# EDGAR Filing Document

**Accession Number:** 0001450011
**File Stem:** 0001099263-26-003085
**Filing Date:** 2026-3
**Character Count:** 316202
**Document Hash:** d58e9f77e2a03a20ca674e0daaf5e408
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003085.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003085

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20260630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO ETF Trust
- **CENTRAL INDEX KEY:** 0001450011

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22250
- **FILM NUMBER:** 26705906

**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 Enhanced Low Duration Active Exchange-Traded Fund (Series ID: S000037977)

| Class ID   | Class Name                                              | Ticker Symbol   |
|:---|:---|:---|
| C000117167 | PIMCO Enhanced Low Duration Active Exchange-Traded Fund | LDUR            |

## 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 ETF Trust

- **b. Investment Company Act file number:** 811-22250

- **c. CIK number of Registrant:** 0001450011

- **d. LEI of Registrant:** 5493004M9TBGFQUJ6D27

- **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) 400-4383

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

- **a. Name of Series:** PIMCO Enhanced Low Duration Active Exchange-Traded Fund

- **b. EDGAR series identifier (if any):** S000037977

- **c. LEI of Series:** 549300GQB1D1UUTM2872

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1641780095.14

**Total Liabilities:** $435392542.43

**Net Assets:** $1206387552.71

**Delayed Delivery Securities:** $11600000.00

**Cash Not Reported:** $12748815.59

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 118427.205800 | **1-Year:** 99201.811300 | **5-Year:** 64349.404700 | **10-Year:** 2227.519600 | **30-Year:** 0.000000

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

- **3-Month:** 270.817700 | **1-Year:** 422.635200 | **5-Year:** 231.908800 | **10-Year:** 0.000000 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000117167 | 0.44%                | 0.48%                | 0.40%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $267078.86               | $31919.35                                  |
| Month 2  | $-411544.47              | $1022932.75                                |
| Month 3  | $381819.86               | $125699.57                                 |

**Designated Index Information**

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

- **Index Identifier:** G1O2, LUICTRUU

### Schedule of Portfolio Investments

| Name                                                              | Title                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                               | SOLD KRW BOUGHT USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-17426.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA NATIONAL OIL CORP (KNOC)                                    | KOREA NATIONAL OIL CORP SR UNSECURED REGS 09/27 VAR    | CUSIP: Y4938AAN9<br>LEI: 988400ZTQ08W926ONT36 | Long             | DBT              | CORP              | KR        |   2015000 | PA      | $2027347.26   | 0.17%             | 2027-09-30      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-4A                                    | CHASE AUTO OWNER TRUST CHAOT 2024 4A A3 144A           | CUSIP: 16144YAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8400000 | PA      | $8483963.04   | 0.70%             | 2029-07-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-4 LLC                             | ENTERPRISE FLEET FINANCING LLC EFF 2025 4 A2 144A      | CUSIP: 29373NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4800000 | PA      | $4809626.88   | 0.40%             | 2028-08-20      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXXV 2021-35A                                          | APIDOS CLO APID 2021 35A A 144A                        | CUSIP: 03768UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $651273.10    | 0.05%             | 2034-04-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-6                                          | FANNIE MAE FNR 2025 6 FA                               | CUSIP: 3136BUTN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    723485 | PA      | $726994.16    | 0.06%             | 2055-02-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1302.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260219                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-602.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-151.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-2                            | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 2 A3 144A    | CUSIP: 17295FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2675122 | PA      | $2693561.84   | 0.22%             | 2028-02-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL P51299 FG 07/37 FIXED 5.5            | CUSIP: 3128C6NQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41206 | PA      | $41913.06     | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 03/28 VAR         | CUSIP: 38141GZS6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8117064.72   | 0.67%             | 2028-03-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260219                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $416.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                  | BERRY GLOBAL INC SR SECURED 01/26 1.57                 | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7492596.30   | 0.62%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| EVERGREEN CREDIT CARD TRUST SERIES 2025-1A                        | EVERGREEN CREDIT CARD TRUST EVGRN 2025 1A A 144A       | CUSIP: 30023JCZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   7400000 | PA      | $7427911.32   | 0.62%             | 2029-10-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                             | AREIT CRE TRUST AREIT 2022 CRE7 A 144A                 | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4251484 | PA      | $4252695.57   | 0.35%             | 2039-06-17      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| ONE 2021-PARK MORTGAGE TRUST                                      | ONE PARK MORTGAGE TRUST ONP 2021 PARK A 144A           | CUSIP: 682413AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3914000 | PA      | $3904907.78   | 0.32%             | 2036-03-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM1                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 NQM1 A1 144A   | CUSIP: 64830VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3617835 | PA      | $3423367.56   | 0.28%             | 2060-01-26      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995858 FN 09/37 FIXED VAR                    | CUSIP: 31416CJB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       464 | PA      | $483.57       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-2873.73     | -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        |  10100000 | PA      | $9374097.14   | 0.78%             | 2028-08-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| PRKCM 2024-AFC1 TRUST                                             | PRKCM TRUST PRKCM 2024 AFC1 A1 144A                    | CUSIP: 69380WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209783 | PA      | $211966.96    | 0.02%             | 2059-03-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 833303 FN 05/35 FIXED 5.15                   | CUSIP: 31407KX87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31338 | PA      | $31459.16     | 0.00%             | 2035-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5584                                           | FREDDIE MAC FHR 5584 DF                                | CUSIP: 3137HNCM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    481040 | PA      | $483041.59    | 0.04%             | 2055-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260224                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $3935.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-5552.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 941742 FN 07/37 FIXED 5.35                   | CUSIP: 31413CWB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69006 | PA      | $69423.75     | 0.01%             | 2037-07-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $8247.66      | 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        |   5400000 | PA      | $5507136.00   | 0.46%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260303                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $294.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-6223.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $10379.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ING INVESTMENT MANAGEMENT CLO LTD 2012-4A                         | VOYA CLO LTD INGIM 2012 4A A1R3 144A                   | CUSIP: 92916GBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    225798 | PA      | $226076.70    | 0.02%             | 2030-10-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-RP4                                              | RAAC SERIES RAAC 2006 RP4 M1 144A                      | CUSIP: 74919TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181451 | PA      | $181630.34    | 0.02%             | 2046-01-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-41022.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-A                                | MLCC MORTGAGE INVESTORS INC MLCC 2004 A A1             | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60776 | PA      | $56893.91     | 0.00%             | 2029-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2001-3                               | BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 A2         | CUSIP: 07384YBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       599 | PA      | $598.79       | 0.00%             | 2032-10-27      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL B32059 FG 09/37 FIXED 5.4            | CUSIP: 312979JC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70271 | PA      | $73095.16     | 0.01%             | 2037-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31476 FG 12/37 FIXED 5              | CUSIP: 31281BT91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11157 | PA      | $11452.10     | 0.00%             | 2037-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-2082.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260303                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-11760.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                     | BOEING CO SR UNSECURED 02/26 2.75                      | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299658.77    | 0.02%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL P00039 FG 05/33 FIXED 6              | CUSIP: 31283NBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7468 | PA      | $7520.31      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1084 G2 06/43 FIXED 4                   | CUSIP: 36179NFZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     45838 | PA      | $43608.71     | 0.00%             | 2043-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                | CONAGRA FOODS INC. 01/26 ZCP                           | CUSIP: 20600HAD6<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |  10500000 | PA      | $10484838.00  | 0.87%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $0.35         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J22451 FG 02/28 FIXED 2              | CUSIP: 31307AWL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1059 | PA      | $1039.21      | 0.00%             | 2028-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-5245.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260223                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $11791.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2025-1A                           | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2025 1A A3 144A   | CUSIP: 55287XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3042379.80   | 0.25%             | 2030-06-17      | Fixed         | 4.73%                 | 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        |   1005000 | PA      | $987606.49    | 0.08%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2003-2                              | RENAISSANCE HOME EQUITY LOAN T RAMC 2003 2 A           | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568941 | PA      | $524518.10    | 0.04%             | 2033-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY SR UNSECURED 01/28 VAR           | CUSIP: 95000U3S0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    204000 | PA      | $204508.43    | 0.02%             | 2028-01-24      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1632.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $664.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-2388.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-100                                        | FANNIE MAE FNR 2024 100 FA                             | CUSIP: 3136BUFY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2241803 | PA      | $2249251.63   | 0.19%             | 2054-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                       | NUTRIEN LTD SR UNSECURED 12/26 4                       | CUSIP: 67077MAE8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |   3000000 | PA      | $2999787.69   | 0.25%             | 2026-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.10000 02/11/25-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $225859.53    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $959.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260105                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $3751.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-217.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31137 FG 09/34 FIXED 5.5            | CUSIP: 31281BHN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5355 | PA      | $5571.18      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS & ELECTRIC COMPANY                                  | SAN DIEGO GAS + ELEC                                   | CUSIP: 79744KAL4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |  11400000 | PA      | $11374058.16  | 0.94%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H12                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H12 FA         | CUSIP: 38382Y5K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10243051 | PA      | $10383884.47  | 0.86%             | 2073-05-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-948.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DXC TECHNOLOGY COMPANY                                            | DXC TECHNOLOGY CO SR UNSECURED 09/26 1.8               | CUSIP: 23355LAL0<br>LEI: 549300DOVZ3EDJB7O259 | Long             | DBT              | CORP              | US        |   5397000 | PA      | $5307691.09   | 0.44%             | 2026-09-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-156.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A        | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431523 | PA      | $439803.53    | 0.04%             | 2058-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY COMPANY                                  | CANADIAN PACIFIC RAILWAY COMPANY GUAR 06/26 3.125      | CUSIP: 13648TAB3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    700000 | PA      | $697012.56    | 0.06%             | 2026-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA                 | NAVIENT STUDENT LOAN TRUST NAVSL 2023 BA A1A 144A      | CUSIP: 63942TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3537531 | PA      | $3663874.33   | 0.30%             | 2072-03-15      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AMERICA INC                                 | AMCOR FLEXIBLES NORTH AM COMPANY GUAR 09/26 3.1        | CUSIP: 081437AS4<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    550000 | PA      | $545374.52    | 0.05%             | 2026-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL K30023 FG 02/47 FIXED 5.5            | CUSIP: 31302PAY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59450 | PA      | $60692.12     | 0.01%             | 2047-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM4 TRUST                                               | MFRA TRUST MFRA 2023 NQM4 A1 144A                      | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    632541 | PA      | $638077.96    | 0.05%             | 2068-12-25      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL H09069 FG 09/37 FIXED 6.5            | CUSIP: 3128UNCE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10754 | PA      | $11185.76     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-BA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A       | CUSIP: 63939KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    697332 | PA      | $698618.43    | 0.06%             | 2040-07-16      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5546                                           | FREDDIE MAC FHR 5546 FB                                | CUSIP: 3137HLME9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4906930 | PA      | $4933493.47   | 0.41%             | 2055-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-3A                             | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3A A2 144A   | CUSIP: 16678RBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13002 | PA      | $12787.08     | 0.00%             | 2035-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC)       | HAT HOLDINGS I LLC/HAT COMPANY GUAR 144A 06/26 3.375   | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10111000 | PA      | $10048656.99  | 0.83%             | 2026-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                               | DOMINION ENERGY INC SR UNSECURED 04/26 1.45            | CUSIP: 25746UDJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2680262.46   | 0.22%             | 2026-04-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260112                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1957.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                               | GLOBAL PAYMENTS INC SR UNSECURED 03/26 1.2             | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1795000 | PA      | $1786739.45   | 0.15%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC SR UNSECURED 01/26 4.375                  | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $400029.40    | 0.03%             | 2026-01-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 799902 G2 03/42 FIXED 3.74                | CUSIP: 36177VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37970 | PA      | $35275.16     | 0.00%             | 2042-03-20      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-3                                  | TOWD POINT MORTGAGE TRUST TPMT 2018 3 A1 144A          | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1242508 | PA      | $1226407.71   | 0.10%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 910758 FN 01/37 FIXED 5.5                    | CUSIP: 31411KZX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13641 | PA      | $13761.27     | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A4               | CUSIP: 362341RW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       108 | PA      | $108.71       | 0.00%             | 2035-09-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                  | DEUTSCHE BANK NY 01/28 VAR                             | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  12000000 | PA      | $11804493.60  | 0.98%             | 2028-01-07      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-76984.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBAKA4 PIMCO SWAPTION 4.25 PUT USD 20261209         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2000000 | NC      | $524.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 627122 G2 03/34 FIXED 5.5                 | CUSIP: 36291FVP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     61694 | PA      | $62159.74     | 0.01%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL H03252 FG 10/37 FIXED 6.5            | CUSIP: 3128MVTH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11167 | PA      | $11370.14     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-PJ7                      | GS MORTGAGE BACKED SECURITIES GSMBS 2024 PJ7 A25 144A  | CUSIP: 362949BR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1317118 | PA      | $1320717.08   | 0.11%             | 2054-11-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CGMS-2021-9A                                                      | CARLYLE GLOBAL MARKET STRATEGI CGMS 2021 9A AR 144A    | CUSIP: 14317KAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $800450.82    | 0.07%             | 2034-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 952320 FN 10/37 FIXED 6.5                    | CUSIP: 31413QPD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15742 | PA      | $15884.71     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-2A                                | LAD AUTO RECEIVABLES TRUST LADAR 2024 2A A3 144A       | CUSIP: 505920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1747185 | PA      | $1757575.54   | 0.15%             | 2028-08-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31465 FG 11/37 FIXED 5              | CUSIP: 31281BTW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       189 | PA      | $188.78       | 0.00%             | 2037-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889187 FN 07/33 FIXED VAR                    | CUSIP: 31410G2U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9801 | PA      | $9824.28      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-8                                 | VERUS SECURITIZATION TRUST VERUS 2023 8 A1 144A        | CUSIP: 92540DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2536300 | PA      | $2562080.06   | 0.21%             | 2068-12-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2009-66                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 66 UF          | CUSIP: 38376FRF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2695 | PA      | $2719.77      | 0.00%             | 2039-08-16      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| AG TRUST 2024-NLP                                                 | AG TRUST AG 2024 NLP A 144A                            | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1615563 | PA      | $1626404.72   | 0.13%             | 2041-08-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5500                                           | FREDDIE MAC FHR 5500 GF                                | CUSIP: 3137HJB30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2721334 | PA      | $2733850.91   | 0.23%             | 2054-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-10876.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                           | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/26 5.4   | CUSIP: 928668CE0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    735000 | PA      | $736981.68    | 0.06%             | 2026-03-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL B70184 FG 05/29 FIXED 7              | CUSIP: 312988FZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7907 | PA      | $7940.98      | 0.00%             | 2029-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-10886.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                               | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 A1          | CUSIP: 86358ELK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350663 | PA      | $1294209.33   | 0.11%             | 2034-09-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $65180.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2522.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021-1                                  | TOWD POINT MORTGAGE TRUST TPMT 2021 1 A1 144A          | CUSIP: 89179YAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502596 | PA      | $474676.75    | 0.04%             | 2061-11-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV3                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV3 A11 144A | CUSIP: 17329VDF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3266499 | PA      | $3053831.05   | 0.25%             | 2051-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1A 144A     | CUSIP: 83207QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2061530 | PA      | $2106415.72   | 0.17%             | 2053-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $948.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $2252.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $611.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                           | FREDDIE MAC FHR 5565 FA                                | CUSIP: 3137HMGJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2552582 | PA      | $2563678.69   | 0.21%             | 2055-08-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-160.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL H01774 FG 09/37 FIXED 6.5            | CUSIP: 3128MT6K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22941 | PA      | $23512.77     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-4                                          | FANNIE MAE FNR 2025 4 FB                               | CUSIP: 3136BUU65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    816325 | PA      | $819406.73    | 0.07%             | 2053-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE4                                              | GSAMP TRUST GSAMP 2006 HE4 A2D                         | CUSIP: 362439AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    374879 | PA      | $367610.55    | 0.03%             | 2036-06-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1700.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2017-M7                                           | FANNIEMAE ACES FNA 2017 M7 A2                          | CUSIP: 3136AV7G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1904286 | PA      | $1885910.07   | 0.16%             | 2027-02-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-3A                                                  | VOYA CLO LTD VOYA 2017 3A A1RR 144A                    | CUSIP: 92915QBG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $3299617.53   | 0.27%             | 2034-04-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CER 2004-FF1                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF1 M1         | CUSIP: 32027NGC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45430 | PA      | $45019.88     | 0.00%             | 2034-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5500                                           | FREDDIE MAC FHR 5500 AF                                | CUSIP: 3137HJ7M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    482803 | PA      | $483120.78    | 0.04%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CITADEL LIMITED PARTNERSHIP                                       | CITADEL LP SR UNSECURED 144A 01/27 4.875               | CUSIP: 17288XAB0<br>LEI: 549300IPM6EKPVUPFL67 | Long             | DBT              | CORP              | US        |   1855000 | PA      | $1859125.20   | 0.15%             | 2027-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | KEURIG DR PEPPER INC COMPANY GUAR 03/27 VAR            | CUSIP: 49271VAS9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   4628000 | PA      | $4635987.23   | 0.38%             | 2027-03-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5607                                           | FREDDIE MAC FHR 5607 FA                                | CUSIP: 3137HNZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    475484 | PA      | $476311.05    | 0.04%             | 2055-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-7306.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-10235.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                     | BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A              | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2931303.60   | 0.24%             | 2036-09-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1B2     | CUSIP: 92922F4R6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42074 | PA      | $40970.67     | 0.00%             | 2045-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8        | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   9261000 | PA      | $9380210.74   | 0.78%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                               | INTESA SANPAOLO SPA 144A 01/28 3.875                   | CUSIP: 46115HBD8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   1359000 | PA      | $1349839.93   | 0.11%             | 2028-01-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260224                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $9276.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-29.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 596705 FN 04/32 FIXED 6                      | CUSIP: 31387W3N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6686 | PA      | $6846.01      | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $1823.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-5705.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                   | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 05/26 4.375 | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    249000 | PA      | $249096.15    | 0.02%             | 2026-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-175.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 671883 GN 06/37 FIXED 5.35                   | CUSIP: 36295JM86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52040 | PA      | $53905.87     | 0.00%             | 2037-06-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2017 JP7 A3       | CUSIP: 465968AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12177 | PA      | $12045.11     | 0.00%             | 2050-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A      | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19183 | PA      | $18192.61     | 0.00%             | 2046-06-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5042 G2 10/38 FIXED 7                   | CUSIP: 36179TS71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    337762 | PA      | $344217.09    | 0.03%             | 2038-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3                        | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 3 A1 144A      | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135862 | PA      | $133219.27    | 0.01%             | 2065-04-25      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004918 G2 01/41 FIXED 4                   | CUSIP: 36202FPB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     72227 | PA      | $68716.85     | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 870801 FN 10/36 FIXED 5.5                    | CUSIP: 31409GNS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       563 | PA      | $564.66       | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-34297.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $2418.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL H09117 FG 11/37 FIXED 6.5            | CUSIP: 3128UNDW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4884 | PA      | $5026.55      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                         | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB A2B 144A   | CUSIP: 78449DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    924730 | PA      | $921177.36    | 0.08%             | 2054-09-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5534                                           | FREDDIE MAC FHR 5534 FM                                | CUSIP: 3137HLEP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4905801 | PA      | $4928573.23   | 0.41%             | 2055-05-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| UPGRADE AUTO RECEIVABLES TRUST 25-1A                              | UPGRADE AUTO RECEIVABLES TRUST UPGA 2025 1A A2 144A    | CUSIP: 91531AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $1902482.16   | 0.16%             | 2029-05-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                            | SAMMONS FINANCIAL GLOBAL SR SECURED 144A 09/27 VAR     | CUSIP: 79587J2D4<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2611299.89   | 0.22%             | 2027-09-02      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO3529 FN 06/42 FIXED 4                      | CUSIP: 3138LT4P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     45588 | PA      | $44473.06     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-6757.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 922855 FN 11/36 FIXED 5.5                    | CUSIP: 31412EH82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17850 | PA      | $18516.52     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                         | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2A 144A   | CUSIP: 78449VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    527956 | PA      | $500918.55    | 0.04%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-18                                         | FANNIE MAE FNR 2025 18 FM                              | CUSIP: 3136BVKH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6629056 | PA      | $6652427.29   | 0.55%             | 2054-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $371.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                 | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1A 144A        | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4300439 | PA      | $4289247.53   | 0.36%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5493                                           | FREDDIE MAC FHR 5493 FK                                | CUSIP: 3137HHWV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2198462 | PA      | $2206573.65   | 0.18%             | 2055-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/29 2.125                            | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2831736 | PA      | $2892131.00   | 0.24%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 918929 FN 04/37 FIXED 5.5                    | CUSIP: 31411Y4N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     84096 | PA      | $85250.29     | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $781.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $4531.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 871039 FN 02/37 FIXED 5.5                    | CUSIP: 31409GV86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4165 | PA      | $4220.79      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-C                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 C A1A 144A     | CUSIP: 78449CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1808240 | PA      | $1805294.28   | 0.15%             | 2050-05-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5480                                           | FREDDIE MAC FHR 5480 FG                                | CUSIP: 3137HHUD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2241716 | PA      | $2249961.52   | 0.19%             | 2054-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-13                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 13 FA          | CUSIP: 38384GP87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    421036 | PA      | $422971.07    | 0.04%             | 2054-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-1717.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-5.65        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257138 FN 03/38 FIXED 5                      | CUSIP: 31371NS30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7955 | PA      | $7976.59      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1179.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIRCASTLE LIMITED                                                 | AIRCASTLE LTD COMPANY GUAR 144A 01/28 2.85             | CUSIP: 00928QAU5<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    600000 | PA      | $583539.25    | 0.05%             | 2028-01-26      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $688.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)MAR26 XCBT 20260320                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -84 | NC      | $77416.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004796 G2 09/40 FIXED 4.5                 | CUSIP: 36202FKH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       666 | PA      | $658.26       | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/30 3.5                              | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        | -30000000 | PA      | $-29702343.60 | -2.46%            | 2030-11-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                              | BAYER US FINANCE LLC COMPANY GUAR 144A 11/26 6.125     | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2232226.08   | 0.19%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-2292.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASCENT EDUCATION FUNDING TRUST 2024-A                             | ASCENT EDUCATION FUNDING TRUST ASCNT 2024 A A 144A     | CUSIP: 04362VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1614613 | PA      | $1660302.89   | 0.14%             | 2050-10-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $453.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $54782.85     | 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      | $3113.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 801506 FN 09/34 FIXED 4.75                   | CUSIP: 31405WNX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28595 | PA      | $28859.27     | 0.00%             | 2034-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                      | 7 ELEVEN INC SR UNSECURED REGS 02/26 0.95              | CUSIP: U81522AC5<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    727000 | PA      | $724466.90    | 0.06%             | 2026-02-10      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL FUNDING                                  | EQUITABLE AMERICA GLOBAL SECURED 144A 09/27 VAR        | CUSIP: 29446Q2D4<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |   1457000 | PA      | $1456552.29   | 0.12%             | 2027-09-15      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GLOBAL FUNDING II                                    | PACIFIC LIFE GF II SR SECURED 144A 06/26 VAR           | CUSIP: 6944PL2G3<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |   1496000 | PA      | $1498529.51   | 0.12%             | 2026-06-04      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LN TR 2004-2                          | STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4          | CUSIP: 86358EGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    267732 | PA      | $284669.23    | 0.02%             | 2034-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| DRYDEN 60 CLO LTD                                                 | DRYDEN SENIOR LOAN FUND DRSLF 2018 60A A 144A          | CUSIP: 26251NAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2234645 | PA      | $2235723.34   | 0.19%             | 2031-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-99                                         | FANNIE MAE FNR 2025 99 KF                              | CUSIP: 3136BXY40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1095338 | PA      | $1099316.23   | 0.09%             | 2055-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM6 TRUST                                               | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM6 A1 144A         | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1427042 | PA      | $1434892.32   | 0.12%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $73.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-95                                         | FANNIE MAE FNR 2024 95 KF                              | CUSIP: 3136BTS53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1289732 | PA      | $1293829.11   | 0.11%             | 2054-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0565 FN 09/40 FIXED 5.5                    | CUSIP: 31417YTX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59011 | PA      | $60602.40     | 0.01%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254670 FN 02/33 FIXED 5.5                    | CUSIP: 31371K2B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       196 | PA      | $199.29       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 847106 FN 10/35 FIXED 5.5                    | CUSIP: 31408CDK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16132 | PA      | $16287.21     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 895567 FN 04/36 FIXED 5.45                   | CUSIP: 31410R6C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71487 | PA      | $72017.89     | 0.01%             | 2036-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535994 FN 06/31 FIXED VAR                    | CUSIP: 31384WNK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       615 | PA      | $639.58       | 0.00%             | 2031-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA7                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA7 2A1      | CUSIP: 32051GFB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128586 | PA      | $123218.65    | 0.01%             | 2035-02-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 519281 FN 09/29 FIXED 5.34                   | CUSIP: 31384B2N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31416 | PA      | $32284.54     | 0.00%             | 2029-09-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1A 144A     | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2354334 | PA      | $2398087.51   | 0.20%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2                      | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR2 A9 144A   | CUSIP: 36262JAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3566784 | PA      | $3312760.89   | 0.27%             | 2052-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                              | ROYAL BANK OF CANADA SR UNSECURED 10/27 VAR            | CUSIP: 78017FZR7<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   5200000 | PA      | $5214488.66   | 0.43%             | 2027-10-18      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $7684.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3998.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-7283.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 972781 FN 01/38 FIXED 5.35                   | CUSIP: 31414QFW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51655 | PA      | $52022.78     | 0.00%             | 2038-01-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO LTD 2021-6A                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 6A A1R 144A    | CUSIP: 05684PAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $3300307.73   | 0.27%             | 2034-10-21      | Floating      | 4.96%                 | 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        |   1185846 | PA      | $1190304.99   | 0.10%             | 2055-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H12                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H12 FC         | CUSIP: 38383KZF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3862496 | PA      | $3902748.98   | 0.32%             | 2074-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                             | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/27 3.75    | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2518000 | PA      | $2502569.29   | 0.21%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $2248.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-105312.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| IHS MARKIT LTD                                                    | IHS MARKIT LTD COMPANY GUAR 144A 03/26 4               | CUSIP: 44962LAC1<br>LEI: 549300HLPTRASHS0E726 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $249613.06    | 0.02%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | AIR LEASE CORP DISC COML 01/26 ZCP                     | CUSIP: 00913XA29<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   6900000 | PA      | $6898468.89   | 0.57%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $303.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P3                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P3 A3        | CUSIP: 146919AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5183110 | PA      | $5195323.86   | 0.43%             | 2029-10-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  62100000 | PA      | $61874401.88  | 5.13%             | 2056-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-C                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1A 144A     | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3093884 | PA      | $3180045.54   | 0.26%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2024-1A                                | BOFA AUTO TRUST BAAT 2024 1A A3 144A                   | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3779569 | PA      | $3818635.68   | 0.32%             | 2028-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5500                                           | FREDDIE MAC FHR 5500 QF                                | CUSIP: 3137HJBW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    688304 | PA      | $692074.65    | 0.06%             | 2054-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY3                                | TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A       | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270530 | PA      | $270931.24    | 0.02%             | 2059-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 01/26 ZCP                      | CUSIP: 40412DA74<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2098374.81   | 0.17%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 716993 G2 06/39 FIXED 5.4                 | CUSIP: 3620A2RN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75277 | PA      | $77316.98     | 0.01%             | 2039-06-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                | F+G GLOBAL FUNDING SECURED 144A 06/26 1.75             | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   5023000 | PA      | $4962148.01   | 0.41%             | 2026-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256526 FN 12/36 FIXED 6                      | CUSIP: 31371M4K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       851 | PA      | $891.25       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $4577.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $662.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $5615.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A3        | CUSIP: 14689MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3019080.60   | 0.25%             | 2030-05-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2021-6             | MORGAN STANLEY RESIDENTIAL MOR MSRM 2021 6 A6 144A     | CUSIP: 61772QAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711429 | PA      | $661089.38    | 0.05%             | 2051-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 754366 G2 03/42 FIXED 4                   | CUSIP: 36230NZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4640 | PA      | $4488.72      | 0.00%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 879922 FN 11/35 FIXED 5                      | CUSIP: 31409VSK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32013 | PA      | $32234.90     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $2590.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                        | MIZUHO FINANCIAL GROUP SR UNSECURED 05/31 VAR          | CUSIP: 60687YDK2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   8500000 | PA      | $8515333.15   | 0.71%             | 2031-05-13      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257213 FN 04/48 FIXED 6                      | CUSIP: 31371NVE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12561 | PA      | $12814.51     | 0.00%             | 2048-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-12                                         | FANNIE MAE FNR 2025 12 EF                              | CUSIP: 3136BVGN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    613618 | PA      | $615877.22    | 0.05%             | 2055-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UADDA7 PIMCO SWAPTION 3.65 PUT USD 20260909         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | 205500000 | NC      | $139020.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 939484 FN 06/37 FIXED 5                      | CUSIP: 31413AFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7710 | PA      | $7640.55      | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ2R A1 144A   | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    642895 | PA      | $618834.03    | 0.05%             | 2058-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/26 2.95         | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   5395000 | PA      | $5381985.59   | 0.45%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 961191 FN 01/38 FIXED 6                      | CUSIP: 31414BKC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1146 | PA      | $1145.57      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SHACKLETON CLO LTD 2019-14A                                       | SHACKLETON CLO LTD SHACK 2019 14A A1RR 144A            | CUSIP: 81880XAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4300000 | PA      | $4303740.36   | 0.36%             | 2034-07-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-16                                         | FANNIE MAE FNR 2025 16 FM                              | CUSIP: 3136BU5M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    405470 | PA      | $407329.10    | 0.03%             | 2055-01-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255538 FN 11/34 FIXED 5.5                    | CUSIP: 31371LZB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10651 | PA      | $10693.18     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST               | AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7           | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    746523 | PA      | $743846.30    | 0.06%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| VW CREDIT INC                                                     | VW CR INC                                              | CUSIP: 91842KAD8<br>LEI: 549300UUPJ2NXDB68M19 | Long             | DBT              | CORP              | US        |   7400000 | PA      | $7389589.68   | 0.61%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 973542 FN 03/38 FIXED 5.5                    | CUSIP: 31414RBK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6657 | PA      | $6690.14      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                                      | SK HYNIX INC SR UNSECURED 144A 01/26 1.5               | CUSIP: 78392BAB3<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |   3100000 | PA      | $3095881.25   | 0.26%             | 2026-01-19      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 723581 G2 04/35 FIXED 5.5                 | CUSIP: 3620A92N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67270 | PA      | $69211.59     | 0.01%             | 2035-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC 2023-1                             | ENTERPRISE FLEET FINANCING LLC EFF 2023 1 A2 144A      | CUSIP: 29375CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    596379 | PA      | $597296.62    | 0.05%             | 2029-01-22      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15         | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3230000 | PA      | $3230000.00   | 0.27%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC SR UNSECURED 05/27 VAR                    | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   9700000 | PA      | $9756143.70   | 0.81%             | 2027-05-09      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL H19005 FG 01/37 FIXED 5.5            | CUSIP: 3128NAAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    142488 | PA      | $144446.06    | 0.01%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ICG US CLO LTD 2015-2RA                                           | ICG US CLO LTD ICG 2015 2RA A1R 144A                   | CUSIP: 44933WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1603954 | PA      | $1605504.82   | 0.13%             | 2033-01-16      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-1                               | SAXON ASSET SECURITIES TRUST SAST 2005 1 M2            | CUSIP: 805564RN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82197 | PA      | $80615.97     | 0.01%             | 2035-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005164 G2 08/41 FIXED 5.5                 | CUSIP: 36202FWZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    150068 | PA      | $150336.69    | 0.01%             | 2041-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 357175 FN 12/31 FIXED 5.5                    | CUSIP: 31376JXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6213 | PA      | $6241.27      | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                              | LAS VEGAS SANDS CORP SR UNSECURED 08/26 3.5            | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   9549000 | PA      | $9510089.73   | 0.79%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1                     | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A9 144A  | CUSIP: 36263KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2190150 | PA      | $2042627.75   | 0.17%             | 2051-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BARCLAYS CAPITAL REPO REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  29887500 | PA      | $29887500.00  | 2.48%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES LX CLO LTD 60A                                               | ARES CLO LTD ARES 2021 60A AR 144A                     | CUSIP: 04018FAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $800244.91    | 0.07%             | 2034-07-18      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 15 LTD                                                | ELMWOOD CLO 15 LTD ELM15 2022 2A A1R 144A              | CUSIP: 29003JAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   4500000 | PA      | $4500744.66   | 0.37%             | 2035-04-22      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  80900000 | PA      | $83027490.40  | 6.88%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE INC SR UNSECURED 06/26 3.7                | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1596672.02   | 0.13%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5500                                           | FREDDIE MAC FHR 5500 FA                                | CUSIP: 3137HJAP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2676723 | PA      | $2687279.19   | 0.22%             | 2055-02-25      | Floating      | 5.07%                 | 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        |    340129 | PA      | $295164.06    | 0.02%             | 2036-07-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-1369.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                           | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/27 VAR   | CUSIP: 928668CT7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1806555.85   | 0.15%             | 2027-03-25      | Floating      | 4.81%                 | 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        |      1201 | PA      | $1155.71      | 0.00%             | 2034-07-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004879 G2 12/40 FIXED 4                   | CUSIP: 36202FM45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3378 | PA      | $3214.08      | 0.00%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2025-35                                                | FANNIE MAE FNR 2025 35 FM                              | CUSIP: 3136BVJ66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    841379 | PA      | $847711.99    | 0.07%             | 2055-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 738753 FN 09/33 FIXED 6                      | CUSIP: 31402UWN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    111365 | PA      | $112905.98    | 0.01%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A9                               | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A9 2A1C       | CUSIP: 59020UZ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107298 | PA      | $105003.33    | 0.01%             | 2035-12-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U30400 FG 06/37 FIXED 5.55           | CUSIP: 31335YNR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32071 | PA      | $33390.82     | 0.00%             | 2037-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888796 FN 09/37 FIXED VAR                    | CUSIP: 31410GNM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48493 | PA      | $49740.70     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-F                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 F A1A 144A     | CUSIP: 83207VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275240 | PA      | $1292275.61   | 0.11%             | 2054-03-16      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-1A                            | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A A2 144A   | CUSIP: 16678RCU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20823 | PA      | $20205.89     | 0.00%             | 2036-01-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 01/26 ZCP                      | CUSIP: 40412DAD1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1198267.44   | 0.10%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST 2025-A1                             | SYNCHRONY CARD ISSUANCE TRUST SYNIT 2025 A1 A          | CUSIP: 87166PAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5900000 | PA      | $6005014.69   | 0.50%             | 2031-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                               | GLOBAL PAYMENTS INC SR UNSECURED 11/28 4.5             | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2004099.82   | 0.17%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $7819.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 944066 FN 07/37 FIXED 6.5                    | CUSIP: 31413FJK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       611 | PA      | $619.38       | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0287 FN 02/38 FIXED VAR                    | CUSIP: 31419AJ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    424162 | PA      | $429175.28    | 0.04%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                  | WILLIAMS COMPANIES INC SR UNSECURED 03/26 5.4          | CUSIP: 969457CH1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    606000 | PA      | $607356.35    | 0.05%             | 2026-03-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| POST ROAD EQUIPMENT FINANCE 2025-1 LLC                            | POST ROAD EQUIPMENT FINANCE PREF 2025 1A A2 144A       | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4606412 | PA      | $4644513.37   | 0.38%             | 2031-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260105                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $62.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-89                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 89 PF          | CUSIP: 38385GMK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1268072 | PA      | $1276029.38   | 0.11%             | 2055-05-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 679071 GN 11/37 FIXED 5.35                   | CUSIP: 36295SMU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35838 | PA      | $37294.67     | 0.00%             | 2037-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260309                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $4527.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-82.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                               | SYNCHRONY FINANCIAL SR UNSECURED 08/26 3.7             | CUSIP: 87165BAL7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    400000 | PA      | $398681.37    | 0.03%             | 2026-08-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0082 G2 05/42 FIXED 3.5                 | CUSIP: 36179MCT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49382 | PA      | $44668.37     | 0.00%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                        | SANTANDER HOLDINGS USA SR UNSECURED 10/26 3.244        | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   6800000 | PA      | $6759427.73   | 0.56%             | 2026-10-05      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| GECU AUTO RECEIVABLES TRUST 2023-1A                               | GECU AUTO RECEIVABLES TRUST GECU 2023 1A A3 144A       | CUSIP: 36169EAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1397943 | PA      | $1404808.25   | 0.12%             | 2028-08-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SO. CALIF EDISON                                       | CUSIP: 8424C1A65<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   8800000 | PA      | $8794099.60   | 0.73%             | 2026-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5495                                           | FREDDIE MAC FHR 5495 AF                                | CUSIP: 3137HJ2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2703967 | PA      | $2713388.85   | 0.22%             | 2055-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-82570.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST         | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 04/27 6.45       | CUSIP: 00774MBG9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    400000 | PA      | $411049.81    | 0.03%             | 2027-04-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                                            | SKYWORKS SOLUTIONS INC SR UNSECURED 06/26 1.8          | CUSIP: 83088MAK8<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |   9400000 | PA      | $9298304.78   | 0.77%             | 2026-06-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| VENTURE 36 CLO LTD                                                | VENTURE CDO LTD VENTR 2019 36A A1AR 144A               | CUSIP: 92332LAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    499716 | PA      | $500054.07    | 0.04%             | 2032-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL H09152 FG 02/38 FIXED 6.5            | CUSIP: 3128UNEZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23450 | PA      | $24337.66     | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5573                                           | FREDDIE MAC FHR 5573 FB                                | CUSIP: 3137HMSG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    752389 | PA      | $755709.46    | 0.06%             | 2055-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                | CREDIT AGRICOLE SA SR UNSECURED 144A 03/27 VAR         | CUSIP: 22534PAJ2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   8100000 | PA      | $8129897.91   | 0.67%             | 2027-03-11      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL P51309 FG 07/37 FIXED 5.5            | CUSIP: 3128C6N21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59523 | PA      | $60111.09     | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-2091.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AH5878 G2 03/44 FIXED 3.75                | CUSIP: 36182NQ71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37520 | PA      | $34981.35     | 0.00%             | 2044-03-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL L00007 FG 03/35 FIXED 5.5            | CUSIP: 3128DFAG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10686 | PA      | $11168.57     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-82.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2024-1                      | GM FINANCIAL AUTOMOBILE LEASIN GMALT 2024 1 A3         | CUSIP: 36269FAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1228397 | PA      | $1231274.46   | 0.10%             | 2027-03-22      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                               | FS KKR CAPITAL CORP SR UNSECURED 01/27 2.625           | CUSIP: 302635AH0<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    335000 | PA      | $325905.62    | 0.03%             | 2027-01-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB6261 FN 09/42 FIXED 4                      | CUSIP: 31417C5X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34963 | PA      | $34108.30     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5548                                           | FREDDIE MAC FHR 5548 AF                                | CUSIP: 3137HLJG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3076274 | PA      | $3096040.99   | 0.26%             | 2055-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 412608 GN 05/26 FIXED 7                      | CUSIP: 36206JKV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62 | PA      | $62.37        | 0.00%             | 2026-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-16                                         | FANNIE MAE FNR 2025 16 FA                              | CUSIP: 3136BU5D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2010929 | PA      | $2018093.14   | 0.17%             | 2055-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT0704 FR 03/48 FIXED 3              | CUSIP: 3132ACX96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    272908 | PA      | $245884.09    | 0.02%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 RPL1 A1 144A   | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    717004 | PA      | $701294.04    | 0.06%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-62599.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $3031.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELFI GRADUATE LOAN PROGRAM 2021-A LLC                             | ELFI GRADUATE LOAN PROGRAM 202 ELFI 2021 A A 144A      | CUSIP: 28628BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3164445 | PA      | $2849486.03   | 0.24%             | 2046-12-26      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVI LTD 2021-16A                                    | JAMESTOWN CLO LTD JTWN 2021 16A AR 144A                | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500101.03    | 0.04%             | 2034-07-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/26 VAR        | CUSIP: 345397C50<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100360.37    | 0.01%             | 2026-03-06      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AW0293 FN 02/44 FIXED 4                      | CUSIP: 3138XPKF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14904 | PA      | $14539.43     | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-118                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 118 FA         | CUSIP: 38381ND21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    488554 | PA      | $490982.73    | 0.04%             | 2055-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 799863 GN 04/42 FIXED 3.75                   | CUSIP: 36177U5Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     79701 | PA      | $76051.02     | 0.01%             | 2042-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 672295 GN 01/38 FIXED 5.35                   | CUSIP: 36295J3C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60641 | PA      | $63138.33     | 0.01%             | 2038-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H20 FA         | CUSIP: 38384LB73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    852587 | PA      | $855440.79    | 0.07%             | 2075-09-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL P50485 FG 05/35 FIXED 5.5            | CUSIP: 31288LRE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4502 | PA      | $4511.25      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H18                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H18 FL         | CUSIP: 38384LTU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2966539 | PA      | $2996335.99   | 0.25%             | 2075-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 2A2        | CUSIP: 576433WE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10202 | PA      | $10149.54     | 0.00%             | 2034-04-21      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO 2021-32A LTD                                     | BLUEMOUNTAIN CLO LTD BLUEM 2021 32A AR 144A            | CUSIP: 09631EAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4900000 | PA      | $4901626.26   | 0.41%             | 2034-10-15      | Floating      | 5.00%                 | 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        |     14488 | PA      | $13939.67     | 0.00%             | 2035-05-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                           | GA GLOBAL FUNDING TRUST SECURED 144A 09/27 4.4         | CUSIP: 36143L2N4<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1506555.32   | 0.12%             | 2027-09-23      | Fixed         | 4.40%                 | 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        |    433580 | PA      | $412854.73    | 0.03%             | 2034-02-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS0070 FN 08/43 FIXED 4                      | CUSIP: 3138W9CG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43238 | PA      | $42179.99     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                              | ROYAL BANK OF CANADA SR UNSECURED 03/28 VAR            | CUSIP: 78017DAG3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   4934000 | PA      | $4952675.54   | 0.41%             | 2028-03-27      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $73456.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ATCLO-2021-17A                                                    | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 17A AR 144A      | CUSIP: 04942FAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $997750.00    | 0.08%             | 2034-10-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-1 LLC                             | ENTERPRISE FLEET FINANCING LLC EFF 2025 1 A3 144A      | CUSIP: 29390HAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3700000 | PA      | $3765013.07   | 0.31%             | 2029-02-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5560                                           | FREDDIE MAC FHR 5560 FB                                | CUSIP: 3137HLZD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1770031 | PA      | $1781404.27   | 0.15%             | 2055-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                       | ROYAL CARIBBEAN CRUISES SR UNSECURED 144A 07/27 5.375  | CUSIP: 780153BK7<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |   3200000 | PA      | $3225172.58   | 0.27%             | 2027-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $1063.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST         | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 01/26 1.75       | CUSIP: 00774MAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2055000 | PA      | $2051493.55   | 0.17%             | 2026-01-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $22095.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 800447 FN 10/34 FIXED 5                      | CUSIP: 31405VHY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18937 | PA      | $18728.62     | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U32423 FG 11/38 FIXED 5.4            | CUSIP: 31321XVQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     64231 | PA      | $66769.61     | 0.01%             | 2038-11-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-98                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 98 GF          | CUSIP: 38381NNT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7441327 | PA      | $7476363.60   | 0.62%             | 2055-06-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-A                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 A A2A 144A     | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    759012 | PA      | $737902.74    | 0.06%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4948                                           | FREDDIE MAC FHR 4948 E                                 | CUSIP: 3137FQZF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    116457 | PA      | $107621.52    | 0.01%             | 2048-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-MHC     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 MHC A 144A   | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865947 | PA      | $865998.60    | 0.07%             | 2038-04-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                           | FREDDIE MAC FHR 5517 VF                                | CUSIP: 3137HKP40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3008798 | PA      | $3022256.28   | 0.25%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-E                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1A 144A     | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    984824 | PA      | $1001375.37   | 0.08%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                        | SANDSTONE PEAK LTD. SAND 2021 1A A1R 144A              | CUSIP: 800130AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3005457.21   | 0.25%             | 2034-10-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-5                                     | SLM STUDENT LOAN TRUST SLMA 2008 5 A4                  | CUSIP: 78444YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47297 | PA      | $47607.58     | 0.00%             | 2026-01-27      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1198.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                     | BOEING CO/THE SR UNSECURED 05/27 6.259                 | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    600000 | PA      | $615876.35    | 0.05%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 JF         | CUSIP: 38383KFR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7309303 | PA      | $7395811.41   | 0.61%             | 2073-09-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-101                                        | FANNIE MAE FNR 2024 101 FB                             | CUSIP: 3136BUFJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2976453 | PA      | $2986833.07   | 0.25%             | 2055-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-15                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 15 M1          | CUSIP: 126670MH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36471 | PA      | $36297.47     | 0.00%             | 2036-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-19                                         | FANNIE MAE FNR 2025 19 FC                              | CUSIP: 3136BVBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2169315 | PA      | $2178313.10   | 0.18%             | 2055-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                     | BOEING CO SR UNSECURED 02/26 2.196                     | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  11899000 | PA      | $11876833.11  | 0.98%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5544                                           | FREDDIE MAC FHR 5544 F                                 | CUSIP: 3137HLNN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2999127 | PA      | $3015354.17   | 0.25%             | 2055-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U30321 FG 02/37 FIXED 5              | CUSIP: 31335YLA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52142 | PA      | $53691.72     | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) MAR26 XCBT 20260331                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      2436 | NC      | $756217.25    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2023-REV1                            | FORD CREDIT AUTO OWNER TRUST/F FORDR 2023 1 A 144A     | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6100000 | PA      | $6225833.85   | 0.52%             | 2035-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G80365 FG 10/38 FIXED 6.5            | CUSIP: 31335PMN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32947 | PA      | $34265.42     | 0.00%             | 2038-10-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES HOLDING COMPANY LLC                            | COLUMBIA PIPELINE HOLDCO SR UNSECURED 144A 08/26 6.055 | CUSIP: 19828AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    715000 | PA      | $721759.27    | 0.06%             | 2026-08-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| KKR CLO LTD 16                                                    | KKR FINANCIAL CLO LTD KKR 16 A1R3 144A                 | CUSIP: 48251BBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5001677.75   | 0.41%             | 2034-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-17                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 17 EU          | CUSIP: 38382CP47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98217 | PA      | $88209.45     | 0.01%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1       | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        67 | PA      | $71.67        | 0.00%             | 2033-02-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $307.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNTINGTON AUTO TRUST 2024-1A                                     | HUNTINGTON AUTO TRUST HUNT 2024 1A A3 144A             | CUSIP: 446144AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2601850 | PA      | $2627887.60   | 0.22%             | 2029-01-16      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SECURED 144A 09/28 VAR           | CUSIP: 04685A4T5<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   9400000 | PA      | $9359837.65   | 0.78%             | 2028-09-18      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-79                                         | FANNIE MAE FNR 2025 79 FA                              | CUSIP: 3136BXUC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2145298 | PA      | $2158288.12   | 0.18%             | 2055-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 852504 FN 09/35 FIXED 5.35                   | CUSIP: 31408JDH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     92190 | PA      | $92202.36     | 0.01%             | 2035-09-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                | VERUS SECURITIZATION TRUST VERUS 2025 R1 A1A 144A      | CUSIP: 92541AAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2305579 | PA      | $2323922.34   | 0.19%             | 2065-05-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 933032 FN 10/37 FIXED 6                      | CUSIP: 31412SA96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       444 | PA      | $442.80       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5550 FN 12/32 FIXED 4.3                    | CUSIP: 3140Q1EY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9700000 | PA      | $9674628.29   | 0.80%             | 2032-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-2052.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 01/26 ZCP                      | CUSIP: 40412DAL3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |  14600000 | PA      | $14567396.74  | 1.21%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                            | MARVELL TECHNOLOGY INC COMPANY GUAR 04/26 1.65         | CUSIP: 573874AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5513000 | PA      | $5476392.69   | 0.45%             | 2026-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1A      | CUSIP: 02150PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47693 | PA      | $44122.24     | 0.00%             | 2037-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256890 FN 09/37 FIXED 6                      | CUSIP: 31371NKB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39277 | PA      | $41196.00     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UADSA1 PIMCO SWAPTION 3.65 PUT USD 20260909         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  15900000 | NC      | $10756.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE 01/26 ZCP                                 | CUSIP: 22823QAM3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    700000 | PA      | $698291.58    | 0.06%             | 2026-01-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2313 FN 06/45 FIXED 4                      | CUSIP: 31418BSB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16586 | PA      | $16139.53     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257393 FN 09/48 FIXED 6.5                    | CUSIP: 31371N3A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1912 | PA      | $1970.04      | 0.00%             | 2048-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $568.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5601                                           | FREDDIE MAC FHR 5601 F                                 | CUSIP: 3137HNQX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    987322 | PA      | $991683.81    | 0.08%             | 2055-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-4817.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                          | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A               | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $3406073.52   | 0.28%             | 2034-10-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5491                                           | FREDDIE MAC FHR 5491 FL                                | CUSIP: 3137HJ5P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    816428 | PA      | $819539.74    | 0.07%             | 2055-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 2A2       | CUSIP: 93364FAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305556 | PA      | $274613.10    | 0.02%             | 2037-07-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $146.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE 01/26 ZCP                                 | CUSIP: 22823QAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $997442.80    | 0.08%             | 2026-01-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LIMITED                                                 | AIRCASTLE LTD COMPANY GUAR 06/26 4.25                  | CUSIP: 00928QAS0<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   1309000 | PA      | $1309126.32   | 0.11%             | 2026-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U31817 FG 03/38 FIXED 5.4            | CUSIP: 31321XAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     66317 | PA      | $69051.51     | 0.01%             | 2038-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-3                            | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 3 M1         | CUSIP: 64352VHV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277920 | PA      | $278080.86    | 0.02%             | 2034-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST REF MORT 03/28 3.65            | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3263473.95   | 0.27%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBAJA6 PIMCO SWAPTION 4.25 PUT USD 20261209         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | 256000000 | NC      | $67174.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN 86 CLO LTD 2020-86A                                        | DRYDEN SENIOR LOAN FUND DRSLF 2020 86A A1R2 144A       | CUSIP: 26245XAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $800153.02    | 0.07%             | 2034-07-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-104                                        | FANNIE MAE FNR 2024 104 FA                             | CUSIP: 3136BUEQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3434610 | PA      | $3444454.86   | 0.29%             | 2055-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A                       | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A A1 144A     | CUSIP: 64830KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72763 | PA      | $71338.71     | 0.01%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE3                            | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE3 M1       | CUSIP: 04541GJT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54042 | PA      | $56713.74     | 0.00%             | 2034-06-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL P50075 FG 09/31 FIXED 6              | CUSIP: 31288LCL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7217 | PA      | $7241.13      | 0.00%             | 2031-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $2632.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                       | ROYAL CARIBBEAN CRUISES SR UNSECURED 144A 04/28 5.5    | CUSIP: 780153BG6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |   8600000 | PA      | $8758614.44   | 0.73%             | 2028-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                         | CANADIAN IMPERIAL BANK SR UNSECURED 06/27 VAR          | CUSIP: 13607L8D8<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   2360000 | PA      | $2377134.97   | 0.20%             | 2027-06-28      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | AIR LEASE CORP SR UNSECURED 01/27 2.2                  | CUSIP: 00914AAR3<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    947000 | PA      | $928105.65    | 0.08%             | 2027-01-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N39008 FG 09/38 FIXED 5.5            | CUSIP: 31320LAH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    387509 | PA      | $404747.38    | 0.03%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P2                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P2 A4 144A   | CUSIP: 14686TAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2540304.50   | 0.21%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 02/27 4.875           | CUSIP: 842400JA2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302044.42    | 0.03%             | 2027-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                  | DEUTSCHE BANK NY 11/27 VAR                             | CUSIP: 251526CN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1212000 | PA      | $1217483.14   | 0.10%             | 2027-11-16      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31493 FG 02/38 FIXED 5              | CUSIP: 31281BUS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59131 | PA      | $60931.32     | 0.01%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 33 LTD 33A                                                | KKR FINANCIAL CLO LTD KKR 33A AR 144A                  | CUSIP: 48254QAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4900000 | PA      | $4901196.38   | 0.41%             | 2034-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                  | BERRY GLOBAL INC SR SECURED 144A 07/26 4.875           | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   1731000 | PA      | $1731374.19   | 0.14%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-1829.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5564                                           | FREDDIE MAC FHR 5564 PF                                | CUSIP: 3137HMDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1177514 | PA      | $1183519.77   | 0.10%             | 2055-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT MAR26 XCBT 20260320                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -557 | NC      | $186027.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL H09098 FG 10/37 FIXED 6.5            | CUSIP: 3128UNDB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44710 | PA      | $45909.16     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLORADO INTERSTATE GAS CO LLC / COLORADO INTERSTATE ISSUING CORP | COLORADO INT GAS CO/ISS COMPANY GUAR 144A 08/26 4.15   | CUSIP: 196500AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $149819.35    | 0.01%             | 2026-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-56281.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY ABS SER 2004-1                            | WELLS FARGO HOME EQUITY TRUST WFHET 2004 1 1A          | CUSIP: 86359BMW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    684797 | PA      | $675887.67    | 0.06%             | 2034-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 577852 FN 06/31 FIXED 6                      | CUSIP: 31386Y5M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8984 | PA      | $8992.58      | 0.00%             | 2031-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.37500 03/31/26-4Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $154352.51    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                   | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 02/26 2.125 | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    421000 | PA      | $419655.51    | 0.03%             | 2026-02-21      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM7576 FN 09/29 VARIABLE                     | CUSIP: 3140JCM27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1098839 | PA      | $1119707.62   | 0.09%             | 2029-09-01      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                               | EMERA US FINANCE LP COMPANY GUAR 06/26 3.55            | CUSIP: 29103DAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    803000 | PA      | $800581.98    | 0.07%             | 2026-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $790.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GCAT LLC 2019-RPL1                                                | GCAT GCAT 2019 RPL1 A1 144A                            | CUSIP: 36167CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185007 | PA      | $181032.80    | 0.02%             | 2068-10-25      | Variable      | 2.65%                 | 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        |   5700000 | PA      | $5700000.00   | 0.47%             | 2036-01-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31013 FG 10/33 FIXED 5              | CUSIP: 31281BDS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7118 | PA      | $7137.38      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H22                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H22 F          | CUSIP: 38384LA58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1437238 | PA      | $1443634.24   | 0.12%             | 2075-10-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995092 FN 12/37 FIXED VAR                    | CUSIP: 31416BNH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46720 | PA      | $48121.37     | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-10                                              | IMPAC CMB TRUST IMM 2004 10 1A1                        | CUSIP: 45254NLJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56580 | PA      | $55559.76     | 0.00%             | 2035-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-7                                     | GSAA HOME EQUITY TRUST GSAA 2007 7 A4                  | CUSIP: 36249BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42021 | PA      | $40975.34     | 0.00%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                               | NISSAN MOTOR ACCEPTANCE SR UNSECURED REGS 09/26 1.85   | CUSIP: U6547TAC4<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   2745000 | PA      | $2686615.77   | 0.22%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1611.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $354.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                               | FS KKR CAPITAL CORP SR UNSECURED 01/26 3.4             | CUSIP: 302635AG2<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |   9034000 | PA      | $9030673.14   | 0.75%             | 2026-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-3709.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 688058 G2 08/38 FIXED 4.5                 | CUSIP: 36296DMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67813 | PA      | $67484.30     | 0.01%             | 2038-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC COMPANY GUAR 144A 03/27 VAR         | CUSIP: 05565ECV5<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    350000 | PA      | $351433.96    | 0.03%             | 2027-03-19      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT1 M2       | CUSIP: 83611MDH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2074 | PA      | $2071.90      | 0.00%             | 2035-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0893 FN 01/39 FIXED VAR                    | CUSIP: 31418M7F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    165927 | PA      | $171296.69    | 0.01%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-4540.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-19A LTD                               | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 19A A 144A    | CUSIP: 03331VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $400109.54    | 0.03%             | 2040-10-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31138 FG 09/34 FIXED 5.5            | CUSIP: 31281BHP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2996 | PA      | $3125.38      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260227                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $4083.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5528                                           | FREDDIE MAC FHR 5528 FA                                | CUSIP: 3137HKR30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5356210 | PA      | $5372989.04   | 0.45%             | 2055-04-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-GA                 | NAVIENT STUDENT LOAN TRUST NAVSL 2020 GA A 144A        | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    874350 | PA      | $825669.85    | 0.07%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                           | FREDDIE MAC FHR 5508 DF                                | CUSIP: 3137HJG84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2934597 | PA      | $2951604.91   | 0.24%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.29000 03/31/26-4Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $398954.12    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $258.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31368 FG 01/37 FIXED 5              | CUSIP: 31281BQV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5142 | PA      | $5298.09      | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 36 LTD 2025-52A                                      | SYMPHONY CLO LTD SYMP 2025 52A AR 144A                 | CUSIP: 87170MAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5900000 | PA      | $5900000.00   | 0.49%             | 2036-01-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA                                                       | PNC BANK NA SR UNSECURED 07/28 VAR                     | CUSIP: 69353RGA0<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400693.64    | 0.03%             | 2028-07-21      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| RENESAS ELECTRONICS CORPORATION                                   | RENESAS ELECTRONICS CORP SR UNSECURED 144A 11/26 2.17  | CUSIP: 75972BAB7<br>LEI: 5299000EPC47VJQOFB81 | Long             | DBT              | CORP              | JP        |   1305000 | PA      | $1281645.71   | 0.11%             | 2026-11-25      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $382.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENTERGY NEW ORLEANS LLC                                           | ENTERGY NEW ORLEANS LLC 1ST MORTGAGE 06/26 4           | CUSIP: 29364PAP8<br>LEI: 1Q8BAFRNDFTDI3IGJH73 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1467085.21   | 0.12%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                | AMERICAN TOWER CORP SR UNSECURED 01/30 5               | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1638887.39   | 0.14%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-2                                     | SLM STUDENT LOAN TRUST SLMA 2008 2 A3                  | CUSIP: 784442AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10389 | PA      | $10389.22     | 0.00%             | 2049-04-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST ELECTRIC & GAS CORP                                   | NY STATE ELECTRIC + GAS SR UNSECURED 144A 12/26 3.25   | CUSIP: 649840CQ6<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |   9146000 | PA      | $9083056.68   | 0.75%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2014-2 CLASS A PASS THROUGH TRUST                 | UNITED AIR 2014 2 A PTT PASS THRU CE 03/28 3.75        | CUSIP: 90932QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1205911 | PA      | $1204875.29   | 0.10%             | 2028-03-03      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL HOLDINGS LLC                                        | KKR FINANCIAL HOLDINGS SR UNSECURED 144A 05/33 5.4     | CUSIP: 48248AAG3<br>LEI: 549300U5WMP5TYFNKW68 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5361239.95   | 0.44%             | 2033-05-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL6513 FN 07/44 FIXED VAR                    | CUSIP: 3138EPGX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18465 | PA      | $18954.90     | 0.00%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW (6297782 LLC)                                           | SOUTH BOW USA INFRA HLDS COMPANY GUAR 09/27 4.911      | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2120441.38   | 0.18%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| KOREA INVESTMENT & SECURITIES CO LTD                              | KOREA INV + SECS CO LTD SR UNSECURED REGS 07/26 2.125  | CUSIP: ACI1Z76X1<br>LEI: 549300R8VJDW3X6CD250 | Long             | DBT              | CORP              | KR        |   1400000 | PA      | $1385715.10   | 0.11%             | 2026-07-19      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SCULPTOR CLO XXVII LTD 27A                                        | SCULPTOR CLO LTD SCUL 27A A1R 144A                     | CUSIP: 81124UAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $3399962.50   | 0.28%             | 2034-07-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                           | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/26 VAR   | CUSIP: 928668CD2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    575000 | PA      | $575560.32    | 0.05%             | 2026-03-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FORTIS INC/CANADA                                                 | FORTIS INC SR UNSECURED 10/26 3.055                    | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |   3187000 | PA      | $3161490.49   | 0.26%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256860 FN 08/37 FIXED 6.5                    | CUSIP: 31371NJD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       438 | PA      | $459.08       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                  | FIRSTENERGY CORP SR UNSECURED 07/27 3.9                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    901000 | PA      | $897945.08    | 0.07%             | 2027-07-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $458.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U30402 FG 06/37 FIXED 5.55           | CUSIP: 31335YNT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21294 | PA      | $21740.14     | 0.00%             | 2037-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SR SECURED 144A 06/26 1.608      | CUSIP: 04685A2Z3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1506271.78   | 0.12%             | 2026-06-29      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL P51237 FG 11/36 FIXED 6.5            | CUSIP: 3128C6LS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40615 | PA      | $42173.27     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $12751.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5439                                           | FREDDIE MAC FHR 5439 FJ                                | CUSIP: 3137HF3R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    524065 | PA      | $525730.79    | 0.04%             | 2054-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2025-40                                                | FANNIE MAE FNR 2025 40 FP                              | CUSIP: 3136BWGV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2657593 | PA      | $2673974.69   | 0.22%             | 2054-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-72.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 27 LTD                                                    | KKR FINANCIAL CLO LTD KKR 27A A1R2 144A                | CUSIP: 48253YBL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500002.30    | 0.04%             | 2035-01-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-1 LTD                                          | WELLFLEET CLO LTD WELF 2021 1A A1R 144A                | CUSIP: 94950CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4505482.49   | 0.37%             | 2034-04-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA35A8 PIMCO SWAPTION 2.5 CALL USD 20260213         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | 372400000 | NC      | $5660.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004262 G2 10/38 FIXED 7                   | CUSIP: 36202EWX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     80940 | PA      | $82493.79     | 0.01%             | 2038-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260227                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $3989.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE 01/26 ZCP                                 | CUSIP: 22823QAL5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $6484890.10   | 0.54%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PEACEHEALTH OBLIGATED GROUP                                       | PEACEHEALTH OBLIGATED GR SR UNSECURED 11/28 4.335      | CUSIP: 70462GAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4600000 | PA      | $4623010.17   | 0.38%             | 2028-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL H09022 FG 02/37 FIXED 5.5            | CUSIP: 3128UNAX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7338 | PA      | $7479.89      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO/THE                                         | BROOKLYN UNION GAS CO SR UNSECURED 144A 03/26 3.407    | CUSIP: 114259AN4<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1228530.80   | 0.10%             | 2026-03-10      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AW1120 FN 11/34 FIXED 5                      | CUSIP: 3138XQG62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    370738 | PA      | $371594.71    | 0.03%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 891367 FN 04/36 FIXED 4.75                   | CUSIP: 31410MJL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    144043 | PA      | $146781.72    | 0.01%             | 2036-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA1715 FN 12/43 FIXED 4                      | CUSIP: 31418A3Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1173 | PA      | $1143.91      | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $383.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0101 FN 05/39 FIXED 5                      | CUSIP: 31417YDF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3490 | PA      | $3489.86      | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2021-NQM4                          | ONSLOW BAY FINANCIAL LLC OBX 2021 NQM4 A1 144A         | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189518 | PA      | $163908.41    | 0.01%             | 2061-10-25      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 982008 FN 05/38 FIXED 5.5                    | CUSIP: 31415BNZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6898 | PA      | $6931.42      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                   | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 02/27 3.25  | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1190000 | PA      | $1177413.85   | 0.10%             | 2027-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                               | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85   | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1957461.40   | 0.16%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                         | HA SUSTAINABLE INFRASTRUCTURE 01/26 ZCP                | CUSIP: 40460KA87<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1398661.32   | 0.12%             | 2026-01-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL H09070 FG 09/37 FIXED 6.5            | CUSIP: 3128UNCF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15682 | PA      | $16612.64     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 4 LP 2024-2                                 | PK ALIFT LOAN FUNDING PKAIR 2024 2 A 144A              | CUSIP: 69381EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4194193 | PA      | $4212895.36   | 0.35%             | 2039-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FUNDING LLC 2022-4                               | ENTERPRISE FLEET FINANCING LLC EFF 2022 4 A2 144A      | CUSIP: 29374GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    629946 | PA      | $632117.88    | 0.05%             | 2029-10-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                                   | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A         | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2780810 | PA      | $2781568.11   | 0.23%             | 2032-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CITADEL FINANCE LLC                                               | CITADEL FINANCE LLC COMPANY GUAR REGS 03/26 3.375      | CUSIP: U1718RAA6<br>LEI: 549300BQL283NCR7P163 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $997798.10    | 0.08%             | 2026-03-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                           | FREDDIE MAC FHR 5508 FC                                | CUSIP: 3137HJGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2803279 | PA      | $2819521.93   | 0.23%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL K30066 FG 06/47 FIXED 5.5            | CUSIP: 31302PCB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49439 | PA      | $50474.05     | 0.00%             | 2047-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/26 5.125      | CUSIP: 345397F81<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    409000 | PA      | $411341.07    | 0.03%             | 2026-11-05      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                  | SOCIETE GENERALE 144A 06/27 VAR                        | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   6455000 | PA      | $6386995.74   | 0.53%             | 2027-06-09      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5410                                           | FREDDIE MAC FHR 5410 FB                                | CUSIP: 3137HCUC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2526984 | PA      | $2543716.18   | 0.21%             | 2054-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                             | VICI PROPERTIES / NOTE COMPANY GUAR 144A 09/26 4.5     | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $300352.43    | 0.02%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889322 FN 04/38 FIXED VAR                    | CUSIP: 31410KAX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5866 | PA      | $5973.18      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST 2024-B                           | HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2024 B A3         | CUSIP: 41284PAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $4218280.50   | 0.35%             | 2029-07-16      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-5                                 | VERUS SECURITIZATION TRUST VERUS 2023 5 A1 144A        | CUSIP: 924934AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1344849 | PA      | $1350611.53   | 0.11%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF5                                  | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A3        | CUSIP: 32027EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    739586 | PA      | $731520.28    | 0.06%             | 2036-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM7575 FN 08/29 VARIABLE                     | CUSIP: 3140JCMZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1594491 | PA      | $1634431.90   | 0.14%             | 2029-08-01      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40 LTD 2019-1A                        | OCTAGON INVESTMENT PARTNERS 40 OCT40 2019 1A A1RR 144A | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $3399150.00   | 0.28%             | 2035-01-20      | Floating      | 4.92%                 | 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        |   6000000 | PA      | $5995515.60   | 0.50%             | 2038-11-15      | Floating      | 4.96%                 | 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        |   1909911 | PA      | $1917042.89   | 0.16%             | 2055-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-573.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2025-3                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 3 A29 144A    | CUSIP: 17332RCX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    623744 | PA      | $627692.13    | 0.05%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-HA                 | NAVIENT STUDENT LOAN TRUST NAVSL 2020 HA A 144A        | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    306563 | PA      | $290331.76    | 0.02%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2404.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $64396.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004949 G2 02/41 FIXED 4                   | CUSIP: 36202FQA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    104747 | PA      | $99655.44     | 0.01%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2020-4                                   | ANGEL OAK MORTGAGE TRUST AOMT 2020 4 A1 144A           | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235697 | PA      | $228318.96    | 0.02%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-4098.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-99.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $397.15       | 0.00%             |  |  |  | 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        |       826 | PA      | $826.27       | 0.00%             | 2033-06-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2953 FN 03/47 FIXED 4                      | CUSIP: 31418CH72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41635 | PA      | $40306.96     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST 2024-6                                       | VERIZON MASTER TRUST VZMT 2024 6 A1A                   | CUSIP: 92348KDE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4530284.10   | 0.38%             | 2030-08-20      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM3 TRUST                                              | PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 NQM3 A1 144A  | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451234 | PA      | $455959.28    | 0.04%             | 2068-11-25      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/26 0.125                            | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7878546 | PA      | $7832827.19   | 0.65%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                  | DEUTSCHE BANK AG 01/26 4.1                             | CUSIP: 25152R2Y8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2000000 | PA      | $2000006.08   | 0.17%             | 2026-01-13      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2652.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALGONQUIN POWER & UTILITIES CORP                                  | ALGONQUIN PWR + UTILITY SR UNSECURED 06/26 VAR         | CUSIP: 015857AF2<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |  10162000 | PA      | $10212111.06  | 0.85%             | 2026-06-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-9                                    | GSR MORTGAGE LOAN TRUST GSR 2003 9 A2                  | CUSIP: 36228FWS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5834 | PA      | $5775.87      | 0.00%             | 2033-08-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-2038.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                    | EPR PROPERTIES COMPANY GUAR 12/26 4.75                 | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2006257.90   | 0.17%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                           | BPCE SA 144A 10/27 VAR                                 | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2400000 | PA      | $2446006.75   | 0.20%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1B 144A     | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    313911 | PA      | $317296.74    | 0.03%             | 2056-03-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORPORATION                                | AMERICAN HONDA FINANCE SR UNSECURED 03/27 VAR          | CUSIP: 02665WGM7<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   7700000 | PA      | $7720209.88   | 0.64%             | 2027-03-08      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL H00962 FG 07/37 FIXED 6.5            | CUSIP: 3128MTB72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14359 | PA      | $14594.62     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $1344.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $403.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                         | ROGERS COMMUNICATIONS IN COMPANY GUAR 03/27 3.2        | CUSIP: 775109CG4<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   3320000 | PA      | $3287969.20   | 0.27%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-6582.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260105                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-12823.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAYER PARK CLO LTD 2017-1A                                       | THAYER PARK CLO, LTD. THAYR 2017 1A A1RR 144A          | CUSIP: 883310AW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4900000 | PA      | $4897958.56   | 0.41%             | 2034-04-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H01                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H01 FB         | CUSIP: 38383KNN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2431489 | PA      | $2455963.59   | 0.20%             | 2074-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260219                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-1301.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CEDAR FUNDING VI CLO LTD 2016-6A                                  | CEDAR FUNDING LTD CEDF 2016 6A AR3 144A                | CUSIP: 15032DAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $300091.93    | 0.02%             | 2034-04-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                           | FREDDIE MAC FHR 5580 FP                                | CUSIP: 3137HMXT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    494792 | PA      | $497696.86    | 0.04%             | 2055-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                              | GLENCORE FUNDING LLC COMPANY GUAR 144A 04/26 1.625     | CUSIP: 378272BD9<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    500000 | PA      | $495938.60    | 0.04%             | 2026-04-27      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                         | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2B 144A   | CUSIP: 78449VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1173235 | PA      | $1170163.37   | 0.10%             | 2054-09-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO LEASE TRUST 2025-A                               | FORD CREDIT AUTO LEASE TRUST FORDL 2025 A A2B          | CUSIP: 345282AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3486152 | PA      | $3486999.58   | 0.29%             | 2027-08-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                              | EDISON INTERNATIONAL 01/26 ZCP                         | CUSIP: 28103BA28<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    550000 | PA      | $549874.00    | 0.05%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 06/26 4.9             | CUSIP: 842400HW6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    600000 | PA      | $600891.31    | 0.05%             | 2026-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RVPO STATE STREET GLOBAL MARKE USD RVPO FICC SSGM      | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  51500000 | PA      | $51500000.00  | 4.27%             |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS INC                                               | ELECTRONIC ARTS INC SR UNSECURED 03/26 4.8             | CUSIP: 285512AD1<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |   6981000 | PA      | $6981369.92   | 0.58%             | 2026-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| PFS FINANCING CORP 2023-C                                         | PFS FINANCING CORP. PFSFC 2023 C A 144A                | CUSIP: 69335PEY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5058593.00   | 0.42%             | 2028-10-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-BA                                 | NELNET STUDENT LOAN TRUST NSLT 2025 BA A1A 144A        | CUSIP: 64032BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4135841 | PA      | $4153545.58   | 0.34%             | 2055-05-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL 25 LTD                                         | NORTHWOODS CAPITAL LTD WOODS 2021 25A AR 144A          | CUSIP: 668468AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1597475.12   | 0.13%             | 2034-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 819457 FN 02/35 FIXED 4.75                   | CUSIP: 31406TME8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     93433 | PA      | $95141.08     | 0.01%             | 2035-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIPMENT TRUST 2025-2A                                     | HPEFS EQUIPMENT TRUST HPEFS 2025 2A A1 144A            | CUSIP: 442927AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5849441 | PA      | $5854978.22   | 0.49%             | 2026-10-20      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260105                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $150.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $1239.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260302                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $6911.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-1214.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260219                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-1419.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-88                                         | FANNIE MAE FNR 2025 88 FM                              | CUSIP: 3136BXZK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    889212 | PA      | $893259.94    | 0.07%             | 2055-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 2022-27A LTD                                             | AMERICAN MONEY MANAGEMENT CORP AMMC 2022 27A A1R 144A  | CUSIP: 00173UAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $699762.39    | 0.06%             | 2037-01-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-46                                         | FANNIE MAE FNR 2023 46 FA                              | CUSIP: 3136BQLF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  38020983 | PA      | $38251763.17  | 3.17%             | 2053-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| KEYSPAN GAS EAST CORPORATION                                      | KEYSPAN GAS EAST CORP UNSECURED 144A 08/26 2.742       | CUSIP: 49338CAB9<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |   1727000 | PA      | $1709627.52   | 0.14%             | 2026-08-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 672173 GN 09/37 FIXED 5.35                   | CUSIP: 36295JXA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23936 | PA      | $24947.92     | 0.00%             | 2037-09-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004492 G2 07/39 FIXED 6.5                 | CUSIP: 36202E7D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27128 | PA      | $27775.49     | 0.00%             | 2039-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $266.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-10683.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260219                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-6337.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL GLOBAL FUNDING                              | BRIGHTHSE FIN GLBL FUND SECURED REGS 04/27 5.55        | CUSIP: 10921V2J4<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |   5800000 | PA      | $5884713.12   | 0.49%             | 2027-04-09      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1                 | SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2        | CUSIP: 81375WCT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86265 | PA      | $79946.01     | 0.01%             | 2035-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2004-5                                    | HOME EQUITY ASSET TRUST HEAT 2004 5 M3                 | CUSIP: 437084DY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10895 | PA      | $10899.14     | 0.00%             | 2034-11-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-12                                         | FANNIE MAE FNR 2025 12 FG                              | CUSIP: 3136BVFH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    317291 | PA      | $318845.81    | 0.03%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-B                                      | ARI FLEET LEASE TRUST ARIFL 2025 B A2 144A             | CUSIP: 00193GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1108194.12   | 0.09%             | 2034-03-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| TULANE UNIVERSITY                                                 | TULANE LA UNIV TULHGR 02/36 FLOATING VAR               | CUSIP: 899062BQ5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6110000 | PA      | $5705285.21   | 0.47%             | 2036-02-15      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2017-M12                                          | FANNIEMAE ACES FNA 2017 M12 A2                         | CUSIP: 3136AX7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    551369 | PA      | $545334.59    | 0.05%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| TRILLIUM CREDIT CARD TRUST II 2025-1A                             | TRILLIUM CREDIT CARD TRUST II TCCT 2025 1A A 144A      | CUSIP: 89621ACC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4300000 | PA      | $4316513.29   | 0.36%             | 2030-09-26      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                 | DELL INT LLC / EMC CORP SR UNSECURED 10/26 4.9         | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1708138.72   | 0.14%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5549                                           | FREDDIE MAC FHR 5549 CF                                | CUSIP: 3137HLSA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4059943 | PA      | $4107790.11   | 0.34%             | 2052-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-72.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $7566.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-95                                         | FANNIE MAE FNR 2025 95 F                               | CUSIP: 3136BXN67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2218470 | PA      | $2222403.35   | 0.18%             | 2053-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-A                  | NAVIENT STUDENT LOAN TRUST NAVSL 2021 A A 144A         | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    687352 | PA      | $632064.50    | 0.05%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SR SECURED 144A 05/26 5.62       | CUSIP: 04685A3V1<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    251000 | PA      | $252232.34    | 0.02%             | 2026-05-08      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889154 FN 02/38 FIXED VAR                    | CUSIP: 31410GZT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2341 | PA      | $2275.41      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AV9440 G2 11/46 FIXED 3                   | CUSIP: 36195LPZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68980 | PA      | $62140.31     | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GCAT 2022-HX1 TRUST                                               | GCAT GCAT 2022 HX1 A1 144A                             | CUSIP: 36168XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1402140 | PA      | $1320859.62   | 0.11%             | 2066-12-27      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 924068 FN 05/37 FIXED 6.5                    | CUSIP: 31412FTZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16561 | PA      | $16754.26     | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2025-40                                                | FANNIE MAE FNR 2025 40 F                               | CUSIP: 3136BWGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    413219 | PA      | $415508.53    | 0.03%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 820191 FN 05/35 FIXED 5                      | CUSIP: 31406UF86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35850 | PA      | $35954.29     | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-1                                 | VERUS SECURITIZATION TRUST VERUS 2024 1 A1 144A        | CUSIP: 92540EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1061278 | PA      | $1067225.52   | 0.09%             | 2069-01-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SERVICES INC                                     | UNIVERSAL HEALTH SVCS SR SECURED 09/26 1.65            | CUSIP: 913903AZ3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1966700.20   | 0.16%             | 2026-09-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1975.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888970 FN 06/37 FIXED VAR                    | CUSIP: 31410GT37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5666 | PA      | $5822.28      | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888372 FN 04/37 FIXED VAR                    | CUSIP: 31410F6H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3609 | PA      | $3737.11      | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO IV LTD                                               | GREYWOLF CLO LTD GWOLF 2019 1A A1R2 144A               | CUSIP: 39809TAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $600712.91    | 0.05%             | 2034-04-17      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260112                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-409.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL H00259 FG 04/35 FIXED 5.5            | CUSIP: 3128MSJC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1659 | PA      | $1669.34      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DJ9049 G2 06/55 FIXED 7                   | CUSIP: 3618KWBS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2937634 | PA      | $2985872.88   | 0.25%             | 2055-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260105                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $473.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                | F+G GLOBAL FUNDING SECURED 144A 04/27 2.3              | CUSIP: 30321L2D3<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    586000 | PA      | $572517.38    | 0.05%             | 2027-04-11      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AMCOR FINANCE (USA) INC                                           | AMCOR FINANCE USA INC COMPANY GUAR 04/26 3.625         | CUSIP: 02343UAG0<br>LEI: 549300ZMT7FVT8R77U18 | Long             | DBT              | CORP              | US        |   2571000 | PA      | $2566365.08   | 0.21%             | 2026-04-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                        | AVIATION CAPITAL GROUP SR UNSECURED 144A 09/26 1.95    | CUSIP: 05369AAL5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   7150000 | PA      | $7035877.35   | 0.58%             | 2026-09-20      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-103                                        | FANNIE MAE FNR 2024 103 FJ                             | CUSIP: 3136BUPN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1896087 | PA      | $1903254.84   | 0.16%             | 2055-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL P51262 FG 02/37 FIXED 5.5            | CUSIP: 3128C6MK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50702 | PA      | $51346.81     | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-6AR                            | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 6AR 1M6        | CUSIP: 61748HNB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    755000 | PA      | $751763.39    | 0.06%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                  | BANK OF MONTREAL SR UNSECURED 01/27 VAR                | CUSIP: 06368EDC3<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   3200000 | PA      | $3193856.19   | 0.26%             | 2027-01-22      | Floating      | 0.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BC4710 FN 10/46 FIXED 3                      | CUSIP: 3140F0GU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    198626 | PA      | $181239.41    | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL GLOBAL FUNDING                              | BRIGHTHSE FIN GLBL FUND SECURED 144A 05/26 1.55        | CUSIP: 10921U2C1<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |   3445000 | PA      | $3408454.30   | 0.28%             | 2026-05-24      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 758659 G2 03/41 FIXED 4.5                 | CUSIP: 36230TTQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94701 | PA      | $93482.97     | 0.01%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31480 FG 04/37 FIXED 5              | CUSIP: 31281BUD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18754 | PA      | $19295.54     | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VONTIER CORPORATION                                               | VONTIER CORP COMPANY GUAR 04/26 1.8                    | CUSIP: 928881AB7<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1093103.32   | 0.09%             | 2026-04-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004239 G2 09/38 FIXED 6                   | CUSIP: 36202EV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14353 | PA      | $14574.27     | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                        | GUGGENHEIM 1888 FUND LTD GUGG 2022 2A A1R 144A         | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4900000 | PA      | $4893875.00   | 0.41%             | 2035-01-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 01/26 4.389      | CUSIP: 345397XU2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    879000 | PA      | $879060.90    | 0.07%             | 2026-01-08      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-126.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                      | ENBRIDGE INC COMPANY GUAR 12/26 4.25                   | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   5681000 | PA      | $5693206.82   | 0.47%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260309                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $2539.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P3                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A3 144A   | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1330917 | PA      | $1339993.73   | 0.11%             | 2028-08-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF CANADA                                           | NATIONAL BANK OF CANADA COMPANY GUAR 03/27 VAR         | CUSIP: 63307A3G8<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |   6000000 | PA      | $6005757.54   | 0.50%             | 2027-03-05      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| KOMMUNALBANKEN AS                                                 | KOMMUNALBANKEN AS SR UNSECURED 144A 06/27 VAR          | CUSIP: 50048MDS6<br>LEI: I7ETN0QQO2AHZZGHJ389 | Long             | DBT              | CORP              | NO        |  15000000 | PA      | $15014710.50  | 1.24%             | 2027-06-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $2436.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA1253 FN 11/42 FIXED 4                      | CUSIP: 31418AMB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     87899 | PA      | $85750.04     | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                           | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/28 4.375  | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4505761.22   | 0.37%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                             | VICI PROPERTIES / NOTE COMPANY GUAR 144A 12/26 4.25    | CUSIP: 92564RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4834000 | PA      | $4834573.51   | 0.40%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                          | HYATT HOTELS CORP SR UNSECURED 03/28 5.05              | CUSIP: 448579AU6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1731891.90   | 0.14%             | 2028-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260224                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $3857.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H22                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H22 EF         | CUSIP: 38382YA52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    562264 | PA      | $563702.54    | 0.05%             | 2072-10-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-4A                             | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 4A A1 144A   | CUSIP: 16678RCC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124750 | PA      | $120535.80    | 0.01%             | 2035-10-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 773563 G2 07/41 FIXED 4.5                 | CUSIP: 36176RFC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38074 | PA      | $37666.37     | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-C                         | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 C AFX 144A    | CUSIP: 83390UAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    338797 | PA      | $319728.54    | 0.03%             | 2046-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| KKR CLO 42A LTD                                                   | KKR FINANCIAL CLO LTD KKR 42A AR 144A                  | CUSIP: 48255EAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4700000 | PA      | $4703525.00   | 0.39%             | 2034-07-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2024-2                                | ALLY AUTO RECEIVABLES TRUST ALLYA 2024 2 A3            | CUSIP: 02007NAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3976540 | PA      | $3984031.22   | 0.33%             | 2029-07-16      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-2                                     | SEQUOIA MORTGAGE TRUST SEMT 2003 2 A1                  | CUSIP: 81743PAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       260 | PA      | $259.03       | 0.00%             | 2033-06-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 499703 FN 05/29 FIXED 6                      | CUSIP: 31383DDG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       474 | PA      | $475.86       | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | 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        |   1588579 | PA      | $1602253.23   | 0.13%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260105                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-857.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256372 FN 07/36 FIXED 6.5                    | CUSIP: 31371MW94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    145156 | PA      | $149001.74    | 0.01%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1414.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                           | FREDDIE MAC FHR 5508 FB                                | CUSIP: 3137HJGE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    641716 | PA      | $642148.83    | 0.05%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A2             | CUSIP: 46630GAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126326 | PA      | $120617.22    | 0.01%             | 2035-07-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) MAR26 XCBT 20260331                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      3703 | NC      | $-986073.68   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | AIR LEASE CORP DISC COML 01/26 ZCP                     | CUSIP: 00913XAE3<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $3893855.55   | 0.32%             | 2026-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 10/26 0.125                            | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2383120 | PA      | $2361145.49   | 0.20%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET-BKD 2003-5                            | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 5 2A2         | CUSIP: 161546GR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125749 | PA      | $126206.73    | 0.01%             | 2033-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-5174.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 8A1       | CUSIP: 161630AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239065 | PA      | $234922.93    | 0.02%             | 2037-02-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260203                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $12741.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM 36 LTD                                                        | LCM LTD PARTNERSHIP LCM 36A A1R 144A                   | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1598005.58   | 0.13%             | 2034-01-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| TOWD POINT ASSET TRUST 2021-SL1                                   | TOWD POINT ASSET TRUST TPAT 2021 SL1 A2 144A           | CUSIP: 89179XAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    431472 | PA      | $430677.86    | 0.04%             | 2061-11-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-100                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 100 FA         | CUSIP: 38385GQ77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    568668 | PA      | $571272.93    | 0.05%             | 2055-06-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SEC TRUST 2005-1                               | THORNBURG MORTGAGE SECURITIES TMST 2005 1 A3           | CUSIP: 885220HB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23595 | PA      | $23152.58     | 0.00%             | 2045-04-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $179.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 899432 FN 05/37 FIXED 6                      | CUSIP: 31410WHH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48 | PA      | $48.66        | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2591 FN 05/38 FIXED VAR                    | CUSIP: 3138EJ2Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23992 | PA      | $24293.03     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $2804.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                            | STANDARD CHARTERED PLC SR UNSECURED 144A 01/27 VAR     | CUSIP: 853254CQ1<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $10003145.60  | 0.83%             | 2027-01-09      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                             | AON NORTH AMERICA INC AON NORTH AMERICA INC            | CUSIP: 03740MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $911488.47    | 0.08%             | 2027-03-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-103                                        | FANNIE MAE FNR 2024 103 FC                             | CUSIP: 3136BUQH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3418786 | PA      | $3430670.18   | 0.28%             | 2055-01-25      | Floating      | 5.02%                 | 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        |      4216 | PA      | $4235.22      | 0.00%             | 2045-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256809 FN 07/37 FIXED 6                      | CUSIP: 31371NGS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7032 | PA      | $7367.78      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO V LTD                                                  | ROMARK CLO LTD RMRK 2021 5A AR 144A                    | CUSIP: 77588PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4400000 | PA      | $4403235.85   | 0.36%             | 2035-01-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                   | AES CORP/THE SR UNSECURED 01/26 1.375                  | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    810000 | PA      | $809076.11    | 0.07%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-5.47        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB6113 FN 08/42 FIXED 4                      | CUSIP: 31417CYK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47058 | PA      | $46703.93     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SO. CALIF EDISON                                       | CUSIP: 8424C1AW8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249137.50    | 0.02%             | 2026-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC4532 FN 01/34 FIXED 5                      | CUSIP: 31417QBA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    384698 | PA      | $388232.36    | 0.03%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC                  | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 7A A 144A    | CUSIP: 05377RHL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8100000 | PA      | $8300105.64   | 0.69%             | 2028-08-21      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257044 FN 01/38 FIXED 6                      | CUSIP: 31371NP58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1519 | PA      | $1593.82      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255990 FN 11/35 FIXED 5                      | CUSIP: 31371MKB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44015 | PA      | $44237.64     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-60032.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT REFINANCE LOAN TRUST 2025-C                               | NAVIENT REFINANCE LOAN TRUST NAVRL 2025 C A 144A       | CUSIP: 638973AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2133073 | PA      | $2139550.05   | 0.18%             | 2055-10-15      | Fixed         | 4.80%                 | 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        |   9489495 | PA      | $9530092.51   | 0.79%             | 2054-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $4896.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004241 G2 09/38 FIXED 7                   | CUSIP: 36202EWA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     79617 | PA      | $80603.10     | 0.01%             | 2038-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                       | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A A1B 144A    | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296711 | PA      | $280534.86    | 0.02%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                      | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 04/29 5.875 | CUSIP: 147918AC0<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |   2800000 | PA      | $2954464.72   | 0.24%             | 2029-04-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $841.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 09/26 4.4             | CUSIP: 842400JF1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1001940.26   | 0.08%             | 2026-09-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2025-35                                                | FANNIE MAE FNR 2025 35 FB                              | CUSIP: 3136BVF78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1160299 | PA      | $1166602.26   | 0.10%             | 2055-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                         | BANQUE FED CRED MUTUEL 144A 01/27 VAR                  | CUSIP: 06675DCH3<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    550000 | PA      | $553114.24    | 0.05%             | 2027-01-23      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                           | NTT FINANCE CORP COMPANY GUAR 144A 04/26 1.162         | CUSIP: 62954WAC9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   4500000 | PA      | $4467105.54   | 0.37%             | 2026-04-03      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                           | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/27 4.95  | CUSIP: 928668CN0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2522041.98   | 0.21%             | 2027-03-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AA0711 G2 07/42 FIXED 3.74                | CUSIP: 36177WYG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29805 | PA      | $27650.98     | 0.00%             | 2042-07-20      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2017-M4                                           | FANNIEMAE ACES FNA 2017 M4 A2                          | CUSIP: 3136AVY52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    847215 | PA      | $836803.51    | 0.07%             | 2026-12-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-11141.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | AIR LEASE CORP SR UNSECURED 01/26 2.875                | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5996831.76   | 0.50%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A  | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    551299 | PA      | $549987.46    | 0.05%             | 2031-12-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004670 G2 04/40 FIXED 4                   | CUSIP: 36202FFK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    230058 | PA      | $216607.67    | 0.02%             | 2040-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX1                            | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX1 M2       | CUSIP: 76110WQ66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170698 | PA      | $171802.36    | 0.01%             | 2035-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005201 G2 10/41 FIXED 4                   | CUSIP: 36202FX68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24639 | PA      | $23441.27     | 0.00%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US ULTRA BOND CBT MAR26 XCBT 20260320                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -129 | NC      | $192533.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                               | NOMURA HOLDINGS INC SR UNSECURED 01/26 5.709           | CUSIP: 65535HBG3<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   2300000 | PA      | $2300688.78   | 0.19%             | 2026-01-09      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                | ENERGY TRANSFER LP SR UNSECURED 01/26 4.75             | CUSIP: 29273RBG3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1215227.27   | 0.10%             | 2026-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-A                  | NAVIENT STUDENT LOAN TRUST NAVSL 2020 A A2A 144A       | CUSIP: 63941FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390625 | PA      | $379470.74    | 0.03%             | 2068-11-15      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVII CLO LTD 2017-27A                                    | VENTURE CDO LTD VENTR 2017 27A AR 144A                 | CUSIP: 92331LBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    190836 | PA      | $191071.45    | 0.02%             | 2030-07-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | KEURIG DR PEPPER INC COMPANY GUAR 11/26 VAR            | CUSIP: 49271VAY6<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2000807.58   | 0.17%             | 2026-11-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP INC                                       | SAMMONS FINANCIAL GROUP SR UNSECURED 144A 05/27 4.45   | CUSIP: 79588TAC4<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |   1423000 | PA      | $1423354.64   | 0.12%             | 2027-05-12      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1        | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1695 | PA      | $1613.44      | 0.00%             | 2032-09-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 819230 FN 02/35 FIXED 5.35                   | CUSIP: 31406TEB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27817 | PA      | $27939.06     | 0.00%             | 2035-02-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-1                            | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 1 A3 144A    | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2950941 | PA      | $2968685.27   | 0.25%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5510                                           | FREDDIE MAC FHR 5510 FA                                | CUSIP: 3137HJMM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    981525 | PA      | $986506.19    | 0.08%             | 2055-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5564                                           | FREDDIE MAC FHR 5564 FB                                | CUSIP: 3137HMD23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1832860 | PA      | $1841485.49   | 0.15%             | 2055-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                  | VENTAS REALTY LP COMPANY GUAR 01/26 4.125              | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    458000 | PA      | $457957.51    | 0.04%             | 2026-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-HE7                                     | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE7 M1       | CUSIP: 073879EU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385175 | PA      | $380090.56    | 0.03%             | 2034-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA0060 GN 04/42 FIXED 3.7                    | CUSIP: 36177WB58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89537 | PA      | $85163.02     | 0.01%             | 2042-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-290.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $3226.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 662867 GN 12/36 FIXED 5.35                   | CUSIP: 36294XMQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20101 | PA      | $20441.41     | 0.00%             | 2036-12-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO LTD 2018-6A                                           | SARANAC CLO LTD SRANC 2018 6A A1R 144A                 | CUSIP: 80317LAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    544231 | PA      | $544535.41    | 0.05%             | 2031-08-13      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER INTERNATIONAL LIMITED                            | TRITON CONTAINER COMPANY GUAR 144A 04/26 2.05          | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |   5403000 | PA      | $5361312.72   | 0.44%             | 2026-04-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                                        | LCM LTD PARTNERSHIP LCM 30A AR 144A                    | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    353637 | PA      | $353874.20    | 0.03%             | 2031-04-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| NAVIENT EDUCATION LOAN TRUST 2025-A                               | NAVIENT EDUCATION LOAN TRUST NAVEL 2025 A A 144A       | CUSIP: 63943EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1276596 | PA      | $1291868.56   | 0.11%             | 2055-07-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST 2023-A1                             | SYNCHRONY CARD ISSUANCE TRUST SYNIT 2023 A1 A          | CUSIP: 87166PAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8068649.60   | 0.67%             | 2029-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                           | FREDDIE MAC FHR 5511 FG                                | CUSIP: 3137HKKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1797550 | PA      | $1803780.19   | 0.15%             | 2055-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $2259.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780650 GN 10/27 FIXED 6.5                    | CUSIP: 36225AWK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       349 | PA      | $351.79       | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORPORATION                                           | DUKE ENERGY CORP SR UNSECURED 01/27 4.85               | CUSIP: 26441CCB9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2221218.21   | 0.18%             | 2027-01-05      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004182 G2 07/38 FIXED 5.5                 | CUSIP: 36202EUF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14981 | PA      | $15007.50     | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-79                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 79 NA          | CUSIP: 38385GWL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6299142 | PA      | $6161116.83   | 0.51%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $9756.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                         | ROMARK CLO LTD RMRK 2021 4A A1R 144A                   | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2200000 | PA      | $2200952.45   | 0.18%             | 2034-07-10      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-1888.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-88                                         | FANNIE MAE FNR 2025 88 KF                              | CUSIP: 3136BXZS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1390007 | PA      | $1395683.16   | 0.12%             | 2055-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC SR UNSECURED 09/27 VAR                    | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $1015780.54   | 0.08%             | 2027-09-13      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 3 MONTH SOFR FUT  DEC27 XCME 20280314                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      1099 | NC      | $-290358.27   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 787993 G2 06/55 FIXED 7                   | CUSIP: 3622ADXW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1725444 | PA      | $1753776.37   | 0.15%             | 2055-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR8                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A2        | CUSIP: 92922FUN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294984 | PA      | $298511.50    | 0.02%             | 2044-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                           | FREDDIE MAC FHR 5565 FB                                | CUSIP: 3137HMGK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    689193 | PA      | $695466.84    | 0.06%             | 2055-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FINANCE AMERICA MTGE LOAN TRUST 2004-2                            | FINANCE AMERICA MORTGAGE LOAN FINA 2004 2 M1           | CUSIP: 317350BD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94848 | PA      | $92208.77     | 0.01%             | 2034-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2023-C OWNER TRUST                        | TOYOTA AUTO RECEIVABLES OWNER TAOT 2023 C A3           | CUSIP: 89231FAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1886318 | PA      | $1897691.79   | 0.16%             | 2028-04-17      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2020-IA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1B 144A      | CUSIP: 63942AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1081076 | PA      | $1075867.95   | 0.09%             | 2069-04-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-4659.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-768.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UADGA4 PIMCO SWAPTION 3.65 PUT USD 20260909         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | 165900000 | NC      | $112231.35    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LIMITED                                | CANADIAN NATL RESOURCES SR UNSECURED 12/29 5           | CUSIP: 136385BD2<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    700000 | PA      | $718173.99    | 0.06%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                     | VISTRA OPERATIONS CO LLC SR SECURED 144A 12/26 5.05    | CUSIP: 92840VAT9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    730000 | PA      | $735583.77    | 0.06%             | 2026-12-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                       | NATIONWIDE BLDG SOCIETY 144A 10/27 VAR                 | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1600000 | PA      | $1630498.18   | 0.14%             | 2027-10-18      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260120                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-143.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 944530 FN 07/47 FIXED 6                      | CUSIP: 31413FY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     73125 | PA      | $74600.55     | 0.01%             | 2047-07-01      | Fixed         | 6.00%                 | 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        |   1230000 | PA      | $1300612.63   | 0.11%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-3 LTD                                | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 3A AR 144A     | CUSIP: 05683NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $3294803.03   | 0.27%             | 2034-07-24      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021-SJ2                                | TOWD POINT MORTGAGE TRUST TPMT 2021 SJ2 A1A 144A       | CUSIP: 89180LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1305001 | PA      | $1275482.60   | 0.11%             | 2061-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5593                                           | FREDDIE MAC FHR 5593 FB                                | CUSIP: 3137HNV47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    784075 | PA      | $787620.14    | 0.07%             | 2055-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| TIAA CLO IV LTD 2018-1A                                           | TIAA CLO LTD TIA 2018 1A A1AR 144A                     | CUSIP: 88631YAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    859045 | PA      | $859463.43    | 0.07%             | 2032-01-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORPORATION                                    | MARATHON PETROLEUM CORP SR UNSECURED 12/26 5.125       | CUSIP: 56585ABC5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |    728000 | PA      | $733584.68    | 0.06%             | 2026-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                 | CPPIB CAPITAL INC COMPANY GUAR 144A 07/26 VAR          | CUSIP: 22411VBB3<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | CORP              | CA        |  20000000 | PA      | $20042376.20  | 1.66%             | 2026-07-27      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-1213.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BK5879 G2 11/48 FIXED 4.5                 | CUSIP: 3617J6Q80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44481 | PA      | $42903.54     | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-1.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 734402 G2 04/41 FIXED 4.5                 | CUSIP: 3620AM3K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67545 | PA      | $66820.46     | 0.01%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5532                                           | FREDDIE MAC FHR 5532 FA                                | CUSIP: 3137HKPJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4880627 | PA      | $4902417.03   | 0.41%             | 2055-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL E04367 FG 04/28 FIXED 2              | CUSIP: 31294NZ85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       217 | PA      | $212.26       | 0.00%             | 2028-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2021-D                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 D A1B 144A     | CUSIP: 78449MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239983 | PA      | $238072.27    | 0.02%             | 2053-03-17      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256973 FN 11/37 FIXED 6.5                    | CUSIP: 31371NMW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6029 | PA      | $6392.86      | 0.00%             | 2037-11-01      | 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      | $-256107.23   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31005 FG 08/33 FIXED 5.5            | CUSIP: 31281BDJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     45802 | PA      | $46223.49     | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2023-1A                                | BANK OF AMERICA AUTO TRUST BAAT 2023 1A A3 144A        | CUSIP: 06428AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1683001 | PA      | $1695144.40   | 0.14%             | 2028-02-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA1137 FN 07/42 FIXED 4                      | CUSIP: 31418AHP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26801 | PA      | $25730.84     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-5A                                    | CHASE AUTO OWNER TRUST CHAOT 2024 5A A3 144A           | CUSIP: 16144QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $802913.68    | 0.07%             | 2029-08-27      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $5761.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO ETF Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer