N7309<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           5 | PA      | $0.56         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| KRATON CORP (AKA: KRATON PERFORMANCE POLYMERS INC)                        | KRATON CORP COMPANY GUAR 144A 07/27 5                     | CUSIP: 50077CAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2318895.14   | 0.13%             | 2027-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2A1A         | CUSIP: 92922FR75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      234090 | PA      | $226409.05    | 0.01%             | 2045-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.00000 03/19/25-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-2388839.75  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.2500 06/21/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $256275.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-108.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                               | FRANCE (GOVT OF) BONDS 144A REGS 02/30 2.75               | CUSIP: ACI2NSRJ4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    48100000 | PA      | $55032648.15  | 3.00%             | 2030-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                      | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 03/34 1.75     | CUSIP: ACI1ZX259<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     4400000 | PA      | $2321522.31   | 0.13%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                                  | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                    | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       23680 | PA      | $23703.82     | 0.00%             | 2030-10-24      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $631.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.00000 09/16/26-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1230613.73   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED REGS 08/35 6.85             | CUSIP: P78024BA6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     9990000 | PA      | $2931288.03   | 0.16%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $2112.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5445 FN 08/54 FIXED 6                         | CUSIP: 31418FBP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      572526 | PA      | $584413.14    | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                              | ALIMENTATION COUCHETARD INC                               | CUSIP: 01626VDA8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |      450000 | PA      | $449492.18    | 0.02%             | 2026-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.0520* 03/16/26-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5678.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                           | SANTANDER UK GROUP HLDGS SR UNSECURED 09/29 VAR           | CUSIP: 80281LAW5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     6200000 | PA      | $6205289.34   | 0.34%             | 2029-09-22      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-8968.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                    | PROJECT FENNO EUR DELAYED DRAW TERM LOAN B                | CUSIP: BA000MLR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |      269959 | PA      | $313900.64    | 0.02%             | 2028-07-10      | Floating      | 4.46%                 | Yes           |                  3 | On Loan: No      |
| HCA INC                                                                   | HCA INC DISC COML PAPER 05/26 ZCP                         | CUSIP: 40412DED7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     4050000 | PA      | $4028801.90   | 0.22%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $147702.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/36 4.125                               | CUSIP: 91282CPZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3400000 | PA      | $3347140.61   | 0.18%             | 2036-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.06500 06/26/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $18747.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-6                                     | TBW MORTGAGE BACKED PASS THROU TBW 2006 6 A6A             | CUSIP: 87222PAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      141901 | PA      | $31026.53     | 0.00%             | 2037-01-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260601                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1451.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $21657.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                   | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A        | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2300000 | PA      | $2296473.41   | 0.13%             | 2038-11-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.02000 05/15/25-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5785.66      | 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      | $-2256.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                       | ELEVANCE HEALTH INC                                       | CUSIP: 28621BD10<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      150000 | PA      | $149983.37    | 0.01%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                     | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      122000 | PA      | $86510.71     | 0.00%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| BRACCAN MORTGAGE FUNDING 2025-1 PLC 25-1X                                 | BRACCAN MORTGAGE FUNDING BRACN 2025 1X A REGS             | CUSIP: ACI2WZGJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2943799 | PA      | $3896024.51   | 0.21%             | 2067-05-17      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $12673.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 08/32 1   | CUSIP: ACI1VHWN6<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    14400000 | PA      | $7937794.09   | 0.43%             | 2032-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 11/48 3.375                               | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14500000 | PA      | $11367207.00  | 0.62%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260430                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1416.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB4022 FN 05/54 FIXED 6.5                       | CUSIP: 3140ADPG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      852211 | PA      | $886668.38    | 0.05%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                     | TORONTO DOMINION BANK COVERED 09/28 VAR                   | CUSIP: ACI2JQGJ5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     6300000 | PA      | $4385241.28   | 0.24%             | 2028-09-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.0658* 03/13/26-20Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4086.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVI LTD / PREFERRED TERM SECURITIES XXVI INC   | PREFERRED TERM SECS XXVI SR SECURED 144A 09/37 VAR        | CUSIP: 74042QAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      515075 | PA      | $486746.09    | 0.03%             | 2037-09-22      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $643.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3 JUMBOS                                | CUSIP: 21H030658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25000000 | PA      | $22303119.00  | 1.22%             | 2056-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $18394.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.32500 07/06/26-4Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $22347.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                               | CUSIP: 912797SM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      300000 | PA      | $299335.48    | 0.02%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $790367.72    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                    | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16950035 | PA      | $15680584.70  | 0.86%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM -45 FAR                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $185078.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3914.94      | 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      | $13480453.87  | 0.74%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-746.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-191349.44   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260406                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $15451.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.40694 07/06/26-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $8149.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-2346.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080397 G2 04/30 FLOATING VAR                 | CUSIP: 36225CNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         440 | PA      | $440.79       | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $63419.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $28670.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 03/58 12                       | CUSIP: ACI2Z8HT4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  2838100000 | PA      | $697478.92    | 0.04%             | 2058-03-13      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/37 3.75     | CUSIP: ACI2V6MH2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      500000 | PA      | $544902.47    | 0.03%             | 2037-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270119                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1688155.65  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                                | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A1              | CUSIP: 88522WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37360 | PA      | $35288.51     | 0.00%             | 2037-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A        | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      870703 | PA      | $879431.16    | 0.05%             | 2055-02-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-51740.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/30 4.75     | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     8900000 | PA      | $8901699.37   | 0.49%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-95338.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                            | BULGARIA SR UNSECURED REGS 07/35 3.375                    | CUSIP: ACI2YSM32<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     1200000 | PA      | $1327877.72   | 0.07%             | 2035-07-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260401                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $8160.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-5451.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                                 | BANQUE FED CRED MUTUEL 144A 01/31 4.541                   | CUSIP: 06675DCU4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |     3300000 | PA      | $3255832.97   | 0.18%             | 2031-01-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $177093.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                  | SAUDI ARABIAN OIL CO SR UNSECURED REGS 11/30 2.25         | CUSIP: ACI1SY321<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |      200000 | PA      | $176693.60    | 0.01%             | 2030-11-24      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC3275 FN 09/54 FIXED 6.5                       | CUSIP: 3140AQT93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      883016 | PA      | $918718.93    | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-39933.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 01/33 4.5                    | CUSIP: 46514BRA7<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      600000 | PA      | $577207.21    | 0.03%             | 2033-01-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $14814.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUXL 30Y BND JUN26 XEUR 20260608                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -12 | NC      | $18179.77     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300509                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $21199.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300514                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $21185.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5217 FN 12/53 FIXED 6.5                       | CUSIP: 31418EYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4766832 | PA      | $4931478.73   | 0.27%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $111.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-1747.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-1470.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                              | REPUBLIC OF CHILE SR UNSECURED 01/29 4.85                 | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     1000000 | PA      | $1013250.00   | 0.06%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-247657.85   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $863.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $18852.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260818                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $538446.95    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                             | EGYPT TREASURY BILL BILLS 10/26 0.00000                   | CUSIP: ACI3187G8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     2650000 | PA      | $42610.43     | 0.00%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG44 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $129678.29    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 05/26 0.00000                               | CUSIP: 912797TL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      200000 | PA      | $199317.12    | 0.01%             | 2026-05-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A4               | CUSIP: 61748BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1166250 | PA      | $577930.92    | 0.03%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                                  | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A            | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      443672 | PA      | $384749.07    | 0.02%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20261021                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $259450.39    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                               | REPUBLIC OF SERBIA SR UNSECURED 144A 09/36 2.05           | CUSIP: ACI20JFB9<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |      600000 | PA      | $525750.03    | 0.03%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR5 3A          | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27343 | PA      | $17084.05     | 0.00%             | 2046-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-1986.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                      | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1           | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20933 | PA      | $14980.02     | 0.00%             | 2036-01-26      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                               | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      203000 | PA      | $202734.26    | 0.01%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-5518.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260429                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-10222.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.50000 09/16/26-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-2700289.66  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $4079.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260401                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $0.69         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.71500 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $60184.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-SCHATZ FUT   JUN26 XEUR 20260608                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -1425 | NC      | $1688650.05   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A      | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      810415 | PA      | $786276.58    | 0.04%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM2                                                      | GSAMP TRUST GSAMP 2006 FM2 A2D                            | CUSIP: 36245DAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3046817 | PA      | $1046053.76   | 0.06%             | 2036-09-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.00000 06/19/24-20Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-1967236.98  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260513                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $9763.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/18/24-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-8354.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1                                   | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 2A2         | CUSIP: 939335N84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          21 | PA      | $20.87        | 0.00%             | 2031-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2004-HE8                                       | MORGAN STANLEY CAPITAL INC MSAC 2004 HE8 M1               | CUSIP: 61744CHA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      817707 | PA      | $886241.24    | 0.05%             | 2034-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CHESHIRE 2025-1 PLC 2025-1                                                | CHESHIRE CHESH 2025 1 A REGS                              | CUSIP: ACI2ZPN69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2860003 | PA      | $3781696.90   | 0.21%             | 2048-06-28      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2489.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $137.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $486.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | PEMEX LCDS SP DUB                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $7861.51      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260403                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1020.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                   | BANK OF NOVA SCOTIA COVERED 144A 03/29 3.791              | CUSIP: 06418BAL2<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     4400000 | PA      | $4377471.03   | 0.24%             | 2029-03-13      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $2011.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR CHF SRFXON3/0.25000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |           1 | NC      | $-179042.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                           | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1                | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      113335 | PA      | $85619.89     | 0.00%             | 2035-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $20863.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $11717.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $20281.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-19890.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $33803.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1734156.11   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $4795.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $10328.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $5037.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $14111.16     | 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      | $-4656.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F062663<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -66800000 | PA      | $-69050055.13 | -3.77%            | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $1063.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                           | COSTA RICA GOVERNMENT BONDS 144A 01/36 6.001              | CUSIP: ACI3859N0<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     2500000 | PA      | $2977932.51   | 0.16%             | 2036-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $5071.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1              | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          85 | PA      | $9.56         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1.5            | CUSIP: ACI19Y843<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.13         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MUNICIPAL ELECTRIC AUTHORITY OF GEORGIA                                   | MUNI ELEC AUTH OF GEORGIA MELPWR 04/57 FIXED 6.655        | CUSIP: 626207YM0<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |      369000 | PA      | $398578.30    | 0.02%             | 2057-04-01      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $13244.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.25000 03/19/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-357300.78   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-39798.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2314.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -95000000 | PA      | $-76500975.85 | -4.17%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $43516.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $108.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $927.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 1.00000 05/13/22-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-59858.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $3171.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7606 FN 12/53 FIXED 6.5                       | CUSIP: 3140QTNY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5562434 | PA      | $5755012.77   | 0.31%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-25570.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | DEUTSCHE BANK AKTIENGESELLSCH SLA SE ICE                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |           1 | NC      | $-17666.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 11/54 4.5                                 | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    42500000 | PA      | $39714257.60  | 2.17%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US LONG BOND(CBT) JUN26 XCBT 20260618                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          15 | NC      | $-60372.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1           | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40116 | PA      | $34941.39     | 0.00%             | 2035-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5167 FN 10/53 FIXED 6.5                       | CUSIP: 31418EW55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       89559 | PA      | $92848.31     | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ8703 FN 05/49 FIXED 3.5                       | CUSIP: 3140HAU57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      212956 | PA      | $199299.34    | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2028668.45   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1              | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           5 | PA      | $0.58         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | 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        |      761429 | PA      | $788722.01    | 0.04%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | TRS P SIBCSORA-5/SGXF75438295 CBK                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | SG        |           1 | NC      | $3279.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $22860.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260602                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2.49        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                            | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4A                  | CUSIP: 12669FY23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4474 | PA      | $4375.74      | 0.00%             | 2034-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F052656<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -10600000 | PA      | $-10635158.61 | -0.58%            | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1766.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -7400000 | PA      | $-6769290.75  | -0.37%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $28297.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-2535.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-34                                                        | FANNIE MAE FNR 2003 34 A1                                 | CUSIP: 31393CEY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5796 | PA      | $5855.57      | 0.00%             | 2043-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 01/56 5.375                | CUSIP: ACI2X9NM2<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     3300000 | PA      | $4268599.56   | 0.23%             | 2056-01-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | SOUTH AFRICA TREASURY BILL 7.93  13.05.2026               | CUSIP: ACI2X3D53<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    30500000 | PA      | $1791242.50   | 0.10%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS SEK 2.50000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |           1 | NC      | $-1025918.84  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $336.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A       | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      263360 | PA      | $219605.68    | 0.01%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5421 FN 07/54 FIXED 6                         | CUSIP: 31418FAX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5838896 | PA      | $5955171.85   | 0.32%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $286.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G 11/37 2               | CUSIP: ACI1Q9PP3<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    10000000 | PA      | $4664960.19   | 0.25%             | 2037-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-4055.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.50000 09/18/24-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $627941.50    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR EUR ESTRON/2.17000 12/15/27-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-1749466.00  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.11131 02/14/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $39182.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $86068.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $11134.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $15737.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.00000 06/18/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-140660.43   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR EUR ESTRON/1.79544 03/10/25-5Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-262317.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-6XS                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 6XS 2A6S          | CUSIP: 61751JAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      136444 | PA      | $43772.13     | 0.00%             | 2047-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 08/35 4   | CUSIP: ACI2CQHN2<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     3200000 | PA      | $2035805.65   | 0.11%             | 2035-08-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $936.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INVESTINDUSTRIAL VIII SCSP                                                | PROJ ALFA 3 TERM LOAN                                     | CUSIP: BA000RG42<br>LEI: 213800KUK2RJHCSU9551 | Long             | LON              | CORP              | US        |      323566 | PA      | $323566.21    | 0.02%             | 2026-10-21      | Floating      | 5.74%                 | Yes           |                  3 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 04/26 1              | CUSIP: ACI2SJ0L3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    38100000 | PA      | $5893089.15   | 0.32%             | 2026-04-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                 | VMED O2 UK FINANCING I SR SECURED 144A 04/32 5.625        | CUSIP: ACI2NJDT7<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     5300000 | PA      | $5646021.03   | 0.31%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                              | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 10/30 4.375    | CUSIP: 147918AF3<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |      200000 | PA      | $198546.00    | 0.01%             | 2030-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $47797.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                                                    | CHINA DEVELOPMENT BANK UNSECURED 05/33 2.82               | CUSIP: ACI2G7SL2<br>LEI: 300300C1020111000029 | Long             | DBT              | CORP              | CN        |      600000 | PA      | $92758.46     | 0.01%             | 2033-05-22      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR5                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7           | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1185 | PA      | $1188.23      | 0.00%             | 2033-06-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-15711.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                  | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 1A1         | CUSIP: 94985GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37523 | PA      | $33056.01     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $9883.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-2053.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-5728.10     | -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      | $-7429.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $3435.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-4543.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS KRW 2.75000 03/18/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |           1 | NC      | $-30215.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                     | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   572300000 | PA      | $2499469.45   | 0.14%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BOBL FUTURE  JUN26 XEUR 20260608                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -532 | NC      | $1332618.56   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-9956.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                                    | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A1              | CUSIP: 61749KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      117881 | PA      | $107091.37    | 0.01%             | 2036-07-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                        | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 09/28 VAR      | CUSIP: 86563VCC1<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |     2400000 | PA      | $2404576.68   | 0.13%             | 2028-09-11      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260515                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $5590.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                        | CREDIT AGRICOLE SA 144A 10/29 VAR                         | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     1800000 | PA      | $1874243.14   | 0.10%             | 2029-10-03      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                       | NEXTERA ENERGY CAP HLDGS INC                              | CUSIP: 65339NDL5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      550000 | PA      | $548771.03    | 0.03%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-7010.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-130202.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 01/32 0.125                               | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1994440 | PA      | $1836116.15   | 0.10%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $60986.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $128344.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A        | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      337590 | PA      | $322724.83    | 0.02%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $1282.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.64000 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $56849.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-40576.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1600000 | NC      | $-8358.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-881.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVESINK CLO 6 LTD 2026-6A                                                | NAVESINK CLO, LIMITED NAVS 2026 6A A1 144A                | CUSIP: 63944AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2700000.00   | 0.15%             | 2037-04-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/29 1   | CUSIP: ACI17SZK2<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     2315000 | PA      | $2572775.22   | 0.14%             | 2029-04-30      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-5                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 5 1A4            | CUSIP: 17307GXW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      256413 | PA      | $239403.91    | 0.01%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                 | COREBRIDGE GLOB FUNDING SR SECURED 144A 01/31 4.55        | CUSIP: 00138CBM9<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4445172.72   | 0.24%             | 2031-01-09      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-328451.12   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO110626                                | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  3118000000 | PA      | $2167268.12   | 0.12%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH4169 FN 12/47 FIXED 3.5                       | CUSIP: 3140GST36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      118051 | PA      | $109802.91    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/49 2.25                                | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4425000 | PA      | $2753352.53   | 0.15%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-238791.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $1439.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/56 4.75                                | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      500000 | PA      | $487734.38    | 0.03%             | 2056-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $264.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-8997.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 03/18/26-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $499051.92    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP BPS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $1020605.61   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF10                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF10 A1           | CUSIP: 32028HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      574592 | PA      | $554341.85    | 0.03%             | 2036-07-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300516                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $21170.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-185693.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-1198.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 13.2683 12/17/25-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-495220.93   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $501.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                  | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/60 4.8          | CUSIP: 716743AS8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |      300000 | PA      | $261581.94    | 0.01%             | 2060-04-21      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A2                                          | JP MORGAN MORTGAGE TRUST JPMMT 2003 A2 3A1                | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         530 | PA      | $518.17       | 0.00%             | 2033-11-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                       | COMMONSPIRIT HEALTH SECURED 09/35 4.975                   | CUSIP: 20268JBD4<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     3200000 | PA      | $3124248.99   | 0.17%             | 2035-09-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300515                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $21170.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 3A1                | CUSIP: 466247WT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2511 | PA      | $2366.87      | 0.00%             | 2035-10-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                      | JYSKE REALKREDIT A/S COVERED 10/50 1                      | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.23         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $17443.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN GOVT CPI LINKED BONDS 03/29 0.1                     | CUSIP: ACI1BXN03<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   395363500 | PA      | $2483711.35   | 0.14%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | SOUTH AFRICA TREASURY BILL SA TREASURY BILL 0 08/26       | CUSIP: ACI34G249<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    98000000 | PA      | $5672105.75   | 0.31%             | 2026-08-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.89750 06/19/25-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $87364.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 09/30 VAR                  | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      900000 | PA      | $928053.89    | 0.05%             | 2030-09-13      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260506                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $15096.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                      | JPMORGAN CHASE + CO SR UNSECURED 01/28 VAR                | CUSIP: 46647PEA0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2915067.76   | 0.16%             | 2028-01-23      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $184694.28    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR EUR ESTRON/1.92272 03/10/25-5Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-510846.71   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1         | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      234289 | PA      | $216970.91    | 0.01%             | 2036-12-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| AMRESCO RES SEC 1999-1                                                    | AMRESCO RESIDENTIAL SECURITIES AMRES 1999 1 A             | CUSIP: 03215PFN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5670 | PA      | $5936.10      | 0.00%             | 2029-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8790 FN 07/54 FIXED VAR                       | CUSIP: 3140XQXU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      809758 | PA      | $839662.16    | 0.05%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25       | CUSIP: BNDC0SII9<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     1700000 | PA      | $947140.85    | 0.05%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                 | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/28 3             | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      550000 | PA      | $529560.52    | 0.03%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-456959.94   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/55 4.625                               | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    24300000 | PA      | $23182769.59  | 1.26%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.82500 09/19/45-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-378542.10   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 3.815         | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      400000 | PA      | $392126.29    | 0.02%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                               | REPUBLIC OF POLAND SR UNSECURED 09/34 5.125               | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     3300000 | PA      | $3320837.88   | 0.18%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $44741.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $64425.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                    | STANDARD CHARTERED PLC SR UNSECURED 144A 01/28 VAR        | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      900000 | PA      | $886728.79    | 0.05%             | 2028-01-12      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-35794.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-950.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                      | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 11/37 3.5      | CUSIP: ACI0Z9D11<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     3500000 | PA      | $1952652.17   | 0.11%             | 2037-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1138.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2003-S9                                     | RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1            | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         284 | PA      | $286.53       | 0.00%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A           | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1419 | PA      | $1312.63      | 0.00%             | 2034-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 2.5 JUMBOS                              | CUSIP: 21H022648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      450000 | PA      | $387210.94    | 0.02%             | 2056-04-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BARCLAYS REPO EUR ZCP                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | LU        |     3494430 | PA      | $4039037.69   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260421                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-5647.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $862604.53    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/0.75000 03/19/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-180472.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260521                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-116203.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A             | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      469164 | PA      | $440748.19    | 0.02%             | 2036-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $13051.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $3729.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-10556.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                         | NATWEST GROUP PLC SR UNSECURED 01/30 VAR                  | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     1700000 | PA      | $1719277.71   | 0.09%             | 2030-01-27      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-7334.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $39202.46     | 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      | $-125210.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-4129.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT RRB BONDS 12/44 1.5                   | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      570936 | PA      | $393038.55    | 0.02%             | 2044-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-219961.29   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                      | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3            | CUSIP: 61752UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1083659 | PA      | $554625.89    | 0.03%             | 2037-04-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| GACI FIRST INVESTMENT COMPANY                                             | GACI FIRST INVESTMENT COMPANY GUAR REGS 01/34 5.25        | CUSIP: ACI2MLG86<br>LEI: 558600TU1PWGNLZ3XM88 | Long             | DBT              | CORP              | KY        |     1400000 | PA      | $1390746.34   | 0.08%             | 2034-01-29      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 02/48 8.75                 | CUSIP: ACI0289D8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    21900000 | PA      | $1170890.45   | 0.06%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $18866.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                               | REPUBLIC OF SERBIA SR UNSECURED 144A 06/34 6              | CUSIP: 817477AJ1<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     1100000 | PA      | $1103034.49   | 0.06%             | 2034-06-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260630                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-524.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE2                                        | MASTR ASSET BACKED SECURITIES MABS 2006 HE2 A4            | CUSIP: 57644UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2801296 | PA      | $927866.13    | 0.05%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260409                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-28.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 09/29 VAR                  | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     2600000 | PA      | $2702567.79   | 0.15%             | 2029-09-22      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-57298.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-3346.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                       | NOMURA HOLDINGS INC SR UNSECURED 01/27 2.329              | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |      600000 | PA      | $590082.31    | 0.03%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                                       | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1          | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2582 | PA      | $2494.05      | 0.00%             | 2045-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                       | BANCA MONTE DEI PASCHI S COVERED REGS 10/27 0.875         | CUSIP: ACI1FY8R5<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     1200000 | PA      | $1374570.08   | 0.07%             | 2027-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-6632.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 5.20000 03/23/31-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $-3864.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRACCAN MORTGAGE FUNDING 2026-1 PLC 26-1A                                 | BRACCAN MORTGAGE FUNDING BRACN 2026 1A A 144A             | CUSIP: ACI38ZZ47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2200000 | PA      | $2912285.00   | 0.16%             | 2068-04-17      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 05/29 3.5           | CUSIP: ACI2KBGK3<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    10000000 | PA      | $11799612.56  | 0.64%             | 2029-05-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-52833.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                               | KUWAIT INTL BOND SR UNSECURED 144A 10/35 4.652            | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     3000000 | PA      | $2885290.83   | 0.16%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-7768.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260818                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-1210.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6989 FN 06/53 FIXED 5.5                       | CUSIP: 3140QSXT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      749502 | PA      | $754704.07    | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 11/49 2.375                               | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1575000 | PA      | $1003877.93   | 0.05%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                                    | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A           | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4200000 | PA      | $4197267.14   | 0.23%             | 2034-10-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $14267.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                               | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A A 144A         | CUSIP: ACI2NCB49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      983278 | PA      | $1301402.49   | 0.07%             | 2050-06-28      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20I                                  | SMALL BUSINESS ADMINISTRATION SBAP 2008 20I 1             | CUSIP: 83162CSA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       15278 | PA      | $15461.48     | 0.00%             | 2028-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT BONDS 03/29 4                         | CUSIP: 135087Q98<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    18700000 | PA      | $13841307.15  | 0.76%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TRUST 2007-PA2                               | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA2 1A1         | CUSIP: 94985FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       62801 | PA      | $57565.93     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20270104                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $30328.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2166.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H17                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H17 FK            | CUSIP: 38376RXQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      280667 | PA      | $281856.76    | 0.02%             | 2066-07-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-139425.49   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM7441 FN 05/51 FIXED VAR                       | CUSIP: 3140XBHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65738 | PA      | $57891.78     | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE3                                                      | GSAMP TRUST GSAMP 2006 HE3 A2D                            | CUSIP: 36244KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1158681 | PA      | $1126130.91   | 0.06%             | 2046-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-95374.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-207679.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2315.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-3262.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-155.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20270128                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $66966.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-4640.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $89689.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-92542.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-145397.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A15                                    | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 3A1          | CUSIP: 45660L4E6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      676934 | PA      | $451065.13    | 0.02%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1          | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         678 | PA      | $638.67       | 0.00%             | 2034-11-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260603                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2395.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD6411 FN 04/55 FIXED 6.5                       | CUSIP: 3140B7DR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      765633 | PA      | $793076.86    | 0.04%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080199 G2 05/28 FLOATING VAR                 | CUSIP: 36225CGH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         195 | PA      | $195.50       | 0.00%             | 2028-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-1109.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-8588.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $163.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                  | LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR           | CUSIP: ACI27Z980<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $273206.69    | 0.01%             | 2027-09-27      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260707                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $92559.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-39247.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1                             | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A     | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      359893 | PA      | $300100.93    | 0.02%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260511                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $10450.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTG INV TRUST 2005-HE3                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE3 A1B          | CUSIP: 59020UX75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3053165 | PA      | $2879697.93   | 0.16%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                      | EUROSAIL PLC ESAIL 2007 3X A3A REGS                       | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      120934 | PA      | $160075.86    | 0.01%             | 2045-06-13      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 01/31 VAR              | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1223547.10   | 0.07%             | 2031-01-24      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $87487.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CAN 10YR BOND FUT JUN26 XMOD 20260619                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         -88 | NC      | $152331.54    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | 31750SBA2 PIMCO FXVAN PUT USD KRW 1400.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     5309816 | NC      | $15828.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260430                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-13632.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                                       | SAXON ASSET SECURITIES TRUST SAST 2007 3 1A               | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      556230 | PA      | $541936.70    | 0.03%             | 2037-09-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260421                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $18929.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                  | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/55 6.375        | CUSIP: 80414L3F0<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |      700000 | PA      | $697541.63    | 0.04%             | 2055-06-02      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-117251.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 05/26 0.00000                               | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      985000 | PA      | $979527.27    | 0.05%             | 2026-05-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-20602.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                     | TORONTO DOMINION BANK COVERED 144A 06/26 4.701            | CUSIP: 891160TD5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     4800000 | PA      | $4806637.44   | 0.26%             | 2026-06-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $10548.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-273.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MV CREDIT EURO CLO III DAC 3A                                             | MV CREDIT EURO CLO MVCLO 3A AR 144A                       | CUSIP: ACI35DCS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3900000 | PA      | $4507741.03   | 0.25%             | 2038-02-15      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                      | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 09/35 4.75     | CUSIP: ACI2MHTY4<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     1600000 | PA      | $1040146.82   | 0.06%             | 2035-09-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                             | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1                    | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7255 | PA      | $7301.34      | 0.00%             | 2033-07-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                                            | COMMONWEALTH BANK AUST COVERED 144A 09/28 5.071           | CUSIP: 20271AAL1<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     2600000 | PA      | $2665628.11   | 0.15%             | 2028-09-14      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $67408.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                                   | FREDDIE MAC FHR 5508 AF                                   | CUSIP: 3137HJFR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2134993 | PA      | $2154204.11   | 0.12%             | 2055-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-NQM2                                                            | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 NQM2 A1 144A     | CUSIP: 281917AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4025019 | PA      | $4043738.81   | 0.22%             | 2070-06-25      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                             | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                   | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      759246 | PA      | $623439.40    | 0.03%             | 2036-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR1                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR1 1A1                  | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3367 | PA      | $3234.55      | 0.00%             | 2035-01-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA UNSECURED 144A 07/30 1.75                         | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      800000 | PA      | $814791.18    | 0.04%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-1                                          | NOVASTAR HOME EQUITY LOAN NHEL 2006 1 A2D                 | CUSIP: 669884AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2783950 | PA      | $2731929.54   | 0.15%             | 2036-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0463 FN 03/60 FIXED 3                         | CUSIP: 3140FXQR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      545935 | PA      | $475249.73    | 0.03%             | 2060-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASST BKD 2005-FF2                                   | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF2 M5            | CUSIP: 36242DN66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      212324 | PA      | $239143.45    | 0.01%             | 2035-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 2.5 JUMBOS                              | CUSIP: 21H022655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4650000 | PA      | $3998636.74   | 0.22%             | 2056-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.00000 03/19/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $280076.77    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-3047.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                     | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   892000000 | PA      | $4966659.15   | 0.27%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 06/17/26-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-203955.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 800171 FN 12/34 FLOATING VAR                    | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4279 | PA      | $4350.02      | 0.00%             | 2034-12-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                       | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A           | CUSIP: ACI1W43B2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      284251 | PA      | $328960.27    | 0.02%             | 2033-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG45 10Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-87452.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $325.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-5850.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                    | PROJECT FENNO EUR REVOLVER                                | CUSIP: BA000MLP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |      296007 | PA      | $344189.29    | 0.02%             | 2028-07-10      | Floating      | 0.99%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $206.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-749.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1810.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-216467.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                   | FREDDIE MAC FHR 4579 SD                                   | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      115861 | PA      | $5494.03      | 0.00%             | 2038-01-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260624                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $54209.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.86092 03/14/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $138613.14    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-OAT FUTURE   JUN26 XEUR 20260608                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -1034 | NC      | $4498878.71   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $87264.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 03/34 5.5                    | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     3700000 | PA      | $3752451.50   | 0.20%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260720                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $191843.91    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A            | CUSIP: 12669QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1176173 | PA      | $1204363.46   | 0.07%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260430                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-15473.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $157176.81    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ2143 FR 08/54 FIXED 6.5               | CUSIP: 3133CSLY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      641371 | PA      | $665263.35    | 0.04%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-253.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5390 FN 06/54 FIXED 6.5                       | CUSIP: 31418E7C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1418067 | PA      | $1467101.47   | 0.08%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $9010.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $2.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-12234.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A2          | CUSIP: 12668AGT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3388 | PA      | $3228.20      | 0.00%             | 2035-11-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $4887.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $947355.72    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $328.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.25000 09/16/26-2Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-6438414.75  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/1.75000 06/15/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1374779.90  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                               | LETRA TESOURO NACIONAL BILLS 10/26 0.00000                | CUSIP: ACI2Q7PM2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   116000000 | PA      | $20979824.47  | 1.14%             | 2026-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-58825.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                               | REPUBLIC OF SERBIA SR UNSECURED 144A 09/28 1              | CUSIP: ACI20JHB7<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |      700000 | PA      | $747992.29    | 0.04%             | 2028-09-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $557212.74    | 0.03%             |  |  |  | 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        |   447000000 | PA      | $2185414.70   | 0.12%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-173238.53   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-42077.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260409                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-21145.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $9413.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-18961.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (5 YEAR ISSUE) BONDS 06/29 0.4                      | CUSIP: ACI2QPV94<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   450000000 | PA      | $2734195.52   | 0.15%             | 2029-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-1805.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $2290.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $54.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RXO0 PIMCO FXVAN CALL USD SGD 1.31500000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     6606000 | NC      | $25723.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $21325.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1              | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           5 | PA      | $0.60         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260506                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-2705.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO MORGAN STANLEY                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -862875 | PA      | $-862958.89   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-58004.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080414 G2 06/30 FLOATING VAR                 | CUSIP: 36225CN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1523 | PA      | $1519.23      | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 841068 FN 11/34 FLOATING VAR                    | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7332 | PA      | $7673.94      | 0.00%             | 2034-11-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260810                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-10468.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-2   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 2 2CB           | CUSIP: 93934FMD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1162368 | PA      | $780222.84    | 0.04%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $14386.42     | 0.00%             |  |  |  | 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        |     1280256 | PA      | $1290643.14   | 0.07%             | 2063-10-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2025-4 DAC 25-4A                                      | GROSVENOR PLACE CLO BV GROSV 2025 4A A 144A               | CUSIP: ACI379GR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1400000 | PA      | $1618150.66   | 0.09%             | 2039-08-15      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $38935.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-207198.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260429                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-2954.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-30277.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20260401                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-567856.03   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $11879.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA AND NEW ZEALAND BANKING GROUP LTD                               | AUST + NZ BANKING GROUP COVERED 144A 06/26 4.675          | CUSIP: 05252EAE3<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |     3600000 | PA      | $3604319.64   | 0.20%             | 2026-06-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                    | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1             | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43218 | PA      | $3491.13      | 0.00%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260810                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $17352.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S2                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 S2 1A11               | CUSIP: 46630WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1388892 | PA      | $525243.10    | 0.03%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-9059.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260603                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-24520.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $145579.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                            | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000       | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |     2500000 | PA      | $1957600.00   | 0.11%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                      | JYSKE REALKREDIT A/S COVERED 01/27 1                      | CUSIP: ACI3558F1<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    29009000 | PA      | $4443287.51   | 0.24%             | 2027-01-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.25000 09/17/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-2844931.40  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $20725.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A2B              | CUSIP: 61755AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1134446 | PA      | $865421.20    | 0.05%             | 2037-05-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.90500 08/15/25-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-588.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-970.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT DKK SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-34945.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | AUST 3YR BOND FUT JUN26 XSFE 20260615                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          87 | NC      | $-24257.12    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $33154.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $10419.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $44361.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JOINT STOCK COMPANY DEVELOPMENT BANK OF KAZAKHSTAN                        | DEVELOPMENT BANK OF KAZA SR UNSECURED 144A 10/28 18.4     | CUSIP: 48129VAF3<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | CORP              | KZ        |   831000000 | PA      | $1786679.63   | 0.10%             | 2028-10-16      | Fixed         | 18.40%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-576634.57   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TRUST 2006-1                                       | MASTR ALTERNATIVE LOANS TRUST MALT 2006 1 A1              | CUSIP: 576434Y32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      493667 | PA      | $195473.69    | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260720                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $20076.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $69.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.10000 03/31/23-10Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2197960.75  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $40417.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-15888.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-OA3                                   | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA3 A1           | CUSIP: 25150WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      222317 | PA      | $212733.68    | 0.01%             | 2047-07-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $1280769.45   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260626                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-6494.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300513                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $21185.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWER BRIDGE FUNDING 2024-2 PLC                                           | TOWER BRIDGE FUNDING TWRBG 2024 2A A 144A                 | CUSIP: ACI2NPXW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1491048 | PA      | $1975506.65   | 0.11%             | 2066-05-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                              | HUNGARY SR UNSECURED 144A 09/30 5.375                     | CUSIP: 445545AV8<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |      100000 | PA      | $100820.29    | 0.01%             | 2030-09-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260722                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-60314.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-75.76       | -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        |    -5128000 | NC      | $-2071.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7197 FN 07/53 FIXED 5.5                       | CUSIP: 3140QS7K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4735339 | PA      | $4773992.71   | 0.26%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $34309.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                               | BANK OF AMERICA CORP SR UNSECURED 01/35 VAR               | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1531681.71   | 0.08%             | 2035-01-23      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-28803.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-25183.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SC03 PIMCO FXVAN PUT USD KRW 1350.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -10259500 | NC      | $-8412.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                                | GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1                    | CUSIP: 36228F4P8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3181 | PA      | $3090.89      | 0.00%             | 2034-06-25      | Floating      | 4.39%                 | 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        |     8927000 | NC      | $12837.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA/SYDNEY BRANCH                                        | ROYAL BANK OF CANADA/SYD COVERED 06/26 VAR                | CUSIP: ACI2GXVN7<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     3500000 | PA      | $2417512.03   | 0.13%             | 2026-06-30      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260722                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-44902.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                           | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528    | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      758000 | PA      | $732554.58    | 0.04%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $1445.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $9679.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                                | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A3A             | CUSIP: 88522WAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       86352 | PA      | $75083.62     | 0.00%             | 2037-06-25      | Floating      | 5.74%                 | 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      | $14163.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-23078.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-265.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM10 TRUST                                                      | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM10 A1 144A           | CUSIP: 67449CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1107309 | PA      | $1115248.29   | 0.06%             | 2063-10-25      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $36018.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                                                    | CHINA DEVELOPMENT BANK UNSECURED 01/34 2.63               | CUSIP: ACI2MPQS2<br>LEI: 300300C1020111000029 | Long             | DBT              | CORP              | CN        |     1700000 | PA      | $260057.03    | 0.01%             | 2034-01-08      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                               | NATIONWIDE BLDG SOCIETY 144A 10/27 VAR                    | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     2800000 | PA      | $2831890.80   | 0.15%             | 2027-10-18      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR16                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR16 1A3         | CUSIP: 92922F6Y9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       71891 | PA      | $66586.82     | 0.00%             | 2035-12-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                               | BNP PARIBAS 144A 01/33 VAR                                | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     1000000 | PA      | $1034055.59   | 0.06%             | 2033-01-13      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $50874.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-3                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1           | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43433 | PA      | $39429.22     | 0.00%             | 2047-05-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-11668.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $149847.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/0.8000 06/15/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $372779.52    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.50000 09/16/26-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-2902420.62  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.70000 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $40390.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $44789.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.00000 03/17/26-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-3363.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $116711.87    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260812                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $58178.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 03/18/26-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-655628.77   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                | PACIFICORP 1ST MORTGAGE 02/29 5.1                         | CUSIP: 695114DB1<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1114382.20   | 0.06%             | 2029-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002 AR2                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A            | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2915 | PA      | $2852.20      | 0.00%             | 2034-02-27      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $8247.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD7762 FN 05/55 FIXED 6.5                       | CUSIP: 3140B8TU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      810582 | PA      | $840407.07    | 0.05%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $5851.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260427                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $4142.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $404478.72    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RXP7 PIMCO FXVAN PUT USD SGD 1.23650000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    -6606000 | NC      | $-40428.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875                | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   481500000 | PA      | $27965912.68  | 1.53%             | 2035-02-28      | Fixed         | 8.88%                 | 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        |    -2669000 | NC      | $-1080.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-476.61      | -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      | $-403713.31   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-54                                                 | FANNIE MAE FNR 2025 54 FM                                 | CUSIP: 3136BWNW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2040394 | PA      | $2052323.76   | 0.11%             | 2055-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF3            | CUSIP: 75970HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      544629 | PA      | $160866.08    | 0.01%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-655.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE/SYDNEY BRANCH                          | CIBC SYDNEY COVERED 09/26 VAR                             | CUSIP: ACI20BC45<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | AU        |     3200000 | PA      | $2207487.34   | 0.12%             | 2026-09-14      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $20073.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $4818.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY 03/35 1                                    | CUSIP: ACI2NCY69<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2403685.14   | 0.13%             | 2035-03-21      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $1174902.37   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-3850.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.50000 09/16/26-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $444342.82    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-R1                                       | RESIDENTIAL ASSET SECURITIZATI RAST 2006 R1 A2            | CUSIP: 76113MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       45770 | PA      | $12150.69     | 0.00%             | 2046-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A1A        | CUSIP: 12668BD91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      625256 | PA      | $582421.95    | 0.03%             | 2046-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270119                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1057465.26  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260605                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $288.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1B        | CUSIP: 02151WAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      261552 | PA      | $236820.36    | 0.01%             | 2047-11-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260615                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-241.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $1725.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $9821.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.25000 12/17/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-1306133.22  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                               | NATIONWIDE BLDG SOCIETY COVERED 144A 11/26 5.264          | CUSIP: 638602BS0<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     3200000 | PA      | $3223615.04   | 0.18%             | 2026-11-10      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBI5 PIMCO FXVAN PUT USD KRW 1350.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -10259500 | NC      | $-8197.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOPHO-6A                                                                  | BOSPHORUS CLO BOPHO 6A A 144A                             | CUSIP: ACI2VMJX6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3214630 | PA      | $3715090.49   | 0.20%             | 2034-05-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $1972.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                               | PHILLIPS 66                                               | CUSIP: 71855BD17<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     1450000 | PA      | $1449839.78   | 0.08%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-12892.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A2         | CUSIP: 83613FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1026112 | PA      | $810986.26    | 0.04%             | 2037-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020646<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -59900000 | PA      | $-48261616.89 | -2.63%            | 2056-04-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-10070.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                             | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1                    | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38911 | PA      | $33516.49     | 0.00%             | 2036-07-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-12917.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750S451 PIMCO FXVAN PUT EUR CZK 23.90000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     4005000 | NC      | $314.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS THB THORON/1.25000 09/16/26-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |           1 | NC      | $175460.63    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $6391.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | PEMEX SNR LA SP CBK                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-5625.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -3200000 | PA      | $-2689625.02  | -0.15%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR NOTE (CBT)JUN26 XCBT 20260618                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         293 | NC      | $-577303.77   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $8587.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8786 FN 07/54 FIXED VAR                       | CUSIP: 3140XQXQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      825955 | PA      | $862309.98    | 0.05%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $18156.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $49964.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-61321.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5074.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $15271.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-223.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A1        | CUSIP: 02146XAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2188703 | PA      | $848172.07    | 0.05%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-59290.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                                | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A2           | CUSIP: 761118EP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99799 | PA      | $77040.59     | 0.00%             | 2035-08-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.50000 03/18/26-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $55898.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBZ7 PIMCO FXVAN PUT USD KRW 1400.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    10259500 | NC      | $31137.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR ULTRA FUT JUN26 XCBT 20260618                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         452 | NC      | $-1152594.90  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                     | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   509400000 | PA      | $2436440.89   | 0.13%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.76527 03/04/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $634057.21    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/0.4500 12/15/21-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $264757.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.50000 06/18/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-99020.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A     | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      353274 | PA      | $198811.81    | 0.01%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-4958.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                    | REALKREDIT DANMARK COVERED REGS 10/50 1                   | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.19         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | 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      | $-32505.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 01/35 11.75                    | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 28975500000 | PA      | $7184068.89   | 0.39%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $19812.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260521                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $16923.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-WF1                                      | NOMURA HOME EQUITY LOAN INC NHELI 2006 WF1 M2             | CUSIP: 65536RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35847 | PA      | $35863.47     | 0.00%             | 2036-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260403                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $7661.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $98.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7988 G2 04/52 FIXED 3                      | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      495490 | PA      | $442979.65    | 0.02%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3209.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                                   | FREDDIE MAC FHR 5517 FE                                   | CUSIP: 3137HKGJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2608328 | PA      | $2639169.08   | 0.14%             | 2055-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260721                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-23407.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (20 YEAR ISSUE) BONDS 06/40 0.4                     | CUSIP: ACI1PD3L8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1070000000 | PA      | $4814848.30   | 0.26%             | 2040-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3MO EURO EURIBOR  DEC26 IFLL 20261214                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        4080 | NC      | $-4059407.12  | -0.22%            |  |  |  | No            |                  1 | 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        |      741250 | PA      | $742717.74    | 0.04%             | 2037-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $89981.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20270104                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $35859.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F060667<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -32000000 | PA      | $-32572245.76 | -1.78%            | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $420.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-6165.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-594.77      | -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      | $-3163.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1           | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1407 | PA      | $1327.05      | 0.00%             | 2033-02-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-8159.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 03/18/26-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $26682.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-13357.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.93000 06/25/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $78814.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-8342.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260818                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-7541.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS SGD SIBSORA/1.75000 09/16/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |           1 | NC      | $2163069.90   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2024-3A LTD                                               | ATLANTIC AVENUE LTD MCCP 2024 3A A 144A                   | CUSIP: 04822JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3900000 | PA      | $3902083.30   | 0.21%             | 2035-01-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                      | JPMORGAN CHASE + CO SR UNSECURED 01/31 VAR                | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3157423.32   | 0.17%             | 2031-01-24      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $33832.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ2139 FR 08/54 FIXED 6.5               | CUSIP: 3133CSLU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1543608 | PA      | $1614430.22   | 0.09%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA1608 FN 11/53 FIXED 6.5                       | CUSIP: 3140A1YE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5035861 | PA      | $5212460.26   | 0.28%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BTP FUTURE   JUN26 XEUR 20260608                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         763 | NC      | $-3524721.16  | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A1             | CUSIP: 86360WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      846739 | PA      | $493715.67    | 0.03%             | 2036-07-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $193.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260624                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-232.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-SD3                                                      | GSAMP TRUST GSAMP 2006 SD3 A 144A                         | CUSIP: 36244RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36350 | PA      | $34406.71     | 0.00%             | 2046-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-1172.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260729                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $15227.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $3538.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.12982 02/14/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $8970.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/2.50000 12/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $1447955.80   | 0.08%             |  |  |  | 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        |      628976 | PA      | $727902.93    | 0.04%             | 2030-01-31      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB4023 FN 05/54 FIXED 6.5                       | CUSIP: 3140ADPH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      840380 | PA      | $877371.40    | 0.05%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A      | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      664638 | PA      | $638903.41    | 0.03%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1766.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $206.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO X DAC 10A                                              | HAYFIN EMERALD CLO HAYEM 10A ARR 144A                     | CUSIP: ACI2ZWCP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3600000 | PA      | $4158662.77   | 0.23%             | 2039-10-18      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-1924.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $249.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 M1             | CUSIP: 86358ELZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28097 | PA      | $27070.78     | 0.00%             | 2034-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM -45 CBK                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $12717.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | LONG GILT FUTURE  JUN26 IFLL 20260626                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         322 | NC      | $-1545855.21  | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV5                       | OCEANVIEW MORTGAGE TRUST BVINV 2021 5 A1 144A             | CUSIP: 07336JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1540357 | PA      | $1339708.30   | 0.07%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-9716.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG         | CUSIP: 952NPHII6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      400000 | PA      | $140000.00    | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-2140.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO 2025-1 DAC 25-1A                                         | BARINGS EURO CLO DAC BABSE 2025 1A A 144A                 | CUSIP: ACI379GS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1200000 | PA      | $1384361.35   | 0.08%             | 2039-08-15      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W12                                             | FANNIEMAE WHOLE LOAN FNW 2004 W12 1A1                     | CUSIP: 31394A6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25773 | PA      | $26599.75     | 0.00%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-19939.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA INVESTMENT HOLDINGS LIMITED                                  | VIRGIN MEDIA INV HLDGS LTD 2025 GBP TERM LOAN             | CUSIP: BA000VZK6<br>LEI: 549300ZM1VNUHR0FX008 | Long             | LON              | CORP              | GB        |      800000 | PA      | $1016525.15   | 0.06%             | 2030-08-01      | Floating      | 6.98%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260417                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-4905.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25            | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $76057.35     | 0.00%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                          | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A             | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2651445 | PA      | $2551755.56   | 0.14%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM-31.5 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $19187.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $16747.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                      | KEURIG DR PEPPER                                          | CUSIP: 49271KD92<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      300000 | PA      | $299688.39    | 0.02%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 04/29 3.875                               | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2967390 | PA      | $3202111.97   | 0.17%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                   | MANHATTAN WEST OMW 2020 1MW A 144A                        | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1927840.40   | 0.11%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-2771.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                          | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A                 | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      854440 | PA      | $560956.34    | 0.03%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -1182184 | NC      | $-1043.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-21982.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY13 4A1        | CUSIP: 02149DAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12263 | PA      | $11038.04     | 0.00%             | 2037-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-11753.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRALEE CLO V LTD 2018-5A                                                  | TRALEE CLO LTD TRAL 2018 5A A1RR 144A                     | CUSIP: 89300JBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3700000 | PA      | $3694450.19   | 0.20%             | 2034-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -5309816 | NC      | $-4242.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $-214645.16   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 02/35 5.625                  | CUSIP: 46514Y8B6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     2200000 | PA      | $2240897.60   | 0.12%             | 2035-02-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ0140 FR 12/53 FIXED 6.5               | CUSIP: 3142GQEN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6528915 | PA      | $6765424.27   | 0.37%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV6                                        | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A          | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2928547 | PA      | $2546925.39   | 0.14%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAISSE DES DEPOTS ET CONSIGNATIONS                                        | CAISSE DES DEPOTS ET CON SR UNSECURED REGS 02/28 4.25     | CUSIP: ACI2X9PF5<br>LEI: 969500Q2PFTTP0Y5QL44 | Long             | DBT              | MUN               | FR        |     6700000 | PA      | $8796468.63   | 0.48%             | 2028-02-28      | Fixed         | 4.25%                 | 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        |      170378 | PA      | $167699.15    | 0.01%             | 2047-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $13542.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $373080.82    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | UNITED MEXICAN STATES SR UNSECURED 04/51 5                | CUSIP: 91087BAL4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      500000 | PA      | $391975.00    | 0.02%             | 2051-04-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5548                                                   | FREDDIE MAC FHR 5548 FA                                   | CUSIP: 3137HLJR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3005311 | PA      | $3036689.71   | 0.17%             | 2055-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-12562.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $8596.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                       | NATWEST MARKETS PLC SR UNSECURED 144A 03/28 4.789         | CUSIP: 63906YAM0<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |     4100000 | PA      | $4128477.25   | 0.23%             | 2028-03-21      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                                        | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A          | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3898982 | PA      | $3393626.99   | 0.19%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-11485.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-20171.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260406                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $80512.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260917                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-29724.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080409 G2 05/30 FLOATING VAR                 | CUSIP: 36225CN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1690 | PA      | $1692.92      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $5704.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO I DAC 3A                                                 | CAPITAL FOUR CLO CFOUR 3A A 144A                          | CUSIP: ACI2MJVT8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2600000 | PA      | $3005873.52   | 0.16%             | 2034-10-15      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO260629                                | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  8434182000 | PA      | $5807778.16   | 0.32%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-19754.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $493.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $954.43       | 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      | $-197813.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                             | MALAYSIA GOVERNMENT BONDS 04/31 2.632                     | CUSIP: ACI1S5B09<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     6000000 | PA      | $1430086.44   | 0.08%             | 2031-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260706                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-2333.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260429                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $171.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                             | EGYPT GOVERNMENT BOND BONDS 10/30 19.698                  | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   162800000 | PA      | $2932579.42   | 0.16%             | 2030-10-14      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                    | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1008536 | PA      | $933324.89    | 0.05%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $10101.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260812                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-40628.51    | -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      | $-11587.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1           | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90772 | PA      | $76184.73     | 0.00%             | 2037-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-8717.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/31 5.375    | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     1900000 | PA      | $1942703.60   | 0.11%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-209599.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-4785.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC JR SUBORDINA REGS 12/99 VAR                  | CUSIP: ACI26N5G4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1000000 | PA      | $1361984.87   | 0.07%             | 2027-09-15      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI8203 FR 06/54 FIXED 6.5               | CUSIP: 3133WFDG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      746732 | PA      | $779601.72    | 0.04%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $4511.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR15                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR15 A2          | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27938 | PA      | $22699.77     | 0.00%             | 2035-09-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD5425 FN 05/55 FIXED 6.5                       | CUSIP: 3140B6A39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      818481 | PA      | $850416.62    | 0.05%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1600000 | NC      | $-1428.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 07/32 0.625                               | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      559655 | PA      | $528219.06    | 0.03%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| ABU DHABI GOVT                                                            | ABU DHABI GOVT INT L SR UNSECURED 144A 04/54 5.5          | CUSIP: 29135LAU4<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |     3300000 | PA      | $3165842.39   | 0.17%             | 2054-04-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.00000 06/17/26-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-394788.80   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/35 4.25                                | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      800000 | PA      | $797125.00    | 0.04%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/48 3                                   | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3800000 | PA      | $2803242.18   | 0.15%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $286079.30    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                  | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/50 4.55         | CUSIP: 716743AR0<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |      300000 | PA      | $258224.99    | 0.01%             | 2050-04-21      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                         | ENBRIDGE (US) INC                                         | CUSIP: 29251VDD5<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |      800000 | PA      | $798847.68    | 0.04%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.07500 03/31/26-28Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $111283.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/45 4.875                               | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      542000 | PA      | $540348.59    | 0.03%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1600000 | NC      | $-4600.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260914                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $7293.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN POINT CLO 7 LTD                                                     | CROWN POINT CLO 7, LTD CRNPT 2018 7A AR 144A              | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       54619 | PA      | $54619.48     | 0.00%             | 2031-10-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F062655<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -29700000 | PA      | $-30702719.22 | -1.67%            | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOYCE PARK CLO LLC 2022-1A                                                | BOYCE PARK CLO, LLC BOYCE 2022 1A A1R 144A                | CUSIP: 103228AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     2800000 | PA      | $2800826.28   | 0.15%             | 2035-04-21      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS NOK 3.75000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NO        |           1 | NC      | $-2711695.89  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2.48         | 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      | $-449678.31   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-8597.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-40288.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080010 G2 11/26 FLOATING VAR                 | CUSIP: 36225CAL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         141 | PA      | $141.48       | 0.00%             | 2026-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA 04/26 ZCP                        | CUSIP: ACI2WQ115<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    40460000 | PA      | $2385204.78   | 0.13%             | 2026-04-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-34910.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-4512.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-130517.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-4129.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUND OPTION  MAY26P 125.5 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -17 | NC      | $-17881.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $4374.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 008971 G2 09/26 FLOATING VAR                 | CUSIP: 36202K6G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $2.45         | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 2A1           | CUSIP: 07384MW65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12894 | PA      | $11863.12     | 0.00%             | 2034-09-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                       | CONSTELLATION ENERGY                                      | CUSIP: 21038QDQ4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1196444.76   | 0.07%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 12/48 0.7                     | CUSIP: BJB9V0II4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   201000000 | PA      | $720955.55    | 0.04%             | 2048-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                     | TORONTO DOMINION BANK COVERED 144A 07/27 4.814            | CUSIP: 891160TE3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     4600000 | PA      | $4649164.43   | 0.25%             | 2027-07-16      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                 | VMED O2 UK FINANCING I SR SECURED 144A 01/33 6.75         | CUSIP: 92858RAE0<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      500000 | PA      | $447395.15    | 0.02%             | 2033-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI4230 FR 04/54 FIXED 6.5               | CUSIP: 3133WAVX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      759072 | PA      | $785290.27    | 0.04%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD5569 FN 03/55 FIXED 6.5                       | CUSIP: 3140B6FK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      682758 | PA      | $711388.64    | 0.04%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $23569.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $67031.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                           | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1                 | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8684 | PA      | $8277.24      | 0.00%             | 2034-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 09/29 VAR              | CUSIP: 95000U3Z4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $3982726.60   | 0.22%             | 2029-09-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-6377.69     | -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      | $-917.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8439 FR 06/54 FIXED 6                 | CUSIP: 3132DWLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      175217 | PA      | $178848.54    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $10537.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260428                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-13412.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2057.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 2A1         | CUSIP: 93363EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      103282 | PA      | $89219.70     | 0.00%             | 2036-09-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260615                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2093.98     | -0.00%            |  |  |  | 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        |     4367876 | PA      | $5787212.62   | 0.32%             | 2060-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290508                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $23466.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $100221.35    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3585.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2021-INV1                                                  | PMT LOAN TRUST 2021 INV1 PMTLT 2021 INV1 A3 144A          | CUSIP: 69359YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1599021 | PA      | $1332363.17   | 0.07%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $190399.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-165569.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-462669.31   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-261369.57   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $76641.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0244 FN 08/54 FIXED 6.5                       | CUSIP: 3140AMHW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1547363 | PA      | $1609929.00   | 0.09%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG4720 FR 06/53 FIXED 5.5               | CUSIP: 3133C5G54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      857865 | PA      | $864081.38    | 0.05%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260526                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $8107.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4               | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $73290.68     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-83524.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-KS9                                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS9 AI4          | CUSIP: 75406YAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3613607 | PA      | $3135678.35   | 0.17%             | 2036-11-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| OBX TRUST 2018-1                                                          | ONSLOW BAY FINANCIAL LLC OBX 2018 1 A2 144A               | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      159919 | PA      | $158283.82    | 0.01%             | 2057-06-25      | Floating      | 4.44%                 | 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        |       45308 | PA      | $43071.83     | 0.00%             | 2037-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUT+5.89/0.4000 06/19/19-20Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $2724092.86   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| BCC-2021-5A                                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 5A A1R 144A       | CUSIP: 05682EAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2500000 | PA      | $2503041.75   | 0.14%             | 2034-10-23      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260430                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-12521.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3575.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-32237.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                | ITALY GOV T INT BOND SR UNSECURED REGS 08/28 6            | CUSIP: 551287II8<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      600000 | PA      | $812195.65    | 0.04%             | 2028-08-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260528                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $3539.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2003-BC1                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC1 A2           | CUSIP: 86358EAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      219266 | PA      | $219061.56    | 0.01%             | 2033-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-1438.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $10791.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)         | GENERALITAT DE CATALUNYA SR UNSECURED 04/35 4.22          | CUSIP: B081RMII3<br>LEI: 95980020140005848404 | Long             | DBT              | NUSS              | ES        |      300000 | PA      | $354428.76    | 0.02%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-2121.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260506                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $23253.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/48 3                                   | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1325000 | PA      | $972788.09    | 0.05%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $48880.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6.5 JUMBOS                              | CUSIP: 21H062651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    68100000 | PA      | $70577431.69  | 3.85%             | 2054-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A      | CUSIP: 36265LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3400315 | PA      | $2952803.35   | 0.16%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/34 4                                   | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4300000 | PA      | $4242218.75   | 0.23%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SHO6 PIMCO FXVAN PUT EUR CZK 24.04000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     2242000 | NC      | $1306.08      | 0.00%             |  |  |  | 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        |     5128000 | NC      | $7804.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-16214.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-282.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-122073.36   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-1A                                    | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A A1 144A      | CUSIP: 16678RCT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      344931 | PA      | $335435.57    | 0.02%             | 2036-01-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM1796 FN 10/34 FIXED VAR                       | CUSIP: 3140X47J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      101361 | PA      | $99312.83     | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                               | FRANCE (GOVT OF) BONDS 144A REGS 06/49 3                  | CUSIP: ACI2MHL63<br>LEI: 969500KCGF3SUYJHPV70 | Short            | DBT              | NUSS              | FR        |    -9700000 | PA      | $-9068397.44  | -0.49%            | 2049-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 06/20/24-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4411.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                              | CASSA DEPOSITI E PRESTIT CASSA DEPOSITI E PRESTIT         | CUSIP: ACI30MXF1<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |     3500000 | PA      | $3474555.00   | 0.19%             | 2030-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-2897.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270119                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-552674.94   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT BONDS 06/34 3                         | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    18100000 | PA      | $12684991.99  | 0.69%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                   | BPCE SA 144A 10/27 VAR                                    | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     2200000 | PA      | $2224655.40   | 0.12%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8098 G2 06/52 FIXED 3                      | CUSIP: 36179W7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10862676 | PA      | $9711663.31   | 0.53%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.77259 03/04/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $313993.78    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $554986.97    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $784525.37    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $18219.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8471 FR 10/54 FIXED 6.5               | CUSIP: 3132DWMU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1876214 | PA      | $1941018.61   | 0.11%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DLR KREDIT A/S                                                            | DLR KREDIT A/S COVERED 01/27 1                            | CUSIP: ACI357Z00<br>LEI: 529900PR2ELW8QI1B775 | Long             | DBT              | CORP              | DK        |     6100000 | PA      | $934181.62    | 0.05%             | 2027-01-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260506                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $161.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260519                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $19781.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270119                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1730992.35  | -0.09%            |  |  |  | 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        |     7290885 | PA      | $7542713.06   | 0.41%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $644.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-4129.28     | -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      | $-35188.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.00000 03/19/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-3228439.41  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| QATARENERGY                                                               | QATAR ENERGY SR UNSECURED 144A 07/31 2.25                 | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |      300000 | PA      | $264430.80    | 0.01%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FUNDING                                              | NEW YORK LIFE GLOBAL FDG SECURED 144A 01/31 4.25          | CUSIP: 64952WFR9<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1780831.24   | 0.10%             | 2031-01-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| KOMMUNALBANKEN AS                                                         | KOMMUNALBANKEN AS SR UNSECURED REGS 01/27 1.9             | CUSIP: ACI22XFG5<br>LEI: I7ETN0QQO2AHZZGHJ389 | Long             | DBT              | CORP              | NO        |     2200000 | PA      | $1482113.73   | 0.08%             | 2027-01-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G 12/32 4.25            | CUSIP: ACI06FV19<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     3200000 | PA      | $2078659.84   | 0.11%             | 2032-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260914                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $8641.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-10611.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 121 PE            | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5849 | PA      | $5771.31      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $2851.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                              | ALIMENTATION COUCHETARD INC                               | CUSIP: 01626VDM2<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     2950000 | PA      | $2942992.57   | 0.16%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                    | REALKREDIT DANMARK COVERED REGS 04/26 1                   | CUSIP: ACI2TQPH8<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |     7600000 | PA      | $1175524.35   | 0.06%             | 2026-04-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.08244 06/30/26-27Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3812.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FOXCONN (FAR EAST) LIMITED                                                | FOXCONN FAR EAST LTD COMPANY GUAR 08/28 1.875             | CUSIP: ACI34TDV9<br>LEI: 254900NAQSPFDWVY8H73 | Long             | DBT              | CORP              | KY        |     4300000 | PA      | $3969408.17   | 0.22%             | 2028-08-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                   | NTT FINANCE CORP SR UNSECURED 144A 07/28 VAR              | CUSIP: 62954WAR6<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     3900000 | PA      | $3931245.51   | 0.21%             | 2028-07-16      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.50000 03/18/26-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-214437.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $732.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-7581.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | KSA SUKUK LTD SR UNSECURED 144A 10/28 5.268               | CUSIP: 48266XAF2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | KY        |      500000 | PA      | $506286.00    | 0.03%             | 2028-10-25      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/51 2                                   | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      200000 | PA      | $113945.31    | 0.01%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-235584.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A        | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       57818 | PA      | $50454.34     | 0.00%             | 2046-07-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 06/52 1.3                     | CUSIP: ACI26WF16<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    50000000 | PA      | $191257.36    | 0.01%             | 2052-06-20      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.32500 07/06/26-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $327865.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-15007.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 22A           | CUSIP: 07384MN32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2100 | PA      | $2065.25      | 0.00%             | 2034-05-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 4.48500 12/02/30-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-87977.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVELOPMENT BANK                                           | INTER AMERICAN DEVEL BK UNSECURED REGS 04/27 2.5          | CUSIP: ACI0QK6X4<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | CORP              | N/A       |     1800000 | PA      | $1213495.43   | 0.07%             | 2027-04-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2            | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         234 | PA      | $233.33       | 0.00%             | 2034-04-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| ATLAS FUNDING 2025-1 PLC 25-1                                             | ATLAS FUNDING AFUND 2025 1 A REGS                         | CUSIP: ACI2W5QG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2570761 | PA      | $3399954.03   | 0.19%             | 2062-07-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-66.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 07/31 0.125                               | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3882848 | PA      | $3629026.85   | 0.20%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-175662.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                           | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                 | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       80830 | PA      | $36158.85     | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.50000 09/17/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-478284.77   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $18073.22     | 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        |    -5998000 | NC      | $-2423.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 03/18/26-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $134439.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $26765.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260602                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-703.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM-44.2 FAR                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $71643.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8266 G2 09/52 FIXED 3.5                    | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1409966 | PA      | $1301757.21   | 0.07%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-27263.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1             | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96955.41     | 0.01%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7937 G2 03/52 FIXED 3                      | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       83467 | PA      | $74621.37     | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                      | ROYAL BANK OF CANADA COVERED 144A 12/26 4.851             | CUSIP: 780082AQ6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     2400000 | PA      | $2414173.97   | 0.13%             | 2026-12-14      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-796.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260528                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2674.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-22161.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.00000 09/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-2632638.93  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.6310* 06/30/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $48037.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS3                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A3           | CUSIP: 75116BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      996703 | PA      | $827464.52    | 0.05%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-86795.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-825.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2          | CUSIP: 86359LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         865 | PA      | $834.15       | 0.00%             | 2034-07-19      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ2411 FR 09/54 FIXED 6.5               | CUSIP: 3142GSVD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      812697 | PA      | $843929.33    | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $30601.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DE1166 FN 06/55 FIXED 6.5                       | CUSIP: 3140BDJL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1380282 | PA      | $1430496.25   | 0.08%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 365BANK A S                                                               | 365 BANK AS REGS 07/28 VAR                                | CUSIP: ACI2PW0Z6<br>LEI: 315700PLTAXHBHZP5J02 | Long             | DBT              | CORP              | SK        |     4300000 | PA      | $5186128.26   | 0.28%             | 2028-07-04      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2018-1A DAC                                     | ROCKFORD TOWER EUROPE CLO RFTE 2018 1A A1RR 144A          | CUSIP: ACI2ZP3T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4100000 | PA      | $4736450.55   | 0.26%             | 2036-08-29      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2004-68                                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 68 ZC             | CUSIP: 38374HVU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      108545 | PA      | $109043.93    | 0.01%             | 2034-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.00000 12/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-105260.56   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $241526.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260401                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-12184.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-12250.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1183.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TR 2006-3                                        | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A4             | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1339666 | PA      | $1286555.80   | 0.07%             | 2036-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5               | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      169307 | PA      | $175289.15    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-48773.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R US SOFR/GBP SONIA-30.05 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $-97218.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM-35.65 CBK                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $940848.95    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.55000 06/28/27-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-654860.03   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SEASONED MORTGAGE TRUST 2024-1                                  | JP MORGAN SEASONED MORTGAGE TR JPSMT 2024 1 A3 144A       | CUSIP: 61777HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2619461 | PA      | $2517238.35   | 0.14%             | 2063-01-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $183308.87    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 04/31 VAR                  | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      600000 | PA      | $587201.50    | 0.03%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-7393.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 2.58500 10/14/21-8Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $-162541.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260423                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-5390.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $18209.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US ULTRA BOND CBT JUN26 XCBT 20260618                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -185 | NC      | $777722.05    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-7                                         | VERUS SECURITIZATION TRUST VERUS 2023 7 A1 144A           | CUSIP: 92539YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      884383 | PA      | $891082.52    | 0.05%             | 2068-10-25      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-93.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORTHERN TERRITORY TREASURY CORPORATION                                   | NORTHERN TERRITORY TREAS LOCAL GOVT G REGS 04/39 6        | CUSIP: ACI38HKL5<br>LEI: 254900V4FQ2K6E3VJ628 | Long             | DBT              | MUN               | AU        |     2500000 | PA      | $1726772.83   | 0.09%             | 2039-04-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | FWD0Z3AA3 COLOMBIA GOVT NDF                               | CUSIP: 990ADDTP2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        |   230800000 | PA      | $61262.95     | 0.00%             | 2040-11-28      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 5YR NOTE (CBT) JUN26 XCBT 20260630                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        1116 | NC      | $-1766052.50  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV3                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV3 A3A 144A    | CUSIP: 17329VBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1230050 | PA      | $1024185.97   | 0.06%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA4346 FN 10/49 FIXED 3                         | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1564611 | PA      | $1378831.26   | 0.08%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $4333.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                 | MITSUBISHI UFJ FIN GRP SR UNSECURED 09/31 VAR             | CUSIP: 606822DN1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     3200000 | PA      | $3171020.26   | 0.17%             | 2031-09-12      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                           | PHILIP MORRIS INTL INC SR UNSECURED 02/29 4.875           | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1015075.88   | 0.06%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                             | THAILAND GOVERNMENT BOND SR UNSECURED 06/40 2.7           | CUSIP: ACI2SCV91<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   211700000 | PA      | $6321087.27   | 0.34%             | 2040-06-17      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer