# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004416
**Filing Date:** 2025-11
**Character Count:** 392680
**Document Hash:** dc93d0342d4867f5f5d38a22e086bd6f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004416.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004416

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528220

**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 Total Return ESG Fund (Series ID: S000009710)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026658 | Institutional  | PTSAX           |
| C000026659 | Administrative | PRFAX           |
| C000066771 | I-2            | PRAPX           |
| C000203306 | I-3            |  |
| C000217562 | Class A        | PTGAX           |
| C000217563 | Class C        | PTGCX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Total Return ESG Fund

- **b. EDGAR series identifier (if any):** S000009710

- **c. LEI of Series:** L5PKZHI2VYFXFVFBIX10

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2349320978.63

**Total Liabilities:** $693673384.61

**Net Assets:** $1655647594.02

**Delayed Delivery Securities:** $16100000.00

**Cash Not Reported:** $21078516.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 59768.493900 | **1-Year:** 93071.371800 | **5-Year:** 434926.762900 | **10-Year:** 135714.833500 | **30-Year:** -7531.447000

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

- **3-Month:** 410.102900 | **1-Year:** 5558.945300 | **5-Year:** 8366.108100 | **10-Year:** 1386.411600 | **30-Year:** 111.200800

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026659 | -0.09%               | 1.24%                | 1.19%                |
| Class ID C000217562 | -0.10%               | 1.23%                | 1.18%                |
| Class ID C000217563 | -0.16%               | 1.16%                | 1.12%                |
| Class ID C000066771 | -0.07%               | 1.25%                | 1.20%                |
| Class ID C000203306 | -0.08%               | 1.25%                | 1.20%                |
| Class ID C000026658 | -0.06%               | 1.26%                | 1.21%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2907206.36             | $-13351442.68                              |
| Month 2  | $-525218.19              | $18471656.53                               |
| Month 3  | $-372444.54              | $17659291.80                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Total Return Unhedged USD Index

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BEAR STEARNS  STRUC PROD INC 2007-R6                                     | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1         | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     234341 | PA      | $187191.03     | 0.01%             | 2046-12-26      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2007-2                                         | BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 2 A13         | CUSIP: 05952FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1010732 | PA      | $803598.21     | 0.05%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                       | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 03/28 5.5    | CUSIP: 86563VBH1<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    3600000 | PA      | $3716353.44    | 0.22%             | 2028-03-09      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 893923 FN 10/36 FIXED 6                       | CUSIP: 31410QD40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6276 | PA      | $6539.99       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 252211 FN 01/29 FIXED 6                       | CUSIP: 31371HDQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        474 | PA      | $483.96        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 932626 FN 03/40 FIXED 5                       | CUSIP: 31412RD79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12278 | PA      | $12581.16      | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-2A                                                 | FIRST HELP FINANCIAL LLC FHF 2024 2A A2 144A            | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2393538 | PA      | $2416646.64    | 0.15%             | 2030-06-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT THB SOLD USD 20251208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-3224.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | ZCS BRL 11.4071 07/09/24-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-798116.23    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | US ULTRA BOND CBT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         16 | NC      | $52726.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX                              | GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX A 144A      | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4497266 | PA      | $3967109.98    | 0.24%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| BLUEHUB LOAN FUND INC                                                    | BLUEHUB LOAN FUND SR UNSECURED 01/30 3.099              | CUSIP: 095623AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3095290.30    | 0.19%             | 2030-01-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG02        | FHLMC MULTIFAMILY STRUCTURED P FHMS KG02 X1             | CUSIP: 3137FPHS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24169058 | PA      | $723169.64     | 0.04%             | 2029-08-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-1689.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 31750R594 PIMCO FXVAN PUT EUR USD 1.09750000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     428000 | NC      | $8576.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2023-1A                             | TOYOTA AUTO LOAN EXTENDED NOTE TALNT 2023 1A A 144A     | CUSIP: 89231WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2048599.60    | 0.12%             | 2036-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | US LONG BOND(CBT) DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -54 | NC      | $-140558.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-417.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3531.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                             | FANNIEMAE WHOLE LOAN FNW 2004 W8 2A                     | CUSIP: 31394ALL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10555 | PA      | $10798.32      | 0.00%             | 2044-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 31750R5C7 PIMCO FXVAN PUT EUR USD 1.11000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    8858000 | NC      | $2797.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNG BANK NV                                                              | BNG BANK NV SR UNSECURED 144A 05/28 3.5                 | CUSIP: 05591F2S8<br>LEI: 529900GGYMNGRQTDOO93 | Long             | DBT              | CORP              | NL        |    4000000 | PA      | $3979948.00    | 0.24%             | 2028-05-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $21.50         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 0.25000 09/15/21-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3046634.74    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB6395 FN 02/53 FIXED 5                       | CUSIP: 3140QSC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2011849 | PA      | $2005768.50    | 0.12%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $32061.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 11/48 3.375                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9300000 | PA      | $7473421.88    | 0.45%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G04877 FG 10/38 FIXED 6               | CUSIP: 3128M6XE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2942 | PA      | $3105.22       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $9517.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $8581.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 985719 FN 06/38 FIXED 5.5                     | CUSIP: 31415QAU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1476 | PA      | $1525.60       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 674952 FN 12/32 FIXED 5.5                     | CUSIP: 31391RZR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     118217 | PA      | $121089.93     | 0.01%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.70000 12/31/25-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-36151.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $531.13        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 725425 FN 04/34 FIXED VAR                     | CUSIP: 31402C4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7866 | PA      | $8083.46       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL 008717 G2 10/25 FLOATING VAR               | CUSIP: 36202KVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $4.44          | 0.00%             | 2025-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-18944.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $734.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 02/45 2.5                               | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1900000 | PA      | $1361542.96    | 0.08%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-14994.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2100000 | PA      | $1579429.70    | 0.10%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $22483.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMIT 2022-BVUE MORTGAGE TRUST                                           | SUMIT 2022 BVUE MORTGAGE TRUST SUMMT 2022 BVUE B 144A   | CUSIP: 865592AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1459169.16    | 0.09%             | 2041-02-12      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                                     | NORINCHUKIN BANK SR UNSECURED 144A 03/28 5.43           | CUSIP: 656029AL9<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    4400000 | PA      | $4506377.17    | 0.27%             | 2028-03-09      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL MA0534 FN 10/30 FIXED 4                       | CUSIP: 31417YSY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10738 | PA      | $10693.93      | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | CAN 10YR BOND FUT DEC25 XMOD 20251218                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         82 | NC      | $149601.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2124.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DC OFFICE TRUST 2019-MTC                                                 | DC OFFICE TRUST DCOT 2019 MTC A 144A                    | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11900000 | PA      | $10858215.69   | 0.66%             | 2045-09-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $379.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1282.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 769612 FN 03/34 FIXED 5.5                     | CUSIP: 31404JAM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4994 | PA      | $5037.32       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $12879.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNG BANK NV                                                              | BNG BANK NV SR UNSECURED 144A 02/30 4.75                | CUSIP: 05591F2Y5<br>LEI: 529900GGYMNGRQTDOO93 | Long             | DBT              | CORP              | NL        |    3800000 | PA      | $3939853.68    | 0.24%             | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-9614.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RJ0135 FR 11/53 FIXED 4               | CUSIP: 3142GQEH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2952037 | PA      | $2784750.99    | 0.17%             | 2053-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-6406.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                        | HSBC HOLDINGS PLC SR UNSECURED 03/31 VAR                | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3300000 | PA      | $3380333.39    | 0.20%             | 2031-03-03      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR1                                         | GSR MORTGAGE LOAN TRUST GSR 2007 AR1 2A1                | CUSIP: 362290AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     889102 | PA      | $492488.71     | 0.03%             | 2047-03-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | VERIZON COMMUNICATIONS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $11607.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                     | JPMORGAN CHASE + CO SR UNSECURED 10/27 VAR              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2448152.52    | 0.15%             | 2027-10-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| MANULIFE FINANCIAL CORPORATION                                           | MANULIFE FINANCIAL CORP SR UNSECURED 03/32 3.703        | CUSIP: 56501RAN6<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |    7000000 | PA      | $6703433.80    | 0.40%             | 2032-03-16      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1398.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G03581 FG 11/37 FIXED 6               | CUSIP: 3128M5J27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67050 | PA      | $70762.02      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | STRIPS 02/40 0.00000                                    | CUSIP: 912834FB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1400000 | PA      | $716006.84     | 0.04%             | 2040-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL 787239 FH 07/30 FLOATING VAR          | CUSIP: 31295LBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        909 | PA      | $921.59        | 0.00%             | 2030-07-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 804565 FN 01/35 FLOATING VAR                  | CUSIP: 31406AZ62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26251 | PA      | $26662.65      | 0.00%             | 2035-01-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL A89332 FG 10/39 FIXED 5               | CUSIP: 312936LM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7749 | PA      | $7951.96       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                               | ONTARIO (PROVINCE OF) SR UNSECURED 12/34 3.8            | CUSIP: 68333ZBG1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    2700000 | PA      | $1966538.30    | 0.12%             | 2034-12-02      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-12555.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AO8051 FN 06/42 FIXED 4.5                     | CUSIP: 3138LY5M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26901 | PA      | $26848.11      | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INVESTINDUSTRIAL VIII SCSP                                               | PRJCT ALFA INVSTINDUSTRAL VIII 2025 EUR TERM LOAN 2     | CUSIP: BA000GNP1<br>LEI: 213800KUK2RJHCSU9551 | Long             | LON              | CORP              | GB        |     378000 | PA      | $443791.15     | 0.03%             | 2026-02-27      | Floating      | 4.12%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2209.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $286.44        | 0.00%             |  |  |  | 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        |    2900000 | PA      | $2899732.50    | 0.18%             | 2034-07-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2445.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                      | EUROPEAN UNION SR UNSECURED REGS 10/29 2.875            | CUSIP: ACI2Q0PD7<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |    6500000 | PA      | $7761208.81    | 0.47%             | 2029-10-05      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $22759.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                   | PROJECT FENNO EUR DELAYED DRAW TERM LOAN A              | CUSIP: BA000MLQ8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     549646 | PA      | $645312.71     | 0.04%             | 2028-07-10      | Floating      | 4.37%                 | Yes           |                  3 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                               | MONDELEZ INTERNATIONAL SR UNSECURED 07/31 4.625         | CUSIP: 609207BD6<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $3768480.71    | 0.23%             | 2031-07-03      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 02/48 3                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12500000 | PA      | $9441894.50    | 0.57%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.50000 06/20/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4099583.07    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | EURO-BUND FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -351 | NC      | $-174870.74    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 05/49 2.875                             | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18300000 | PA      | $13354710.85   | 0.81%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/1.75000 12/21/22-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $16730315.85   | 1.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | EURO-BUND OPTION  NOV25P 127.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -57 | NC      | $-12714.97     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $521.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $20168.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $17843.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                       | SOUTHERN CAL EDISON 1ST MORTGAGE 02/32 2.75             | CUSIP: 842400HM8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    5200000 | PA      | $4575379.85    | 0.28%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST 2003-2                                | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 2 M2          | CUSIP: 64352VCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     465623 | PA      | $406553.35     | 0.02%             | 2033-01-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 832802 FN 09/35 FLOATING VAR                  | CUSIP: 31407KGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2786 | PA      | $2818.38       | 0.00%             | 2035-09-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $269.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL A57029 FG 01/37 FIXED 6               | CUSIP: 3128KKY29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15494 | PA      | $16234.75      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WORLD BANK (INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT: IBRD) | INTL BK RECON + DEVELOP SR UNSECURED 02/26 5.31         | CUSIP: ACI1VGLL4<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | N/A       |  126000000 | PA      | $7265100.17    | 0.44%             | 2026-02-05      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA POOL 774311 GN 05/42 FIXED 5                       | CUSIP: 36176SAL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27135 | PA      | $27623.10      | 0.00%             | 2042-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 822393 FN 04/35 FIXED 5.5                     | CUSIP: 31406WUS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        610 | PA      | $614.75        | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $37658.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-2231.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAM1A0 PIMCO SWAPTION 3.85 PUT USD 20251027          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-3907.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 794277 FN 09/34 FIXED 5.5                     | CUSIP: 31405NM28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     109011 | PA      | $110058.28     | 0.01%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST 2024-1                                           | BMW VEHICLE LEASE TRUST BMWLT 2024 1 A3                 | CUSIP: 05611UAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3387403 | PA      | $3399664.76    | 0.21%             | 2027-03-25      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER AND LIGHT COMPANY                                       | INTERSTATE POWER + LIGHT SR UNSECURED 09/28 4.1         | CUSIP: 461070AP9<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4287719.11    | 0.26%             | 2028-09-26      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 11/49 2.375                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7756000 | PA      | $5076847.32    | 0.31%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H13                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H13 FT          | CUSIP: 38376RUS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5538 | PA      | $5547.56       | 0.00%             | 2066-05-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AL0520 FN 07/41 FIXED VAR                     | CUSIP: 3138EGSJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     753838 | PA      | $781110.46     | 0.05%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                            | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/27 4.125       | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    6600000 | PA      | $6493370.86    | 0.39%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-795.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                      | NEXTERA ENERGY CAPITAL COMPANY GUAR 06/28 1.9           | CUSIP: 65339KBW9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $7658949.82    | 0.46%             | 2028-06-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1642.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-9721.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $31592.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $7615.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TSY INFL IX N/B 02/50 0.25                              | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5779762 | PA      | $3423067.80    | 0.21%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       8000 | PA      | $7911.75       | 0.00%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $7365.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA I TBA 30 YR 4 SINGLE FAMILY MORTGAGE               | CUSIP: 01N0406A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $943380.17     | 0.06%             | 2054-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 894881 FN 09/36 FIXED 6                       | CUSIP: 31410RFW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20159 | PA      | $20777.73      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                                  | CENTERPOINT ENER HOUSTON GENL REF MOR 04/53 5.3         | CUSIP: 15189XBC1<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1966259.52    | 0.12%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 484203 FN 02/29 FIXED 6                       | CUSIP: 31382J3L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2000 | PA      | $2042.27       | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1935                                                         | FREDDIE MAC FHR 1935 JZ                                 | CUSIP: 3133T8ZJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10993 | PA      | $11031.82      | 0.00%             | 2027-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G02744 FG 03/37 FIXED 6               | CUSIP: 3128M4LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16345 | PA      | $17249.78      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G30409 FG 06/28 FIXED 6               | CUSIP: 3128CUN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        768 | PA      | $785.30        | 0.00%             | 2028-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY HOUSING DEVELOPMENT CORP                                   | NEW YORK CITY NY HSG DEV CORP NYCMFH 11/27 FIXED 1.477  | CUSIP: 64972EUD9<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |     300000 | PA      | $285525.33     | 0.02%             | 2027-11-01      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $6155.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-332378.06    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $58240.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   22910000 | PA      | $6995037.54    | 0.42%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TSY INFL IX N/B 02/45 0.75                              | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12346110 | PA      | $9215587.26    | 0.56%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AA4236 FN 04/39 FIXED 4.5                     | CUSIP: 31416MV68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19233 | PA      | $19242.40      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BLUEHUB LOAN FUND INC                                                    | BLUEHUB LOAN FUND SR UNSECURED 01/27 2.89               | CUSIP: 095623AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1255070.05    | 0.08%             | 2027-01-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 05/42 3.25                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   69900000 | PA      | $58748765.63   | 3.55%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $318.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                   | BROOKFIELD FINANCE INC COMPANY GUAR 04/31 2.724         | CUSIP: 11271LAH5<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |   17900000 | PA      | $16357494.71   | 0.99%             | 2031-04-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | STRIPS 08/42 0.00000                                    | CUSIP: 912834LR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2900000 | PA      | $1283988.72    | 0.08%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4            | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    6500000 | PA      | $1813327.86    | 0.11%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATIONAL ENERGY COMPANY PJSC (TAQA)                            | ABU DHABI NATIONAL ENERG SR UNSECURED 144A 03/37 4.75   | CUSIP: 00388WAP6<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |    3700000 | PA      | $3677096.00    | 0.22%             | 2037-03-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.55100 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9676.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1065.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2086.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | CDX ITRAXX XOV42 5Y 35-100% SP JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $680788.31     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 725613 FN 06/34 FIXED VAR                     | CUSIP: 31402DDS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6702 | PA      | $6872.68       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $7994.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO XI 2021-11A                                             | OCEAN TRAILS CLO OCTR 2021 11A AR 144A                  | CUSIP: 67514VAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4703763.24    | 0.28%             | 2034-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO 4 LTD 2023-2A                                             | 37 CAPITAL CLO LTD PUTNM 2023 2A AR 144A                | CUSIP: 883932AN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3600000 | PA      | $3602544.30    | 0.22%             | 2035-04-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                 | HOST HOTELS + RESORTS LP SR UNSECURED 09/30 3.5         | CUSIP: 44107TAZ9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $2911795.00    | 0.18%             | 2030-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JOHN D AND CATHERINE T MACARTHUR FOUNDATION                              | MACARTHUR FOUNDATION UNSECURED 12/30 1.299              | CUSIP: 477854AA1<br>LEI: UJ37UD5B4O5WRVV6NV96 | Long             | DBT              | CORP              | US        |   13400000 | PA      | $11521922.06   | 0.70%             | 2030-12-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-8501.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                               | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                     | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  740000000 | PA      | $4586764.04    | 0.28%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $16212.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 02/50 2                                 | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16400000 | PA      | $9810851.62    | 0.59%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB7220 FN 09/53 FIXED 5.5                     | CUSIP: 3140QTAW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     433958 | PA      | $439073.17     | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-48884.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CALIFORNIA MUNICIPAL FINANCE AUTHORITY                                   | CALIFORNIA ST MUNI FIN AUTH RE CASFIN 11/35 FIXED 2.877 | CUSIP: 13048VQC5<br>LEI: 5493000UQOV6R4ZWS346 | Long             | DBT              | MUN               | US        |    2100000 | PA      | $1728391.77    | 0.10%             | 2035-11-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-17665.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 790746 FN 09/34 FIXED 5.5                     | CUSIP: 31405JP73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69187 | PA      | $71751.27      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAFEA1 PIMCO SWAPTION 3.675 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3100000 | NC      | $-12183.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 31750R9K5 PIMCO FXVAN PUT AUD USD 0.62250000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1195000 | NC      | $9.49          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G04731 FG 04/38 FIXED 5.5             | CUSIP: 3128M6SU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20632 | PA      | $21462.66      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5095000 | PA      | $5205785.27    | 0.31%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                              | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR             | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3348030.64    | 0.20%             | 2028-07-22      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.75000 12/18/24-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-307493.55    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 10YR FUT OPTN  NOV25P 111 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -49 | NC      | $-5461.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 555668 FN 07/33 FIXED VAR                     | CUSIP: 31385XJM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12081 | PA      | $12216.21      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RENEW PRIVATE LIMITED                                                    | RENEW POWER PVT LTD SR SECURED 144A 03/27 5.875         | CUSIP: 75975AAA8<br>LEI: 335800BITJZHVZ1CN475 | Long             | DBT              | CORP              | IN        |    3754000 | PA      | $3754555.25    | 0.23%             | 2027-03-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL C91236 FG 02/29 FIXED 4.5             | CUSIP: 3128P7LR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38138 | PA      | $38346.31      | 0.00%             | 2029-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO XIX LTD                                                     | TRINITAS CLO LTD TRNTS 2022 19A A1R 144A                | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    4800000 | PA      | $4810176.77    | 0.29%             | 2033-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 829907 FN 07/35 FIXED 6                       | CUSIP: 31407GAG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24317 | PA      | $24837.03      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                    | TORONTO DOMINION BANK SR UNSECURED 12/26 5.264          | CUSIP: 89115A2V3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    3800000 | PA      | $3853734.05    | 0.23%             | 2026-12-11      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 995938 FN 01/39 FIXED VAR                     | CUSIP: 31416CLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13178 | PA      | $13894.17      | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL BL1004 FN 12/28 FIXED 4.01                    | CUSIP: 3140HSDJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7625437 | PA      | $7631644.15    | 0.46%             | 2028-12-01      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH A 144A   | CUSIP: 46654EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8105000 | PA      | $7871762.42    | 0.48%             | 2038-06-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 2.76000 01/03/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-49548.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB7589 FN 11/53 FIXED 5.5                     | CUSIP: 3140QTNF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30541934 | PA      | $30894882.72   | 1.87%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2687.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G05122 FG 01/39 FIXED 5.5             | CUSIP: 3128M7AX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11617 | PA      | $12065.81      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | 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        |    2550000 | PA      | $2553441.61    | 0.15%             | 2034-07-24      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXVI LTD 2019-36A                                  | MADISON PARK FUNDING LTD MDPK 2019 36A A1RR 144A        | CUSIP: 55819PBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3300000 | PA      | $3312632.17    | 0.20%             | 2035-04-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $12145.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC (AKA: MCGRAW HILL FINANCIAL INC)                          | S+P GLOBAL INC COMPANY GUAR 03/29 2.7                   | CUSIP: 78409VBJ2<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2102450.59    | 0.13%             | 2029-03-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL Q56466 FG 06/48 FIXED 4               | CUSIP: 3132Y0FG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     428594 | PA      | $413190.70     | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL A11312 FG 07/33 FIXED 6               | CUSIP: 31296KN58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3502 | PA      | $3582.89       | 0.00%             | 2033-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-7090.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 992944 FN 12/38 FIXED 5.5                     | CUSIP: 31415YBM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15754 | PA      | $16051.30      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 900134 FN 09/36 FIXED 6                       | CUSIP: 31410XBB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $25.66         | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-5963.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                        | FANNIE MAE FNR 2006 5 3A2                               | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10929 | PA      | $11181.25      | 0.00%             | 2035-05-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1547.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-5360.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   72105000 | PA      | $73653129.68   | 4.45%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BG6247 G2 05/48 FIXED 4                    | CUSIP: 3617GQ5G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1952079 | PA      | $1846942.38    | 0.11%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                         | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A      | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5556801 | PA      | $5563785.53    | 0.34%             | 2037-02-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                       | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4922301.00    | 0.30%             | 2036-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SERVICE EXPERTS ISSUER 2021-1A LLC                                       | SERVICE EXPERTS ISSUER SE 2021 1A A 144A                | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2083268 | PA      | $2046583.02    | 0.12%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 972952 FN 02/38 FIXED 5                       | CUSIP: 31414QL96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18331 | PA      | $18652.50      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 888757 FN 09/37 FLOATING VAR                  | CUSIP: 31410GME0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4421 | PA      | $4554.44       | 0.00%             | 2037-09-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18900000 | PA      | $19223032.94   | 1.16%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 08/42 3.375                             | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14500000 | PA      | $12359833.93   | 0.75%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 780895 FN 05/34 FIXED 5.5                     | CUSIP: 31404WRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3891 | PA      | $4028.15       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2998.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                      | EUROPEAN UNION SR UNSECURED REGS 02/37 0.4              | CUSIP: ACI212XM1<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |   10500000 | PA      | $9053015.88    | 0.55%             | 2037-02-04      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL 008710 G2 10/25 FLOATING VAR               | CUSIP: 36202KVB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          7 | PA      | $7.39          | 0.00%             | 2025-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 995112 FN 07/36 FIXED VAR                     | CUSIP: 31416BN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8125 | PA      | $8437.49       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 31750R9L3 PIMCO FXVAN CALL USD SEK 10.12500000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     721000 | NC      | $5.77          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $499.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 758322 FN 12/33 FIXED 5.5                     | CUSIP: 31403UPF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7725 | PA      | $7999.61       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA6                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA6 A1         | CUSIP: 74922MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     668082 | PA      | $612140.12     | 0.04%             | 2036-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                | HA SUSTAINABLE INF CAP COMPANY GUAR 01/31 6.15          | CUSIP: 40408AAA9<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3288583.10    | 0.20%             | 2031-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11822097 | PA      | $11143471.27   | 0.67%             | 2055-10-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 893040 FN 11/36 FIXED 6                       | CUSIP: 31410PEM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12142 | PA      | $12679.35      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                      | QUANTA SERVICES INC SR UNSECURED 08/28 4.3              | CUSIP: 74762EAM4<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3216283.39    | 0.19%             | 2028-08-09      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS & ELECTRIC COMPANY                                         | SAN DIEGO G + E 1ST MORTGAGE 08/28 4.95                 | CUSIP: 797440CE2<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4405915.24    | 0.27%             | 2028-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TSY INFL IX N/B 02/54 2.125                             | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5052240 | PA      | $4668621.65    | 0.28%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAEPA2 PIMCO SWAPTION 3.325 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-307.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2023-3A                                          | MOSAIC SOLAR LOANS LLC MSAIC 2023 3A A 144A             | CUSIP: 618933AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1363670 | PA      | $1355456.23    | 0.08%             | 2053-11-20      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G61453 FG 05/48 FIXED 3.5             | CUSIP: 31335BTJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2753956 | PA      | $2559957.65    | 0.15%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-46038.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA8200 FR 12/52 FIXED 4               | CUSIP: 3133KQDD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3009268 | PA      | $2841862.90    | 0.17%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1857.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN INTERNATIONAL COOPERATION AGENCY                                   | JAPAN INT L COOP AGENCY GOVT GUARANT 04/27 2.75         | CUSIP: 47109LAB0<br>LEI: 254900XEIG78M2AJB031 | Long             | DBT              | NUSS              | JP        |    4500000 | PA      | $4418985.20    | 0.27%             | 2027-04-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                               | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                   | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  560000000 | PA      | $3230607.57    | 0.20%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                               | ARES CLO LTD ARES 2013 2A AR3 144A                      | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4900000 | PA      | $4908134.88    | 0.30%             | 2034-10-28      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 05/54 4.625                             | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7700000 | PA      | $7567355.49    | 0.46%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UABDA1 PIMCO SWAPTION 3.506 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-993.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $64256.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                      | DOLP TRUST DOLP 2021 NYC A 144A                         | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8600000 | PA      | $7693087.86    | 0.46%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-396332.26    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB5223 FN 11/52 FIXED 4                       | CUSIP: 3140QQYV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22374453 | PA      | $21169269.20   | 1.28%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL 080095 G2 07/27 FLOATING VAR               | CUSIP: 36225CC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        437 | PA      | $439.46        | 0.00%             | 2027-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                          | CIGNA GROUP/THE SR UNSECURED 09/30 4.5                  | CUSIP: 125523CX6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2508216.43    | 0.15%             | 2030-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA POOL 597767 GN 03/33 FIXED 5                       | CUSIP: 36200DCC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3907 | PA      | $3942.80       | 0.00%             | 2033-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC4                                    | MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C            | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     467467 | PA      | $410444.44     | 0.02%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 888434 FN 11/35 FIXED VAR                     | CUSIP: 31410GBB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        353 | PA      | $362.64        | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1284.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                       | CONAGRA BRANDS INC SR UNSECURED 11/28 4.85              | CUSIP: 205887CC4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2122546.08    | 0.13%             | 2028-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT ZAR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $28.68         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-11531.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $8449.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOCA STATIC CLO I DAC 1A                                                | AVOCA STATIC CLO AVOST 1A AR 144A                       | CUSIP: ACI2S1S08<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2411352 | PA      | $2828388.86    | 0.17%             | 2035-01-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4855.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1880822.84    | 0.11%             | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $9797.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                                   | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A         | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4300000 | PA      | $4304515.00    | 0.26%             | 2034-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| PATTERN ENERGY OPERATIONS LP / PATTERN ENERGY OPERATIONS INC             | PATTERN ENERGY OP LP/PAT COMPANY GUAR 144A 08/28 4.5    | CUSIP: 70339PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2926210.20    | 0.18%             | 2028-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 535126 FN 12/28 FIXED VAR                     | CUSIP: 31384VPK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        231 | PA      | $235.81        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB7217 FN 09/53 FIXED 4.5                     | CUSIP: 3140QTAT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18224563 | PA      | $17725727.54   | 1.07%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-409.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UABCA2 PIMCO SWAPTION 3.806 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-866.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AL3019 FN 12/38 FIXED VAR                     | CUSIP: 3138EKK95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10382 | PA      | $10768.64      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SUNRUN DEMETER ISSUER 2021-2A                                            | SUNRUN DEMETER ISSUER LLC SUNRN 2021 2A A 144A          | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5471544 | PA      | $4928767.74    | 0.30%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | STRIPS 05/41 0.00000                                    | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3600000 | PA      | $1717417.51    | 0.10%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BM1356 G2 07/49 FIXED 3.5                  | CUSIP: 3617JRQH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1176540 | PA      | $1083342.78    | 0.07%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP2                                       | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP2 1AF1 144A      | CUSIP: 36298XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     854915 | PA      | $738596.57     | 0.04%             | 2036-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BRITISH COLUMBIA CANADA                                      | BRITISH COLUMBIA PROV OF UNSECURED 06/34 4.15           | CUSIP: 110709AK8<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |    1100000 | PA      | $825260.26     | 0.05%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 745093 FN 12/35 FIXED VAR                     | CUSIP: 31403CXW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5090 | PA      | $5298.71       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTICLASS CERTIFICATES SERIES 2020-P003                     | FREDDIE MAC MULTICLASS CERTIFI FHMR 2020 P003 A1        | CUSIP: 3137FWHY9<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |     849559 | PA      | $766338.14     | 0.05%             | 2031-02-25      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-717.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA8482 FR 07/53 FIXED 5               | CUSIP: 3133KQM78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13485927 | PA      | $13423300.74   | 0.81%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL C91325 FG 08/30 FIXED 4               | CUSIP: 3128P7PJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        838 | PA      | $835.35        | 0.00%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 3A3       | CUSIP: 92925GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     381477 | PA      | $342417.75     | 0.02%             | 2036-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $9301859.46    | 0.56%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT TWD SOLD USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $49.64         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AD0915 FN 12/38 FIXED VAR                     | CUSIP: 31418NAR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13126 | PA      | $13601.19      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UABYA8 PIMCO SWAPTION 2.55 CALL EUR 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-70.97        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-540.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $7029.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 745933 FN 09/36 FIXED VAR                     | CUSIP: 31403DV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37075 | PA      | $39085.85      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 2.30000 09/25/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1086.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-10                                                  | LEHMAN XS TRUST LXS 2005 10 2A4A                        | CUSIP: 525221GC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2303821 | PA      | $2064962.00    | 0.12%             | 2036-01-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                       | SOUTHERN CAL EDISON 1ST REF MORT 10/43 4.65             | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     100000 | PA      | $85290.83      | 0.01%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA POOL 716305 GN 06/39 FIXED 5                       | CUSIP: 3620A1YA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4222 | PA      | $4331.91       | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY COMPANY LLC                                      | ONCOR ELECTRIC DELIVERY SR SECURED 144A 05/31 3.5       | CUSIP: ACI2P4RP1<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2636815.66    | 0.16%             | 2031-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2227.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB5400 FN 12/52 FIXED 4                       | CUSIP: 3140QRAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2914173 | PA      | $2755392.75    | 0.17%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 08/44 3.125                             | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1300000 | PA      | $1041269.53    | 0.06%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                      | NEXTERA ENERGY CAPITAL COMPANY GUAR 12/26 2.2           | CUSIP: ACI1H0BK8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   10300000 | PA      | $6677290.92    | 0.40%             | 2026-12-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $5371.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD SEK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-46078.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G04624 FG 02/33 FIXED 6               | CUSIP: 3128M6PH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        705 | PA      | $732.73        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 323867 FN 07/29 FIXED VAR                     | CUSIP: 31374TW47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10495 | PA      | $10639.02      | 0.00%             | 2029-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 745516 FN 05/36 FIXED VAR                     | CUSIP: 31403DGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7047 | PA      | $7335.97       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.80662 04/02/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17735.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12954.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G03400 FG 03/37 FIXED 5.5             | CUSIP: 3128M5DD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6724 | PA      | $6908.84       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AUTODESK INC                                                             | AUTODESK INC SR UNSECURED 12/31 2.4                     | CUSIP: 052769AH9<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4431845.65    | 0.27%             | 2031-12-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL A62706 FG 06/37 FIXED 6               | CUSIP: 3128KTAF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1975 | PA      | $2067.61       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.25000 06/18/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1390206.94    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-381.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-3                                    | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 3 2A4         | CUSIP: 68389BAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3159575 | PA      | $1553674.64    | 0.09%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0326B5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -2000000 | PA      | $-1826964.26   | -0.11%            | 2055-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA8481 FR 07/53 FIXED 4.5             | CUSIP: 3133KQM60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18378791 | PA      | $17875735.81   | 1.08%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1302.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $249.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 08/47 2.75                              | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $217570.31     | 0.01%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3052.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 430877 FN 09/28 FIXED 6.5                     | CUSIP: 31379VUA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         90 | PA      | $93.33         | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                              | PROLOGIS LP SR UNSECURED 02/33 4.2                      | CUSIP: 74340XCP4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $3381710.44    | 0.20%             | 2033-02-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1985.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II TBA 30 YR 2 JUMBOS                              | CUSIP: 21H0206B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4400000 | PA      | $3638519.46    | 0.22%             | 2055-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL C01754 FG 01/34 FIXED 5.5             | CUSIP: 31292H5P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5481 | PA      | $5629.41       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AD0570 FN 08/37 FIXED VAR                     | CUSIP: 31418MT44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     435808 | PA      | $447849.84     | 0.03%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | CDX IG45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $170074.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWEDEN GOVT                                                              | KINGDOM OF SWEDEN SR UNSECURED 144A 09/30 0.125         | CUSIP: ACI1R0MP4<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |  155000000 | PA      | $14936761.77   | 0.90%             | 2030-09-09      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| KEB HANA BANK (AKA: KOREA EXCHANGE BANK)                                 | HANA BANK HANA BANK                                     | CUSIP: 48723RAE5<br>LEI: 6RPK2YDJN6L35AS0M510 | Long             | DBT              | CORP              | KR        |    2700000 | PA      | $2754638.82    | 0.17%             | 2027-04-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 10YR FUT OPTN  NOV25P 111.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -79 | NC      | $-16046.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.76473 12/17/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $70246.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BH9386 G2 06/48 FIXED 4                    | CUSIP: 3617H7NB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1695138 | PA      | $1605937.82    | 0.10%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6500000 | PA      | $6125355.99    | 0.37%             | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 756226 FN 01/34 FIXED 5.5                     | CUSIP: 31403SD78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        615 | PA      | $630.22        | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AE0728 FN 09/39 FIXED VAR                     | CUSIP: 31419AY27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     139898 | PA      | $147505.12     | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17                    | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL17 A 144A     | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3200000 | PA      | $3204052.26    | 0.19%             | 2040-02-18      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 31750R8D2 PIMCO FXVAN PUT AUD USD 0.62500000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    4077000 | NC      | $8.09          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 31750R9M1 PIMCO FXVAN PUT EUR USD 1.12200000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |     171000 | NC      | $327.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB7216 FN 09/53 FIXED 4                       | CUSIP: 3140QTAS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21649181 | PA      | $20424747.91   | 1.23%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL BE5205 FN 03/47 FIXED 3.5                     | CUSIP: 3140FQYB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     757724 | PA      | $709140.10     | 0.04%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 08/49 2.25                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32572000 | PA      | $20797730.77   | 1.26%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 02/49 3                                 | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9200000 | PA      | $6890476.53    | 0.42%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DORIS DUKE CHARITABLE FOUNDATION                                         | DORIS DUKE CHARITABLE UNSECURED 07/50 2.345             | CUSIP: 258261AA4<br>LEI: HFI2KJN5A6RHAGMWK984 | Long             | DBT              | CORP              | US        |   12500000 | PA      | $7258770.13    | 0.44%             | 2050-07-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 895082 FN 08/36 FIXED 6                       | CUSIP: 31410RM71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        870 | PA      | $895.40        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB6417 FN 05/53 FIXED 4.5                     | CUSIP: 3140QSDX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9938332 | PA      | $9685810.93    | 0.59%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS AUD 4.50000 09/18/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $136273.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-103051.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAM2A9 PIMCO SWAPTION 3.55 CALL USD 2025102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-8026.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 889176 FN 03/38 FIXED VAR                     | CUSIP: 31410G2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68723 | PA      | $71293.66      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA I TBA 30 YR 5 SINGLE FAMILY MORTGAGE               | CUSIP: 01N0506A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2987373.18    | 0.18%             | 2054-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | AT&T INC SNR S* ICE                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $135959.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL A16224 FG 11/33 FIXED 6               | CUSIP: 31296Q4H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        334 | PA      | $341.94        | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RJ1108 FR 03/54 FIXED 5               | CUSIP: 3142GRGS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14050288 | PA      | $13962940.11   | 0.84%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AB0194 FN 01/39 FIXED 5.5                     | CUSIP: 31416VGC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33875 | PA      | $35270.68      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL 008788 G2 01/26 FLOATING VAR               | CUSIP: 36202KXR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $39.47         | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD GBP BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-200517.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $5834.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL A54678 FG 06/36 FIXED 6               | CUSIP: 3128KHFT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10993 | PA      | $11469.46      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | EURO-BOBL FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          8 | NC      | $308.16        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $19972.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS AUD 4.00000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-68856.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       7000 | PA      | $6999.22       | 0.00%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 735502 FN 04/35 FIXED VAR                     | CUSIP: 31402RDF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74949 | PA      | $78798.30      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AB1776 FN 11/25 FIXED 3.5                     | CUSIP: 31416W6N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        184 | PA      | $183.63        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                                                 | SCE RECOVERY FUNDING LLC SR SECURED 06/42 4.697         | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1982659 | PA      | $1957967.07    | 0.12%             | 2042-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD KRW BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $33906.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $352.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-37776.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD SEK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-270080.07    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                               | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                   | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  655900000 | PA      | $3864835.92    | 0.23%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 08/50 1.375                             | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4000000 | PA      | $2012421.88    | 0.12%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 725706 FN 08/32 FIXED VAR                     | CUSIP: 31402DGP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        741 | PA      | $740.86        | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/2.00000 12/21/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3373499.11    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H08                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H08 FT          | CUSIP: 38376RTW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39436 | PA      | $39553.14      | 0.00%             | 2066-02-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $4511.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 05/48 3.125                             | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3400000 | PA      | $2622648.45    | 0.16%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC                                               | MARRIOTT INTERNATIONAL SR UNSECURED 10/31 4.5           | CUSIP: 571903BW2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3187180.00    | 0.19%             | 2031-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB5401 FN 12/52 FIXED 4.5                     | CUSIP: 3140QRAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10611146 | PA      | $10345938.06   | 0.62%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-182                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 182 FW          | CUSIP: 38380UAY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     262831 | PA      | $253512.22     | 0.02%             | 2047-05-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CA3437 FN 04/34 FIXED 3                       | CUSIP: 3140QAZB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1398630 | PA      | $1354456.43    | 0.08%             | 2034-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 05/51 2.375                             | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4100000 | PA      | $2638734.38    | 0.16%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                                 | SNAM SPA SR UNSECURED 144A 05/30 5                      | CUSIP: 83304JAA5<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |    3500000 | PA      | $3551502.36    | 0.21%             | 2030-05-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD PEN BOUGHT USD 20251117                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-203666.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB7218 FN 10/53 FIXED 5                       | CUSIP: 3140QTAU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12809646 | PA      | $12756763.90   | 0.77%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1946.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 31750R5B9 PIMCO FXVAN PUT EUR USD 1.10000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     392000 | NC      | $8051.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-872.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2410.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1110000 | PA      | $1100999.60    | 0.07%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB6418 FN 05/53 FIXED 5                       | CUSIP: 3140QSDY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10792891 | PA      | $10760017.89   | 0.65%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL 784346 G2 07/47 FIXED 3.5                  | CUSIP: 3622A2ZK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     946170 | PA      | $874998.42     | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 256436 FN 10/36 FIXED 6                       | CUSIP: 31371MY92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27499 | PA      | $28992.47      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 935533 FN 08/39 FIXED 4.5                     | CUSIP: 31412UY61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5686 | PA      | $5734.73       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RJ0050 FR 10/53 FIXED 5.5             | CUSIP: 3142GQBU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13679667 | PA      | $13831415.80   | 0.84%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 555285 FN 03/33 FIXED VAR                     | CUSIP: 31385W2S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9633 | PA      | $9982.96       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1040.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 11/42 4                                 | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8800000 | PA      | $8138968.73    | 0.49%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2005-FRE1                                     | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 FRE1 M1       | CUSIP: 46626LCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     425933 | PA      | $420692.37     | 0.03%             | 2035-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 31750R8E0 PIMCO FXVAN PUT EUR USD 1.14500000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    8049000 | NC      | $623.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | STRIPS 02/42 0.00000                                    | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2300000 | PA      | $1050018.95    | 0.06%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                      | UNITED KINGDOM GILT BONDS REGS 03/27 3.75               | CUSIP: BPSNB4II5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   15600000 | PA      | $20911196.29   | 1.26%             | 2027-03-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $81971.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMURFIT KAPPA TREASURY UNLIMITED COMPANY                                 | SMURFIT KAPPA TREASURY COMPANY GUAR 01/30 5.2           | CUSIP: 83272GAD3<br>LEI: 635400B3DOXSWFOWJT40 | Long             | DBT              | CORP              | IE        |    4100000 | PA      | $4224698.26    | 0.26%             | 2030-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL C91302 FG 05/30 FIXED 4.5             | CUSIP: 3128P7NT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36913 | PA      | $37087.17      | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $99.23         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G04626 FG 05/31 FIXED 6               | CUSIP: 3128M6PK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        195 | PA      | $200.05        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5             | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104464 | PA      | $108753.59     | 0.01%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL SD8403 FR 02/54 FIXED 6.5             | CUSIP: 3132DWKQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     249249 | PA      | $257868.57     | 0.02%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G04628 FG 05/33 FIXED 6               | CUSIP: 3128M6PM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        556 | PA      | $577.61        | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                       | SOUTHERN CAL EDISON 1ST REF MORT 03/48 4.125            | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     250000 | PA      | $191290.07     | 0.01%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 885418 FN 06/36 FIXED 6                       | CUSIP: 31410CVK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        355 | PA      | $374.63        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA2970 FR 07/50 FIXED 2.5             | CUSIP: 3133KJJP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7126341 | PA      | $6071375.04    | 0.37%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                               | ONTARIO (PROVINCE OF) SR UNSECURED 03/33 4.1            | CUSIP: 68333ZBD8<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |   22700000 | PA      | $17146683.39   | 1.04%             | 2033-03-04      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                     | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX A 144A    | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5766948.60    | 0.35%             | 2038-09-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT KRW SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $17704.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1000.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-112.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 02/52 2.25                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8000000 | PA      | $4964062.48    | 0.30%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $775.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CA0241 FN 08/47 FIXED 4                       | CUSIP: 3140Q7HT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1570565 | PA      | $1506476.82    | 0.09%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 763703 FN 04/34 FIXED 5.5                     | CUSIP: 31404BNU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1208 | PA      | $1239.65       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AI5364 FN 04/31 FIXED 4.5                     | CUSIP: 3138AJ6A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4306 | PA      | $4313.87       | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REGATTA XVI FUNDING LTD 2019-2A                                          | REGATTA XVI FUNDING LTD. REG16 2019 2A A1R 144A         | CUSIP: 75888TAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5385825 | PA      | $5399029.41    | 0.33%             | 2033-01-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H12                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H12 FB          | CUSIP: 38376RBH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202481 | PA      | $202551.52     | 0.01%             | 2065-05-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $795.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | REPU STATE STREET GLOBAL MARKE USD REPU SSB T           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -41833750 | PA      | $-41838828.15  | -2.53%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.97500 03/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12809.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TIKEHAU CLO IX DAC 9A                                                    | TIKEHAU CLO IX DAC TIKEH 9A AR 144A                     | CUSIP: ACI2S1SP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1500000 | PA      | $1765684.38    | 0.11%             | 2037-01-20      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BF3083 G2 07/48 FIXED 4                    | CUSIP: 3617G9M81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2733556 | PA      | $2586328.60    | 0.16%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 832446 FN 08/35 FLOATING VAR                  | CUSIP: 31407JZK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45488 | PA      | $46246.44      | 0.00%             | 2035-08-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AB1775 FN 11/25 FIXED 3.5                     | CUSIP: 31416W6M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $204.38        | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3990000 | PA      | $3954841.72    | 0.24%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT THB SOLD USD 20251027                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-15654.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-268748.42    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    6960000 | PA      | $2220292.22    | 0.13%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY HOUSING DEVELOPMENT CORP                                   | NEW YORK CITY NY HSG DEV CORP NYCMFH 05/27 FIXED 1.377  | CUSIP: 64972EUC1<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |     200000 | PA      | $192356.78     | 0.01%             | 2027-05-01      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 05/45 3                                 | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2500000 | PA      | $1946289.05    | 0.12%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB4615 FN 07/52 FIXED 4.5                     | CUSIP: 3140QQDV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     572661 | PA      | $558761.37     | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 814915 FN 03/35 FIXED 5.5                     | CUSIP: 31406NK45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2867 | PA      | $2983.23       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 813110 FN 02/35 FIXED 5.5                     | CUSIP: 31406LKX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173440 | PA      | $179997.68     | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-28.48        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL C91093 FG 09/27 FIXED 6               | CUSIP: 3128P7GA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         60 | PA      | $61.26         | 0.00%             | 2027-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $542.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 31750R8W0 PIMCO FXVAN PUT EUR USD 1.13150000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    8304000 | NC      | $214.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD PEN BOUGHT USD 20251103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-59293.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COTY INC                                                                 | COTY INC SR UNSECURED 144A 05/27 4.5                    | CUSIP: ACI2P8220<br>LEI: 549300BO9IWPF3S48F93 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $3235216.92    | 0.20%             | 2027-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-7140.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 357628 FN 10/34 FIXED 5.5                     | CUSIP: 31376KHD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14503 | PA      | $15061.87      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2987.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 02/44 3.625                             | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2200000 | PA      | $1910304.68    | 0.12%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                            | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/31 2.25       | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $446717.12     | 0.03%             | 2031-07-12      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-4669.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                        | CPPIB CAPITAL INC COMPANY GUAR REGS 06/34 4.3           | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | CORP              | CA        |    2300000 | PA      | $1744694.21    | 0.11%             | 2034-06-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL 1B0797 FH 04/33 FLOATING VAR          | CUSIP: 31336SNN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        234 | PA      | $238.52        | 0.00%             | 2033-04-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR EUR ESTRON/2.05000 11/18/24-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $6652.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                            | CLEARWAY ENERGY OP LLC COMPANY GUAR 144A 03/28 4.75     | CUSIP: 18539UAC9<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1977430.00    | 0.12%             | 2028-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | OIS CAD CAONREPO/3.0000 01/13/25-8Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-24672.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                     | VASA TRUST VASA 2021 VASA A 144A                        | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10730000 | PA      | $10512031.85   | 0.63%             | 2039-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                  | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/28 4.55   | CUSIP: 928668CW0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4114112.98    | 0.25%             | 2028-09-11      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                    | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C            | CUSIP: 61753EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2409120 | PA      | $1111496.56    | 0.07%             | 2037-01-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $20178.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TSY INFL IX N/B 02/47 0.875                             | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3746960 | PA      | $2769842.31    | 0.17%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-8119.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 888967 FN 12/37 FIXED VAR                     | CUSIP: 31410GTY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26335 | PA      | $27766.02      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2021-3CS                       | GOODLEAP SUSTAINABLE HOME IMPR GOOD 2021 3CS A 144A     | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7275305 | PA      | $5821091.26    | 0.35%             | 2048-05-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK (EIB)                                           | EUROPEAN INVESTMENT BANK SR UNSECURED 10/29 1.625       | CUSIP: 298785JA5<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | N/A       |    5650000 | PA      | $5219383.22    | 0.32%             | 2029-10-09      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FE          | CUSIP: 38376R5H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     986075 | PA      | $997724.56     | 0.06%             | 2067-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA POOL 610978 GN 05/34 FIXED 5                       | CUSIP: 36202VXF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        459 | PA      | $458.57        | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                          | AES CORP/THE SR UNSECURED 01/31 2.45                    | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1433535.04    | 0.09%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                           | ELECTRICITE DE FRANCE SA SR UNSECURED 144A 10/25 3.625  | CUSIP: 268317AS3<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    3600000 | PA      | $3598587.18    | 0.22%             | 2025-10-13      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BP1523 G2 08/49 FIXED 3.5                  | CUSIP: 3617L7VQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2459612 | PA      | $2266292.25    | 0.14%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-2206.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                      | UNITED KINGDOM GILT BONDS REGS 10/61 0.5                | CUSIP: BMBL1DII5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     700000 | PA      | $230273.69     | 0.01%             | 2061-10-22      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 801773 FN 12/36 FIXED 6                       | CUSIP: 31405WXA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        183 | PA      | $188.84        | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BM9250 G2 05/49 FIXED 3.5                  | CUSIP: 3617K1H30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     598386 | PA      | $552092.45     | 0.03%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN 2021-2GS LTD                                          | LOANPAL SOLAR LOAN LTD. LPSLT 2021 2GS A 144A           | CUSIP: 53948QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9258829 | PA      | $7557242.43    | 0.46%             | 2048-03-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 11/43 3.75                              | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7600000 | PA      | $6731640.64    | 0.41%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H21                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H21 AF          | CUSIP: 38376RYX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1074303 | PA      | $1077322.20    | 0.07%             | 2066-09-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $418.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 745418 FN 04/36 FIXED VAR                     | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48960 | PA      | $50968.13      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $96962.42      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 31750R8V2 PIMCO FXVAN PUT AUD USD 0.61750000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    4374000 | NC      | $5.79          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | CDX ITRAXX XOV42 5Y 35-100% SP BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $520602.83     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC)              | HAT HOLDINGS I LLC/HAT COMPANY GUAR 144A 09/30 3.75     | CUSIP: 418751AD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     675000 | PA      | $622924.94     | 0.04%             | 2030-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-21                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 21 2A4          | CUSIP: 12667LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1533830 | PA      | $1421786.81    | 0.09%             | 2037-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| SLG OFFICE TRUST 2021-OVA                                                | SLG OFFICE TRUST SLG 2021 OVA X 144A                    | CUSIP: 78449RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  156136500 | PA      | $1850233.14    | 0.11%             | 2041-07-15      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA POOL 783677 GN 09/40 FIXED 5                       | CUSIP: 3622A2CN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42472 | PA      | $43574.56      | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95           | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     641000 | PA      | $204483.81     | 0.01%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RJ0048 FR 10/53 FIXED 4.5             | CUSIP: 3142GQBS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5045987 | PA      | $4900049.40    | 0.30%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2255.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UA9UA7 PIMCO SWAPTION 2.61 CALL EUR 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2400000 | NC      | $-207.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-912122.57    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 897160 FN 09/36 FIXED 6                       | CUSIP: 31410TWV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24993 | PA      | $26044.69      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AD8695 FN 06/40 FIXED 5                       | CUSIP: 31418WUV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81548 | PA      | $83559.15      | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                                     | NORINCHUKIN BANK SR UNSECURED 144A 09/31 2.08           | CUSIP: 656029AH8<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    2900000 | PA      | $2515501.70    | 0.15%             | 2031-09-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UABZA7 PIMCO SWAPTION 2.79 PUT EUR 20251006          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-254.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                       | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3         | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     251515 | PA      | $66076.49      | 0.00%             | 2037-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 10YR FUT OPTN  NOV25C 114 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -79 | NC      | $-10873.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN POWER COMPANY                                                   | SOUTHERN POWER CO SR UNSECURED 01/26 0.9                | CUSIP: 843646AW0<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9905159.30    | 0.60%             | 2026-01-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 3.00000 03/18/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-251675.21    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-2158.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                         | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/53 6.7           | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $9207134.46    | 0.56%             | 2053-04-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G04625 FG 06/36 FIXED 6               | CUSIP: 3128M6PJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18161 | PA      | $19025.06      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-31451.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                                   | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A2 144A     | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3044426 | PA      | $3068790.23    | 0.19%             | 2050-06-21      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                      | ELEVATION CLO LTD AWPT 2018 3A A1R2 144A                | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4900000 | PA      | $4917281.47    | 0.30%             | 2035-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| DENSO CORPORATION                                                        | DENSO CORP SR UNSECURED 144A 09/29 4.42                 | CUSIP: 24872BAB6<br>LEI: 549300RYPA10CQM3QK38 | Long             | DBT              | CORP              | JP        |    6300000 | PA      | $6337940.05    | 0.38%             | 2029-09-11      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-545.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                     | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A1 144A        | CUSIP: 30227FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7252174 | PA      | $7257813.00    | 0.44%             | 2038-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.50000 12/18/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1423673.83    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 781629 FN 12/34 FIXED 5.5                     | CUSIP: 31404XLJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9688 | PA      | $10077.58      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                            | ENEL FINANCE INTL NV SR UNSECURED 144A 06/32 5          | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    1600000 | PA      | $1627984.61    | 0.10%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 11/50 1.625                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26500000 | PA      | $14226152.41   | 0.86%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                   | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A       | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11000000 | PA      | $10929799.10   | 0.66%             | 2038-05-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 889380 FN 04/38 FLOATING VAR                  | CUSIP: 31410KCR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13701 | PA      | $13998.57      | 0.00%             | 2038-04-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 2.40000 04/09/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3599.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                              | UNITED MEXICAN STATES UNITED MEXICAN STATES             | CUSIP: ACI2MJSF2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    3500000 | PA      | $4235493.43    | 0.26%             | 2032-05-25      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RJ0639 FR 01/54 FIXED 5.5             | CUSIP: 3142GQV90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8833458 | PA      | $8924853.66    | 0.54%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.93000 03/24/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-54427.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1055.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL 080578 G2 02/32 FLOATING VAR               | CUSIP: 36225CUC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51597 | PA      | $52371.24      | 0.00%             | 2032-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AE5486 FN 10/25 FIXED 3.5                     | CUSIP: 31419GCY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $20.38         | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 8 LTD                                  | GOLDENTREE LOAN MANAGEMENT US GLM 2020 8A ARR 144A      | CUSIP: 38136NAY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3420000 | PA      | $3426565.55    | 0.21%             | 2034-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                       | SOUTHERN CAL EDISON 1ST MORTGAGE 03/30 5.25             | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3060088.44    | 0.18%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $4190.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB6609 FN 06/53 FIXED 4.5                     | CUSIP: 3140QSKX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10873870 | PA      | $10589715.11   | 0.64%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                      | UNITED KINGDOM GILT BONDS REGS 07/54 4.375              | CUSIP: ACI2MLPN3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    6134000 | PA      | $6906823.78    | 0.42%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                       | ORACLE CORP SR UNSECURED 09/30 4.45                     | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4198905.98    | 0.25%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $12475.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $83.84         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $45428.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2006-5                                  | THORNBURG MORTGAGE SECURITIES TMST 2006 5 A1            | CUSIP: 88522RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     249433 | PA      | $237208.06     | 0.01%             | 2046-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | REVERSE REPO NOMURA                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1120625 | PA      | $-1122356.99   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAEOA3 PIMCO SWAPTION 3.625 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-14027.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $2150.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AL3799 FN 05/28 FIXED VAR                     | CUSIP: 3138ELGH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     442562 | PA      | $438002.10     | 0.03%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $1797.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G03931 FG 02/38 FIXED 6               | CUSIP: 3128M5VY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38844 | PA      | $41104.20      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-32400.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 4A1        | CUSIP: 933634AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     381092 | PA      | $352391.30     | 0.02%             | 2037-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15000000 | PA      | $14103241.65   | 0.85%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                             | ROMANIA ROMANIA                                         | CUSIP: ACI2MY5W7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    4000000 | PA      | $4573725.69    | 0.28%             | 2036-02-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 2.35000 04/29/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-490.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                      | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/29 2.472       | CUSIP: 86562MCN8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    5000000 | PA      | $4742984.80    | 0.29%             | 2029-01-14      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UADXA5 PIMCO SWAPTION 3.385 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-675.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                   | PROJECT FENNO EUR REVOLVER                              | CUSIP: BA000MLP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |     286274 | PA      | $336100.37     | 0.02%             | 2028-07-10      | Floating      | 0.50%                 | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA POOL 647668 GN 04/37 FIXED 6                       | CUSIP: 36292FQV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27245 | PA      | $28693.32      | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 31750R5N3 PIMCO FXVAN PUT EUR USD 1.11000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1553000 | NC      | $530.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AD0847 FN 06/39 FIXED VAR                     | CUSIP: 31418M5H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     278042 | PA      | $289458.00     | 0.02%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $378.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEDERLANDSE WATERSCHAPSBANK NV (NWB BANK)                                | NEDER WATERSCHAPSBANK SR UNSECURED 144A 06/28 4         | CUSIP: 63983TEH4<br>LEI: JLP5FSPH9WPSHY3NIM24 | Long             | DBT              | NUSS              | NL        |    3400000 | PA      | $3421914.16    | 0.21%             | 2028-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G06849 FG 09/35 FIXED 4               | CUSIP: 3128M85J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60111 | PA      | $59234.77      | 0.00%             | 2035-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 749219 FN 10/33 FIXED 5.5                     | CUSIP: 31403HK82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2550 | PA      | $2572.27       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TSY INFL IX N/B 02/46 1                                 | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     136332 | PA      | $105233.42     | 0.01%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP                     | KREST COMMERCIAL MORTGAGE SECU KREST 2021 CHIP A 144A   | CUSIP: 50085PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5800000 | PA      | $4570081.00    | 0.28%             | 2044-11-05      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                   | NXP BV/NXP FDG/NXP USA COMPANY GUAR 01/33 5             | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    5000000 | PA      | $5067185.35    | 0.31%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                  | BCAP LLC TRUST BCAP 2011 RR5 12A1 144A                  | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36865 | PA      | $36751.56      | 0.00%             | 2037-03-26      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G03926 FG 02/38 FIXED 6               | CUSIP: 3128M5VT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1001 | PA      | $1056.25       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 08/51 2                                 | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15425000 | PA      | $9040797.34    | 0.55%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UACKA1 PIMCO SWAPTION 3.398 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2100000 | NC      | $-76.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LIBERTY UTILITIES FINANCE GP1                                            | LIBERTY UTILITIES FIN COMPANY GUAR 144A 09/30 2.05      | CUSIP: 531546AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13600000 | PA      | $12143325.90   | 0.73%             | 2030-09-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | REVERSE REPO THE BANK OF NOVA REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -30066750 | PA      | $-30088698.73  | -1.82%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2449                                                         | FREDDIE MAC FHR 2449 ZA                                 | CUSIP: 31392KS23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     317116 | PA      | $325090.57     | 0.02%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-14122.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $2715.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $22148.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $5888.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3376                                                  | FREDDIE MAC FHR 3376 FD                                 | CUSIP: 31397KZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3818 | PA      | $3824.78       | 0.00%             | 2037-10-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| NEDERLANDSE WATERSCHAPSBANK NV (NWB BANK)                                | NEDER WATERSCHAPSBANK SR UNSECURED 144A 03/26 2.375     | CUSIP: 63983TBB0<br>LEI: JLP5FSPH9WPSHY3NIM24 | Long             | DBT              | NUSS              | NL        |   11000000 | PA      | $10916932.62   | 0.66%             | 2026-03-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS AUD 4.50000 09/20/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $210843.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 2.75000 03/18/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $82877.09      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LOW INCOME INVESTMENT FUND                                               | LOW INCOME INVESTMENT UNSECURED 07/29 3.711             | CUSIP: 54750AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4139946.05    | 0.25%             | 2029-07-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| SUNNOVA HELIOS VIII ISSUER 2022-A                                        | SUNNOVA HELIOS VIII ISSUER, LL SNVA 2022 A A 144A       | CUSIP: 86745AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11097340 | PA      | $9416218.20    | 0.57%             | 2049-02-22      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | EURO-BUND OPTION  NOV25C 129.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -16 | NC      | $-4508.35      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-3203.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1052.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PEN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $2334.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-1A                                                 | FIRST HELP FINANCIAL LLC FHF 2024 1A A2 144A            | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2062727 | PA      | $2081244.34    | 0.13%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                                   | PROJECT FENNO EUR DELAYED DRAW TERM LOAN B              | CUSIP: BA000MLR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |     261082 | PA      | $306523.54     | 0.02%             | 2028-07-10      | Floating      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL ZK2702 FR 11/25 FIXED 3.5             | CUSIP: 3131X6AB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         65 | PA      | $64.28         | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT ZAR SOLD USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2787.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 08/41 1.75                              | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24400000 | PA      | $16562929.60   | 1.00%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1379.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 11/41 2                                 | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4000000 | PA      | $2810546.88    | 0.17%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $16245.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 08/45 4.875                             | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7500000 | PA      | $7668164.10    | 0.46%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM2 TRUST                                                     | PRP ADVISORS, LLC PRPM 2023 NQM2 A1 144A                | CUSIP: 74390KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2006058 | PA      | $2021156.89    | 0.12%             | 2068-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                  | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC A 144A     | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8857789 | PA      | $8426858.35    | 0.51%             | 2038-08-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-315.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-735.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S2                                         | JP MORGAN MORTGAGE TRUST JPMMT 2006 S2 3A10             | CUSIP: 46628YBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1983358 | PA      | $607031.46     | 0.04%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $177.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-5503.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 02/43 3.125                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12100000 | PA      | $9879933.62    | 0.60%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251027                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-4.70         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1125.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2022-1A                                          | MOSAIC SOLAR LOANS LLC MSAIC 2022 1A A 144A             | CUSIP: 61946QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8185234 | PA      | $7062003.91    | 0.43%             | 2053-01-20      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2020-1 LTD                                                    | CANYON CAPITAL CLO LTD CANYC 2020 1A AR2 144A           | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1900000 | PA      | $1901723.09    | 0.11%             | 2034-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AA7171 FN 05/39 FIXED 4.5                     | CUSIP: 31416Q6H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13700 | PA      | $13753.00      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC)              | HAT HOLDINGS I LLC/HAT COMPANY GUAR 144A 06/27 8        | CUSIP: 418751AL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2187000 | PA      | $2277838.25    | 0.14%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                       | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A       | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2300000 | PA      | $2302875.00    | 0.14%             | 2035-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL 679639 G2 06/48 FIXED 4                    | CUSIP: 36295TBG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     457201 | PA      | $436005.93     | 0.03%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 545993 FN 11/32 FIXED VAR                     | CUSIP: 31385JRN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        455 | PA      | $471.22        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHF TRUST 2022-1A                                                        | FIRST HELP FINANCIAL LLC FHF 2022 1A A 144A             | CUSIP: 30327CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     858871 | PA      | $858762.81     | 0.05%             | 2028-01-18      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAGAA3 PIMCO SWAPTION 2.75 PUT EUR 20251017          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1600000 | NC      | $-3583.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 932024 FN 01/36 FIXED 5.5                     | CUSIP: 31412QPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6271 | PA      | $6528.67       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KOREA HOUSING FINANCE CORP (KHFC)                                        | KOREA HOUSING FINANCE CO SR UNSECURED 144A 02/28 4.625  | CUSIP: 50065RAK3<br>LEI: 9884002AAOBT56QW9B80 | Long             | DBT              | CORP              | KR        |    5000000 | PA      | $5068482.20    | 0.31%             | 2028-02-24      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $43.05         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AH0101 FN 11/30 FIXED 4                       | CUSIP: 3138A1DF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2031 | PA      | $2021.49       | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KSJ1              | FHLMC MULTIFAMILY STRUCTURED P FHMS KSG1 X1             | CUSIP: 3137FXLY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   59830331 | PA      | $2655204.29    | 0.16%             | 2030-09-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                               | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A               | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4707891.77    | 0.28%             | 2034-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TSY INFL IX N/B 02/52 0.125                             | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1508546 | PA      | $818542.54     | 0.05%             | 2052-02-15      | Fixed         | 0.12%                 | 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        |    9871800 | PA      | $9873025.75    | 0.60%             | 2038-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $210.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT TRY SOLD USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $115427.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD PEN BOUGHT USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-45030.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 656245 FN 09/32 FIXED 6                       | CUSIP: 31390UBN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        485 | PA      | $495.74        | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RJ0138 FR 12/53 FIXED 5.5             | CUSIP: 3142GQEL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12393616 | PA      | $12522486.58   | 0.76%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL C00836 FG 07/29 FIXED 7               | CUSIP: 31292G4V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        117 | PA      | $122.16        | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                                       | RWE FINANCE US LLC COMPANY GUAR 144A 09/35 5.125        | CUSIP: 749983AC6<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4145421.17    | 0.25%             | 2035-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BG6260 G2 06/48 FIXED 4                    | CUSIP: 3617GQ5V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     957470 | PA      | $907681.41     | 0.05%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H0506B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6040000 | PA      | $6000893.60    | 0.36%             | 2054-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-5828.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 817777 FN 07/36 FIXED 6                       | CUSIP: 31406RQ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         74 | PA      | $76.00         | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-212.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $263172.55     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-1A                                  | HERTZ VEHICLE FINANCING LLC HERTZ 2023 1A A 144A        | CUSIP: 42806MBS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5030799.00    | 0.30%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | STRIPS 02/41 0.00000                                    | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     400000 | PA      | $193343.70     | 0.01%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 128776 FN 02/31 FLOATING VAR                  | CUSIP: 31365H6M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $84.41         | 0.00%             | 2031-02-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| SOLAR STAR FUNDING LLC                                                   | SOLAR STAR FUNDING LLC SR SECURED 144A 06/35 5.375      | CUSIP: 83416WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4593862 | PA      | $4733382.29    | 0.29%             | 2035-06-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-2992.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 797443 FN 01/35 FIXED 5.5                     | CUSIP: 31405R5C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25439 | PA      | $26372.48      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $227.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1331.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G08039 FG 02/35 FIXED 4.5             | CUSIP: 3128MJBH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5307 | PA      | $5356.02       | 0.00%             | 2035-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $685.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RJ1109 FR 03/54 FIXED 5.5             | CUSIP: 3142GRGT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5106660 | PA      | $5155057.87    | 0.31%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $268985.65     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-2592.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA9049 FR 05/53 FIXED 4               | CUSIP: 3133KRBS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4553770 | PA      | $4298554.31    | 0.26%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                 | HOST HOTELS + RESORTS LP SR UNSECURED 12/31 2.9         | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    6800000 | PA      | $6054916.25    | 0.37%             | 2031-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| SUNNOVA SOL V ISSUER LLC 2023-1A                                         | SUNNOVA SOL V ISSUER, LLC SNVA 2023 1A A 144A           | CUSIP: 86745XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1886431 | PA      | $1830749.27    | 0.11%             | 2058-04-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $4768.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $216.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | OIS CAD CAONREPO/2.7404 03/10/25-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $3447.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                             | LEHMAN MORTGAGE TRUST LMT 2007 8 1A1                    | CUSIP: 52521YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     335347 | PA      | $329755.43     | 0.02%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1171.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 962064 FN 03/38 FIXED 5.5                     | CUSIP: 31414CJH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9379 | PA      | $9733.41       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB4806 FN 07/52 FIXED 3                       | CUSIP: 3140QQKU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4811026 | PA      | $4239281.76    | 0.26%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                               | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/28 1 | CUSIP: ACI0SY7X1<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    5763195 | PA      | $6856477.46    | 0.41%             | 2028-05-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR JPY MUTK/1.25000 06/18/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $19217.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL FS8865 FN 02/35 FIXED VAR                     | CUSIP: 3140XQZ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2265700 | PA      | $2193882.08    | 0.13%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RJ0046 FR 10/53 FIXED 4               | CUSIP: 3142GQBQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6070772 | PA      | $5727386.28    | 0.35%             | 2053-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                     | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9697674 | PA      | $9705214.07    | 0.59%             | 2038-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UADWA6 PIMCO SWAPTION 3.685 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-10681.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BM1355 G2 07/49 FIXED 3.5                  | CUSIP: 3617JRQG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     814987 | PA      | $753982.51     | 0.05%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 795297 FN 07/44 FLOATING VAR                  | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14312 | PA      | $14411.51      | 0.00%             | 2044-07-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | OIS CAD CAONREPO/3.7500 12/20/23-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-59894.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $138562.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL MB0293 FN 12/54 FIXED 6                       | CUSIP: 3138MTKF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26038411 | PA      | $26654855.89   | 1.61%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                   | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF2          | CUSIP: 75970HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3358543 | PA      | $1005804.07    | 0.06%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G61409 FG 05/48 FIXED 3.5             | CUSIP: 31335BR65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7595290 | PA      | $7070453.51    | 0.43%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-38                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 38 WF           | CUSIP: 38380V2S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     808299 | PA      | $783331.59     | 0.05%             | 2043-10-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR GBP SONIO/0.90000 03/15/22-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $1431138.60    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-50.89        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AC2754 FN 08/39 FIXED 5.5                     | CUSIP: 31417MBY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107609 | PA      | $111062.04     | 0.01%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2477.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAG9A5 PIMCO SWAPTION 2.55 CALL EUR 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1600000 | NC      | $-987.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2466.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                             | UBS GROUP AG SR UNSECURED 144A 08/30 VAR                | CUSIP: 902613AA6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    3900000 | PA      | $3725764.11    | 0.23%             | 2030-08-13      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| EDP FINANCE BV                                                           | EDP FINANCE BV SR UNSECURED 144A 01/28 1.71             | CUSIP: 26835PAH3<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |    9000000 | PA      | $8493236.91    | 0.51%             | 2028-01-24      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 995069 FN 10/38 FIXED VAR                     | CUSIP: 31416BMS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3154 | PA      | $3325.74       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHF TRUST 2023-1A                                                        | FIRST HELP FINANCIAL LLC FHF 2023 1A A2 144A            | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     713387 | PA      | $718812.71     | 0.04%             | 2028-06-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                               | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                   | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  417400000 | PA      | $2749502.72    | 0.17%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                              | CITIBANK NA SR UNSECURED 11/27 VAR                      | CUSIP: 17325FBL1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7257581.14    | 0.44%             | 2027-11-19      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| COMMUNITY PRESERVATION CORP                                              | COMMUNITY PRESERVATION C SR UNSECURED 02/30 2.867       | CUSIP: 20402CAA3<br>LEI: 254900CWS66ZXCS6P481 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $13956841.50   | 0.84%             | 2030-02-01      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | REPU STATE STREET GLOBAL MARKE USD REPU SSB T           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5534514 | PA      | $-5535186.31   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-5093.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-23.03        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 902745 FN 11/36 FIXED 6                       | CUSIP: 31411A5E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2066 | PA      | $2153.18       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $711.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AP MOLLER - MAERSK A/S                                                   | AP MOLLER MAERSK A/S SR UNSECURED 144A 09/33 5.875      | CUSIP: 00203QAF4<br>LEI: 549300D2K6PKKKXVNN73 | Long             | DBT              | CORP              | DK        |    2914000 | PA      | $3094324.99    | 0.19%             | 2033-09-14      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CORPORACION INMOBILIARIA VESTA SAB DE CV                                 | CORPORACION INMOBILIARIA COMPANY GUAR 144A 05/31 3.625  | CUSIP: 21989DAA0<br>LEI: 4469000001BIRIFZJ959 | Long             | DBT              | CORP              | MX        |   10000000 | PA      | $9300096.00    | 0.56%             | 2031-05-13      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $148.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED P/T SECURITIES E3                                       | FHLMC STRUCTURED PASS THROUGH FSPC E3 A                 | CUSIP: 3133TCE95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2425 | PA      | $2381.04       | 0.00%             | 2032-08-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                     | GSAMP TRUST GSAMP 2007 FM1 A2A                          | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     228281 | PA      | $113019.36     | 0.01%             | 2036-12-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $17.39         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 31750R9N9 PIMCO FXVAN PUT EUR USD 1.12900000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    8057000 | NC      | $283.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA POOL 784544 GN 09/47 FIXED 3.5                     | CUSIP: 3622A3BM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2662180 | PA      | $2494701.55    | 0.15%             | 2047-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 784039 FN 07/34 FLOATING VAR                  | CUSIP: 31405BBG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        469 | PA      | $475.66        | 0.00%             | 2034-07-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | STRIPS 11/41 0.00000                                    | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1700000 | PA      | $787307.45     | 0.05%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-99.45        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BO7890 G2 07/49 FIXED 3.5                  | CUSIP: 3617KPXT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1476203 | PA      | $1358345.10    | 0.08%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-18503.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $947.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 762626 FN 01/34 FIXED 5.5                     | CUSIP: 31404AHB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30959 | PA      | $31665.82      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 05/43 3.875                             | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8200000 | PA      | $7429968.75    | 0.45%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL MB0620 G2 09/55 FIXED 4                    | CUSIP: 3618N5VN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     399960 | PA      | $376318.43     | 0.02%             | 2055-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G04598 FG 10/34 FIXED 5.5             | CUSIP: 3128M6NP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6192 | PA      | $6281.93       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 797491 FN 03/35 FIXED 5.5                     | CUSIP: 31405R7C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17335 | PA      | $18031.15      | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | REVERSE REPO BARCLAYS REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7725000 | PA      | $-7725911.98   | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                            | GREYWOLF CLO LTD GWOLF 2020 3RA A1R2 144A               | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4778572 | PA      | $4791281.90    | 0.29%             | 2033-04-22      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G08200 FG 05/37 FIXED 6               | CUSIP: 3128MJGJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65272 | PA      | $68899.38      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                           | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/35 2.75      | CUSIP: ACI0C4L00<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    6400000 | PA      | $3718702.08    | 0.22%             | 2035-06-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 11/54 4.5                               | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2200000 | PA      | $2118875.00    | 0.13%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-7007.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL SB0257 FR 11/33 FIXED 4               | CUSIP: 3132CWJA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1569 | PA      | $1565.17       | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR EUR ESTRON/2.05630 11/18/24-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $9538.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-7197.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $42038.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1557.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASSACHUSSETTS HIGHER EDUCATION ASSISTANCE CORPORATION                   | MASSACHUSETTS HIGHER EDU UNSECURED 07/31 2.673          | CUSIP: 575674AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4400000 | PA      | $3866119.93    | 0.23%             | 2031-07-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD EUR BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $103550.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL C91291 FG 03/30 FIXED 4.5             | CUSIP: 3128P7NG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4621 | PA      | $4655.91       | 0.00%             | 2030-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $25178.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-4412.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK CITY HOUSING DEVELOPMENT CORP                                   | NEW YORK CITY NY HSG DEV CORP NYCMFH 11/28 FIXED 1.677  | CUSIP: 64972EUF4<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |     875000 | PA      | $818004.08     | 0.05%             | 2028-11-01      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-6349.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AD0490 FN 08/37 FIXED VAR                     | CUSIP: 31418MRL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7351 | PA      | $7583.78       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-778.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $48862.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2999.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1133.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4196.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TSY INFL IX N/B 02/51 0.125                             | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23450175 | PA      | $13022693.79   | 0.79%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES         | 10 RENEW POWER SUBSIDIAR SR SECURED 144A 07/28 4.5      | CUSIP: 75973PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |    4500000 | PA      | $4347525.56    | 0.26%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA9128 FR 08/53 FIXED 5.5             | CUSIP: 3133KRD92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5504031 | PA      | $5570184.74    | 0.34%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SUMIT 2022-BVUE MORTGAGE TRUST                                           | SUMIT 2022 BVUE MORTGAGE TRUST SUMMT 2022 BVUE A 144A   | CUSIP: 865592AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10200000 | PA      | $9192699.00    | 0.56%             | 2041-02-12      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                    | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1        | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     477719 | PA      | $181878.01     | 0.01%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| LOCAL INITIATIVES SUPPORT CORPORATION                                    | LOCAL INITIATIVES SUPPOR UNSECURED 03/27 3.782          | CUSIP: 539565AC5<br>LEI: 549300V1ATNB9BHB6146 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4978919.30    | 0.30%             | 2027-03-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $791.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                  | DUKE ENERGY FLORIDA LLC 1ST MORTGAGE 12/29 2.5          | CUSIP: 26444HAH4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4606196.93    | 0.28%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1253.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNNOVA HESTIA I ISSUER LLC 2023-GRID1                                   | SUNNOVA HESTIA I ISSUER, LLC SNVA 2023 GRID1 1A 144A    | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | MUN               | US        |     307931 | PA      | $311161.87     | 0.02%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 2.41000 11/05/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-7843.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UACJA3 PIMCO SWAPTION 3.698 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2100000 | NC      | $-3751.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2470.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | OIS CAD CAONREPO/3.0000 01/08/25-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-17012.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS AUD 4.75000 12/20/28-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $24124.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNIVERSITY OF MICHIGAN                                                   | UNIV OF MICHIGAN MI UNVHGR 04/52 FIXED 3.504            | CUSIP: 914455UK4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3100000 | PA      | $2339934.25    | 0.14%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G03392 FG 10/37 FIXED 6               | CUSIP: 3128M5C57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43693 | PA      | $46111.48      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 05/43 2.875                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3900000 | PA      | $3056625.00    | 0.18%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 938574 FN 09/36 FIXED 5.5                     | CUSIP: 31412YFP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        873 | PA      | $906.68        | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-151.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                               | VERIZON COMMUNICATIONS SR UNSECURED 09/41 2.85          | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5800000 | PA      | $4227208.37    | 0.26%             | 2041-09-03      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                             | REPUBLIC OF CHILE REPUBLIC OF CHILE                     | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    6600000 | PA      | $6761040.00    | 0.41%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                               | SANTANDER HOLDINGS USA SR UNSECURED 03/31 VAR           | CUSIP: 80282KBQ8<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3305266.88    | 0.20%             | 2031-03-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK (EIB)                                           | EUROPEAN INVESTMENT BANK SR UNSECURED 02/28 3.3         | CUSIP: ACI0WH721<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | N/A       |    3400000 | PA      | $2226472.10    | 0.13%             | 2028-02-03      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | STRIPS 08/40 0.00000                                    | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $149069.07     | 0.01%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC INC                                                    | GOLUB CAPITAL BDC SR UNSECURED 12/28 7.05               | CUSIP: 38173MAD4<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $4124361.07    | 0.25%             | 2028-12-05      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-68.82        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AS7736 FN 08/46 FIXED 3                       | CUSIP: 3138WHS29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4409696 | PA      | $3987821.63    | 0.24%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 02/51 1.875                             | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16325000 | PA      | $9328525.86    | 0.56%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $266.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                               | JAPAN (30 YEAR ISSUE) BONDS 06/55 2.8                   | CUSIP: ACI2YH5D3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  440000000 | PA      | $2819766.71    | 0.17%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $17887.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-216.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD INR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2069.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL 748939 G2 09/40 FIXED 4                    | CUSIP: 3620C5BG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15881 | PA      | $15188.83      | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AD0643 FN 06/39 FIXED VAR                     | CUSIP: 31418MWD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     174732 | PA      | $181695.04     | 0.01%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 889692 FN 05/38 FIXED VAR                     | CUSIP: 31410KNH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3099 | PA      | $3219.97       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LOW INCOME INVESTMENT FUND                                               | LOW INCOME INVESTMENT UNSECURED 07/26 3.386             | CUSIP: 54750AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1674208.64    | 0.10%             | 2026-07-01      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 952393 FN 12/37 FIXED 6                       | CUSIP: 31413QRN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5522 | PA      | $5804.69       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-24406.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                     | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4035000 | PA      | $4065875.98    | 0.25%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 725975 FN 09/34 FLOATING VAR                  | CUSIP: 31402DQ45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10619 | PA      | $10859.13      | 0.00%             | 2034-09-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $23294.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAFFA0 PIMCO SWAPTION 3.375 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3100000 | NC      | $-751.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE7                                    | MORGAN STANLEY CAPITAL INC MSAC 2007 HE7 A2C            | CUSIP: 61756YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $351985.04     | 0.02%             | 2037-07-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB6608 FN 07/53 FIXED 4                       | CUSIP: 3140QSKW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5115740 | PA      | $4829570.99    | 0.29%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                         | TENN VALLEY AUTHORITY SR UNSECURED 09/31 1.5            | CUSIP: 880591EX6<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    7800000 | PA      | $6790508.32    | 0.41%             | 2031-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST 2025-1                                           | BMW VEHICLE LEASE TRUST BMWLT 2025 1 A3                 | CUSIP: 096912AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3200000 | PA      | $3226101.76    | 0.19%             | 2028-06-26      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H25                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H25 FB          | CUSIP: 38375UZ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     977013 | PA      | $989593.19     | 0.06%             | 2067-11-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TSY INFL IX N/B 02/53 1.5                               | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1738752 | PA      | $1393068.73    | 0.08%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $22.25         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 481473 FN 02/29 FIXED 6                       | CUSIP: 31382F2E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $48.97         | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 899892 FN 11/36 FIXED 6                       | CUSIP: 31410WXV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        743 | PA      | $780.32        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $409.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GEMGARTO PLC 2021-1A                                                     | GEMGARTO GMG 2021 1A A 144A                             | CUSIP: ACI1VNV95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     430379 | PA      | $579149.38     | 0.03%             | 2067-12-16      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB8271 FN 04/54 FIXED 5                       | CUSIP: 3140QUFM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14796348 | PA      | $14708902.17   | 0.89%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                     | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A3           | CUSIP: 617463AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7548265 | PA      | $2427651.17    | 0.15%             | 2036-11-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $100.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL 003202 G2 02/32 FIXED 7                    | CUSIP: 36202DRX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1611 | PA      | $1666.61       | 0.00%             | 2032-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-6212.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL QI1132 FR 03/54 FIXED 5               | CUSIP: 3133W7HH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     309928 | PA      | $307953.58     | 0.02%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.83600 05/02/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-81448.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        232 | NC      | $113883.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 453268 FN 11/28 FIXED 6                       | CUSIP: 31380XQV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        318 | PA      | $326.67        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RJ3036 FR 12/54 FIXED 5.5             | CUSIP: 3142GTLS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1291761 | PA      | $1304462.29    | 0.08%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.84200 03/04/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-35749.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $943.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WABTEC TRANSPORTATION NETHERLANDS BV                                     | WABTEC TRANSPORTATION COMPANY GUAR 12/27 1.25           | CUSIP: ACI1Y2G20<br>LEI: 213800W8WKL7DR8NFE48 | Long             | DBT              | CORP              | NL        |    1900000 | PA      | $2164676.50    | 0.13%             | 2027-12-03      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-13.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $12640.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                         | KILROY REALTY LP COMPANY GUAR 11/33 2.65                | CUSIP: 49427RAR3<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $6470578.35    | 0.39%             | 2033-11-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD KRW BOUGHT USD 20251027                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $2985.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 735886 FN 08/35 FLOATING VAR                  | CUSIP: 31402RRF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108357 | PA      | $109399.29     | 0.01%             | 2035-08-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 31750R5R4 PIMCO FXVAN CALL USD SEK 10.20000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    3323000 | NC      | $1614.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2031.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TSY INFL IX N/B 02/44 1.375                             | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2910705 | PA      | $2491465.85    | 0.15%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G06954 FG 05/40 FIXED 6               | CUSIP: 3128M9BX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9474 | PA      | $9998.72       | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                        | PIEDMONT OPERATING PARTN COMPANY GUAR 08/30 3.15        | CUSIP: 720198AE0<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2454758.46    | 0.15%             | 2030-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 08/43 4.375                             | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5600000 | PA      | $5406296.90    | 0.33%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $869.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL BX6672 FN 02/53 FIXED 5                       | CUSIP: 3140NBMW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     386672 | PA      | $385514.50     | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                    | CPI PROPERTY GROUP SA SR UNSECURED REGS 01/28 2.75      | CUSIP: ACI1J42H5<br>LEI: 222100CO2ZOTEPGJO223 | Long             | DBT              | CORP              | LU        |    3100000 | PA      | $3976304.98    | 0.24%             | 2028-01-22      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-14                                                       | FANNIE MAE FNR 2007 14 F                                | CUSIP: 31396PZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5477 | PA      | $5405.76       | 0.00%             | 2037-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL Q53208 FG 12/47 FIXED 3.5             | CUSIP: 3132XVR62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5001253 | PA      | $4683836.36    | 0.28%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 555880 FN 11/33 FIXED VAR                     | CUSIP: 31385XQ91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1935 | PA      | $1986.80       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251027                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1605.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD PEN BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-2174.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-15265.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL BM2003 FN 10/47 FIXED VAR                     | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16131 | PA      | $15517.54      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $21420.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TSY INFL IX N/B 02/49 1                                 | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1412103 | PA      | $1043028.73    | 0.06%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CROWN POINT CLO 7 LTD                                                    | CROWN POINT CLO 7, LTD CRNPT 2018 7A AR 144A            | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1642973 | PA      | $1644735.59    | 0.10%             | 2031-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY                         | CALIFORNIA ST HLTH FACS FING A CASMED 06/37 FIXED 4.19  | CUSIP: 13032UD88<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |    2000000 | PA      | $1890760.40    | 0.11%             | 2037-06-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA POOL 782468 GN 11/38 FIXED 5                       | CUSIP: 36241KW53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     113318 | PA      | $116274.28     | 0.01%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JSW HYDRO ENERGY LIMITED                                                 | JSW HYDRO ENERGY LTD SR SECURED REGS 05/31 4.125        | CUSIP: Y4S71YAA2<br>LEI: 3358006ZP5KO7VUH2790 | Long             | DBT              | CORP              | IN        |    4757000 | PA      | $4510064.13    | 0.27%             | 2031-05-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA POOL 614517 GN 06/33 FIXED 5                       | CUSIP: 36290QVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2084 | PA      | $2091.62       | 0.00%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-42                                                       | FANNIE MAE FNR 2007 42 AF                               | CUSIP: 31396VN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2125 | PA      | $2089.53       | 0.00%             | 2037-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                       | PROVINCE OF QUEBEC SR UNSECURED 09/34 4.45              | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     100000 | PA      | $76581.99      | 0.00%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                               | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                   | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  318000000 | PA      | $1648778.98    | 0.10%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA9795 FR 09/53 FIXED 4               | CUSIP: 3133KR3C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4347039 | PA      | $4102508.59    | 0.25%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-WF1                                       | HSI ASSET LOAN OBLIGATION HALO 2007 WF1 A1              | CUSIP: 40431KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189968 | PA      | $53676.50      | 0.00%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                                 | FANNIEMAE ACES FNA 2020 M33 X2                          | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44727000 | PA      | $2605674.23    | 0.16%             | 2031-01-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-367.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                       | BMW US CAPITAL LLC COMPANY GUAR 144A 03/30 5.05         | CUSIP: 05565ECY9<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3286432.61    | 0.20%             | 2030-03-21      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $18463.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G04614 FG 02/34 FIXED 6               | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3126 | PA      | $3242.41       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                       | FANNIE MAE FNR 2007 73 A1                               | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64597 | PA      | $63467.69      | 0.00%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BH6692 G2 06/48 FIXED 4                    | CUSIP: 3617H4NH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1449792 | PA      | $1373508.93    | 0.08%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 735227 FN 02/35 FIXED VAR                     | CUSIP: 31402QYY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85349 | PA      | $88636.49      | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA8520 FR 02/53 FIXED 4.5             | CUSIP: 3133KQPD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9406215 | PA      | $9167209.56    | 0.55%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 437434 FN 09/28 FIXED 6                       | CUSIP: 31380D4T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        242 | PA      | $247.42        | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY HOUSING DEVELOPMENT CORP                                   | NEW YORK CITY NY HSG DEV CORP NYCMFH 05/28 FIXED 1.577  | CUSIP: 64972EUE7<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |     500000 | PA      | $470664.40     | 0.03%             | 2028-05-01      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G02826 FG 05/37 FIXED 6               | CUSIP: 3128M4PK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66476 | PA      | $70158.25      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT CAD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $68.69         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | EURO-BUND OPTION  NOV25C 130.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -41 | NC      | $-4332.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA8571 FR 06/53 FIXED 4               | CUSIP: 3133KQQY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2539998 | PA      | $2398957.95    | 0.14%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-38                                                | FANNIE MAE FNR 2015 38 DF                               | CUSIP: 3136APAH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     411939 | PA      | $407947.04     | 0.02%             | 2055-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA8573 FR 06/53 FIXED 5               | CUSIP: 3133KQQ25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16066908 | PA      | $16000578.65   | 0.97%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $16814.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-34669.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $69527.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3145625 | PA      | $-3148291.79   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 1A1       | CUSIP: 45660LV97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     381208 | PA      | $343017.99     | 0.02%             | 2036-01-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BH3888 G2 05/48 FIXED 4                    | CUSIP: 3617H1J99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1102205 | PA      | $1048744.64    | 0.06%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2021-1 LTD                                                    | CQS US CLO LTD CQS 2021 1A AR 144A                      | CUSIP: 12659UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4800000 | PA      | $4818566.93    | 0.29%             | 2035-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AH5585 FN 02/41 FIXED 5                       | CUSIP: 3138A7F37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20765 | PA      | $21276.66      | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $249.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 11/51 1.875                             | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4300000 | PA      | $2433363.29    | 0.15%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                            | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A     | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6850000 | PA      | $6660762.59    | 0.40%             | 2043-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| AMEREN MISSOURI SECURITIZATION FUNDING I LLC                             | AMEREN MISSOURI SEC FU I SR SECURED 10/41 4.85          | CUSIP: 023940AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4926843.28    | 0.30%             | 2041-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 843935 FN 11/35 FIXED 5.5                     | CUSIP: 31407XSY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5975 | PA      | $6200.64       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UA9TA9 PIMCO SWAPTION 2.85 PUT EUR 20251002          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2400000 | NC      | $-2.25         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 986946 FN 09/38 FIXED 6                       | CUSIP: 31415RL36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        212 | PA      | $220.83        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 889982 FN 11/38 FIXED VAR                     | CUSIP: 31410KXK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3641 | PA      | $3780.15       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                                     | NORINCHUKIN BANK SR UNSECURED 144A 10/29 5.094          | CUSIP: 656029AN5<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    3200000 | PA      | $3275776.58    | 0.20%             | 2029-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL C03475 FG 04/40 FIXED 6               | CUSIP: 31292K2G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     226837 | PA      | $239264.47     | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TSY INFL IX N/B 02/55 2.375                             | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1126081 | PA      | $1100517.40    | 0.07%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                     | BOSTON PROPERTIES LP SR UNSECURED 04/32 2.55            | CUSIP: 10112RBE3<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $951523.17     | 0.06%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                       | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 03/27 2.8    | CUSIP: 86563VBA6<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   13000000 | PA      | $12781545.79   | 0.77%             | 2027-03-10      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 735805 FN 07/35 FLOATING VAR                  | CUSIP: 31402RNW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24897 | PA      | $25120.69      | 0.00%             | 2035-07-01      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                                                   | DIGITAL DUTCH FINCO BV COMPANY GUAR REGS 03/30 1.5      | CUSIP: BKMG43II7<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              | CORP              | NL        |    4300000 | PA      | $4693985.40    | 0.28%             | 2030-03-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 681846 FN 03/33 FLOATING VAR                  | CUSIP: 31400AP77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        783 | PA      | $800.26        | 0.00%             | 2033-03-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| CTP NV                                                                   | CTP NV SR UNSECURED REGS 09/26 0.625                    | CUSIP: ACI20LM91<br>LEI: 3157000YTVO4TN65UM14 | Long             | DBT              | CORP              | NL        |    6500000 | PA      | $7490612.41    | 0.45%             | 2026-09-27      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ENDOWMENT/THE                                                 | CALIFORNIA ENDOWMENT/THE UNSECURED 04/51 2.498          | CUSIP: 1301ETAA0<br>LEI: 54930046FICHFANLFV69 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $4031236.61    | 0.24%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                  | BPCE SA BPCE SA                                         | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    3800000 | PA      | $4035877.89    | 0.24%             | 2029-10-19      | Floating      | 6.71%                 | 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        |    5500000 | PA      | $5512375.00    | 0.33%             | 2034-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTICLASS CERTIFICATES SERIES 2020-P003                     | FREDDIE MAC MULTICLASS CERTIFI FHMR 2020 P003 A2        | CUSIP: 3137FWHZ6<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |   15000000 | PA      | $12380311.50   | 0.75%             | 2034-06-25      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1895 | NC      | $298303.54     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | GOLDMAN SACHS GROUP INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $19137.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $200538.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4678                                                  | FREDDIE MAC FHR 4678 AF                                 | CUSIP: 3137BWWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1819734 | PA      | $1804213.46    | 0.11%             | 2042-12-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BG3076 G2 05/48 FIXED 4                    | CUSIP: 3617GMMZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1083753 | PA      | $1027395.69    | 0.06%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $95.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BH0394 G2 06/48 FIXED 4                    | CUSIP: 3617GWNK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     385129 | PA      | $365099.31     | 0.02%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL ZK2703 FR 11/25 FIXED 3.5             | CUSIP: 3131X6AC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $66.49         | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | STRIPS 08/41 0.00000                                    | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5500000 | PA      | $2582579.01    | 0.16%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2957.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 755505 FN 12/33 FIXED 5.5                     | CUSIP: 31403RKS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30027 | PA      | $31073.04      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TSY INFL IX N/B 04/28 1.25                              | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7000175 | PA      | $7028269.29    | 0.42%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-3519.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                | DUKE ENERGY CAROLINAS 1ST MORTGAGE 11/28 3.95           | CUSIP: 26442CAX2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4000921.64    | 0.24%             | 2028-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                                   | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A          | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4500000 | PA      | $4507395.75    | 0.27%             | 2034-10-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL A80378 FG 12/36 FIXED 5.5             | CUSIP: 312926M39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        442 | PA      | $458.04        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD PEN BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-11214.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL AX3359 G2 07/48 FIXED 4                    | CUSIP: 36196EWU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1353791 | PA      | $1282554.57    | 0.08%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 05/42 3                                 | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     400000 | PA      | $324640.62     | 0.02%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMURFIT WESTROCK FINANCING DAC                                           | SMURFIT WESTROCK FIN COMPANY GUAR 01/35 5.418           | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    2100000 | PA      | $2165745.48    | 0.13%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 745423 FN 04/36 FIXED VAR                     | CUSIP: 31403DD48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3400 | PA      | $3584.49       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                                     | COLLEGE AVE STUDENT LOANS CASL 2018 A A1 144A           | CUSIP: 19423DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     566602 | PA      | $567358.99     | 0.03%             | 2047-12-26      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BM8966 G2 06/49 FIXED 3.5                  | CUSIP: 3617K06B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1032441 | PA      | $954954.63     | 0.06%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-462.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 10YR FUT OPTN  NOV25C 113.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -49 | NC      | $-10497.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                  | GOLDMAN SACHS GROUP INC SR UNSECURED 06/28 VAR          | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3276537.76    | 0.20%             | 2028-06-05      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                                      | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2       | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161732 | PA      | $157313.43     | 0.01%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-4991.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                             | WP CAREY INC SR UNSECURED 02/32 2.45                    | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    7600000 | PA      | $6672917.04    | 0.40%             | 2032-02-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -700 | NC      | $-855517.57    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-69612.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 05/44 4.625                             | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2700000 | PA      | $2680910.16    | 0.16%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                     | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16100000 | PA      | $16100000.00   | 0.97%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| N/A                                                                      | RFR EUR ESTRON/2.06280 11/14/24-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $14552.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $537.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB6416 FN 05/53 FIXED 4                       | CUSIP: 3140QSDW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4776257 | PA      | $4512293.93    | 0.27%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB6832 FN 07/53 FIXED 5                       | CUSIP: 3140QSSW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11770315 | PA      | $11727791.02   | 0.71%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL ZK2607 FR 10/25 FIXED 3.5             | CUSIP: 3131X53Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.11         | 0.00%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 555531 FN 06/33 FIXED VAR                     | CUSIP: 31385XEC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3778 | PA      | $3875.36       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB6830 FN 07/53 FIXED 4.5                     | CUSIP: 3140QSSU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14113374 | PA      | $13740184.81   | 0.83%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL AE8417 FN 11/25 FIXED 3.5                     | CUSIP: 31419KK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         88 | PA      | $87.50         | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                       | SOUTHERN CAL EDISON 1ST MORTGAGE 03/49 4.875            | CUSIP: 842400GR8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     450000 | PA      | $381040.28     | 0.02%             | 2049-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 2.61000 03/24/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $4257.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-4712.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL 080022 G2 12/26 FLOATING VAR               | CUSIP: 36225CAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        135 | PA      | $135.76        | 0.00%             | 2026-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 917138 FN 06/37 FIXED 6                       | CUSIP: 31411W4X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        266 | PA      | $279.12        | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 790907 FN 09/34 FIXED 5.5                     | CUSIP: 31405JU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38088 | PA      | $38427.07      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA8480 FR 07/53 FIXED 4               | CUSIP: 3133KQM52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8779493 | PA      | $8287444.47    | 0.50%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 974781 FN 04/38 FLOATING VAR                  | CUSIP: 31414SM67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4354 | PA      | $4447.08       | 0.00%             | 2038-04-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TSY INFL IX N/B 02/43 0.625                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     983521 | PA      | $747744.99     | 0.05%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8910000 | PA      | $-8922622.50   | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL MA0563 FN 11/30 FIXED 4                       | CUSIP: 31417YTV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7467 | PA      | $7435.73       | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 11/40 1.375                             | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   44300000 | PA      | $28920458.93   | 1.75%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                                | INDYMAC ARM TRUST INARM 2001 H2 A2                      | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1062 | PA      | $1029.35       | 0.00%             | 2032-01-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 985616 FN 04/34 FIXED 5.5                     | CUSIP: 31415P3Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1294356 | PA      | $1325313.00    | 0.08%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                            | ENEL FINANCE INTL NV SR UNSECURED 144A 06/27 4.625      | CUSIP: 29278GAW8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     700000 | PA      | $705003.60     | 0.04%             | 2027-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER CORPORATION                                         | NIAGARA MOHAWK POWER SR UNSECURED 144A 06/30 1.96       | CUSIP: 65364UAN6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4414611.88    | 0.27%             | 2030-06-27      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB6829 FN 07/53 FIXED 4                       | CUSIP: 3140QSST9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8237794 | PA      | $7780380.70    | 0.47%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2019-4A                                                   | PIKES PEAK CLO PIPK 2019 4A ARR 144A                    | CUSIP: 72132WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4900000 | PA      | $4907711.82    | 0.30%             | 2034-07-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES         | 10 RENEW POWER SUBSIDIAR SR SECURED REGS 07/28 4.5      | CUSIP: Y7280PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |     500000 | PA      | $483058.40     | 0.03%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | US 2YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        198 | NC      | $20591.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $3072.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONTINENTAL WIND LLC                                                     | CONTINENTAL WIND SR SECURED 144A 02/33 6                | CUSIP: 212168AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3807654 | PA      | $3905940.40    | 0.24%             | 2033-02-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $640.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL MA0142 FN 08/29 FIXED 4                       | CUSIP: 31417YEQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        301 | PA      | $299.98        | 0.00%             | 2029-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD PEN BOUGHT USD 20260217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-16066.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G04576 FG 09/38 FIXED 6               | CUSIP: 3128M6MZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27166 | PA      | $28670.82      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB7588 FN 11/53 FIXED 5                       | CUSIP: 3140QTNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12620420 | PA      | $12565066.09   | 0.76%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-314.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                             | UBS GROUP AG SR UNSECURED 144A 02/30 VAR                | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    5400000 | PA      | $5580214.96    | 0.34%             | 2030-02-08      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB          | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     621246 | PA      | $629872.46     | 0.04%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BE6839 G2 03/48 FIXED 4                    | CUSIP: 3617G1S41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1412999 | PA      | $1336904.68    | 0.08%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD PEN BOUGHT USD 20251031                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-738.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1511.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $448369.13     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA POOL AI7205 GN 08/45 FIXED 3.5                     | CUSIP: 36198UAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1874706 | PA      | $1748622.87    | 0.11%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO II 2022-1A                                                | 37 CAPITAL CLO LTD PUTNM 2022 1A A1R 144A               | CUSIP: 88429PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    3500000 | PA      | $3505250.91    | 0.21%             | 2034-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 05/44 3.375                             | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $834843.75     | 0.05%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-2A                                  | HERTZ VEHICLE FINANCING LLC HERTZ 2023 2A A 144A        | CUSIP: 42806MBW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3093935.10    | 0.19%             | 2029-09-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1289.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $211.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 11/44 3                                 | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2100000 | PA      | $1643660.15    | 0.10%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 878201 FN 09/36 FIXED 6                       | CUSIP: 31409TU22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31580 | PA      | $33295.21      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-390.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK (EIB)                                           | EUROPEAN INVESTMENT BANK SR UNSECURED 02/33 3.75        | CUSIP: 298785JV9<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | N/A       |    4000000 | PA      | $3941315.84    | 0.24%             | 2033-02-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FG          | CUSIP: 38376R4U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1553860 | PA      | $1574356.96    | 0.10%             | 2067-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA8572 FR 06/53 FIXED 4.5             | CUSIP: 3133KQQZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11673677 | PA      | $11375853.94   | 0.69%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MATHER FOUNDATION                                                        | MATHER FOUNDATION UNSECURED 10/31 2.675                 | CUSIP: 576722AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9600000 | PA      | $8594112.67    | 0.52%             | 2031-10-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-247.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL RA9046 FR 08/53 FIXED 4.5             | CUSIP: 3133KRBP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13998282 | PA      | $13615127.76   | 0.82%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 2A4            | CUSIP: 12638PAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2282838 | PA      | $572400.60     | 0.03%             | 2037-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | IRS EUR 1.00000 05/18/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-444674.80    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                       | SOUTHERN CAL EDISON 1ST MORTGAGE 06/51 3.65             | CUSIP: 842400HF3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1316018.62    | 0.08%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                                     | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 21A1          | CUSIP: 026935AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     571278 | PA      | $514092.17     | 0.03%             | 2046-11-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL C91370 FG 05/31 FIXED 4.5             | CUSIP: 3128P7QX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2830 | PA      | $2849.91       | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $15891.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 08/55 4.75                              | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19541000 | PA      | $19611225.47   | 1.18%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | RFR USD SOFR/3.65517 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-237735.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | AUST 10Y BOND FUT DEC25 XSFE 20251215                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         72 | NC      | $-16194.29     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ARES EUROPEAN CLO 14A                                                    | ARES EURO CLO ARESE 14A AR 144A                         | CUSIP: ACI2RNVJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2911307 | PA      | $3421660.08    | 0.21%             | 2034-10-21      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G02929 FG 04/37 FIXED 6               | CUSIP: 3128M4SS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2013 | PA      | $2117.37       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 974767 FN 04/38 FLOATING VAR                  | CUSIP: 31414SMQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6462 | PA      | $6661.82       | 0.00%             | 2038-04-01      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                    | FED HM LN PC POOL G03432 FG 11/37 FIXED 5.5             | CUSIP: 3128M5ED8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3811 | PA      | $3972.42       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | REVERSE REPO CIBC                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -163617641 | PA      | $-163867101.68 | -9.90%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | US TREASURY N/B 02/42 2.375                             | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18800000 | PA      | $13937336.01   | 0.84%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $796.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | 317UAALA4 PIMCO SWAPTION 3.575 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-843.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL BD3919 G2 05/48 FIXED 4                    | CUSIP: 3617BKK83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1115664 | PA      | $1056965.03    | 0.06%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL CB2786 FN 01/52 FIXED 3                       | CUSIP: 3140QNCY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16230923 | PA      | $14323983.39   | 0.87%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                     | FNMA POOL 885413 FN 06/36 FIXED 6                       | CUSIP: 31410CVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        510 | PA      | $536.30        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                      | SOLD SGD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $29852.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                      | LONG GILT FUTURE  DEC25 IFLL 20251229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        131 | NC      | $66537.41      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORTGAGEIT TRUST 2006-1                                                  | MORTGAGEIT TRUST MHL 2006 1 1A1                         | CUSIP: 61915RBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     441588 | PA      | $422623.41     | 0.03%             | 2036-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK (EIB)                                           | EUROPEAN INVESTMENT BANK SR UNSECURED 05/27 2.375       | CUSIP: 298785HM1<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | N/A       |   10000000 | PA      | $9794247.20    | 0.59%             | 2027-05-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                     | GNMA II POOL 080107 G2 08/27 FLOATING VAR               | CUSIP: 36225CDM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1152 | PA      | $1159.73       | 0.00%             | 2027-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                       | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     357000 | PA      | $354529.32     | 0.02%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer