# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-25-000526
**Filing Date:** 2025-8
**Character Count:** 386604
**Document Hash:** 9773e955a9adc47f22f8665a817e8a0a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-25-000526.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001047304-25-000526

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO VARIABLE INSURANCE TRUST
- **CENTRAL INDEX KEY:** 0001047304

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 251277434

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 9497204721

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

## Series and Classes Contracts Data

### PIMCO Global Bond Opportunities Portfolio (Unhedged) (Series ID: S000009670)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026497 | Administrative | VPVGBDV         |
| C000030988 | Advisor        | VPVGBVV         |
| C000030996 | Institutional  | VPVGBIV         |

## 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 Variable Insurance Trust

- **b. Investment Company Act file number:** 811-08399

- **c. CIK number of Registrant:** 0001047304

- **d. LEI of Registrant:** 549300KNGHUU7TTJOR56

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Global Bond Opportunities Portfolio (Unhedged)

- **b. EDGAR series identifier (if any):** S000009670

- **c. LEI of Series:** SIG2VU6GJ2VLC2XNC047

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**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:** $314380685.63

**Total Liabilities:** $182282507.87

**Net Assets:** $132098177.76

**Cash Not Reported:** $5898423.07

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 29489.093300 | **1-Year:** 17067.329600 | **5-Year:** 35634.662200 | **10-Year:** 10583.875500 | **30-Year:** -1442.305900

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

- **3-Month:** 403.748800 | **1-Year:** 1037.634700 | **5-Year:** 2460.000400 | **10-Year:** 455.254000 | **30-Year:** 2.559100

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026497 | 1.76%                | 0.28%                | 2.86%                |
| Class ID C000030988 | 1.75%                | 0.27%                | 2.86%                |
| Class ID C000030996 | 1.77%                | 0.29%                | 2.88%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-190597.91              | $1908278.30                                |
| Month 2  | $78562.73                | $-637423.59                                |
| Month 3  | $-57529.81               | $2748803.87                                |

**Designated Index Information**

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

- **Index Identifier:** LEGATRUU

### Schedule of Portfolio Investments

| Name                                                                             | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                              | SOLD TRY BOUGHT USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $-420.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/32 0.125                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    115714 | PA      | $104923.60    | 0.08%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-2095.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.28200 03/12/40-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $13125.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                            | AIR LEASE CORP DISC COML PAPER                          | CUSIP: 00913WU86<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249739.20    | 0.19%             | 2025-07-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $1263.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1         | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48636 | PA      | $41145.18     | 0.03%             | 2037-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                                                       | LCM LTD PARTNERSHIP LCM 30A AR 144A                     | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    268580 | PA      | $269227.02    | 0.20%             | 2031-04-20      | Floating      | 5.61%                 | 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        |    300000 | PA      | $193042.97    | 0.15%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS MYR P 3.75000 03/19/25-10Y JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $-4968.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV3                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV3 A3A 144A  | CUSIP: 17329VBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215744 | PA      | $176088.97    | 0.13%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20250908                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-19441.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1                 | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2365 | PA      | $2228.00      | 0.00%             | 2035-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166595 | PA      | $159739.60    | 0.12%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.27000 03/12/40-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $40415.46     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A10                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A10 A          | CUSIP: 59020UZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17026 | PA      | $16691.85     | 0.01%             | 2036-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $4361.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $170.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $5641.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2A            | CUSIP: 61753KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734109 | PA      | $312767.78    | 0.24%             | 2037-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $877.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $33071.84     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $3338.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3404 | PA      | $3260.40      | 0.00%             | 2034-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $7029.29      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $4301.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9G6A0 PIMCO SWAPTION 4.065 PUT USD 2025070          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-0.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS MYR R 3.50000 03/19/25-5Y GST                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $17221.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2478.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250725                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $490.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1777.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-286.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1231.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $20839.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS SGD SIBSORA/2.50000 09/17/25-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $-17851.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                          | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A      | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $399472.36    | 0.30%             | 2038-11-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED REGS 03/32 VAR           | CUSIP: ACI2DH0D1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $253199.77    | 0.19%             | 2032-03-10      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $2127.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                          | FREDDIE MAC FHR 4579 SD                                 | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60514 | PA      | $3107.96      | 0.00%             | 2038-01-15      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $391.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-55871.10    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2772.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 03/19/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $372598.04    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.93000 06/25/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-844.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $656.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 800171 FN 12/34 FLOATING VAR                  | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       575 | PA      | $579.67       | 0.00%             | 2034-12-01      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 09/43 1.5                   | CUSIP: ACI2KL3P4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  57000000 | PA      | $350878.23    | 0.27%             | 2043-09-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $7438.47      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EGP SOLD USD 20250825                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |         1 | NC      | $6227.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                                | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                  | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    230441 | PA      | $230867.17    | 0.17%             | 2039-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I INC 2005-S7                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 S7 A5          | CUSIP: 76111XZV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20495 | PA      | $15857.64     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $320.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2684.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-10841.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-8124.90     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-27662.02    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3713.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2.5 JUMBOS                            | CUSIP: 21H022689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $509851.13    | 0.39%             | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750QI27 PIMCO FXVAN PUT EUR CZK 24.70000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    352000 | NC      | $2314.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1246.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                               | FANNIE MAE FNR 2004 63 FA                               | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       166 | PA      | $163.32       | 0.00%             | 2034-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042681<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -200000 | PA      | $-191237.42   | -0.14%            | 2054-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF3          | CUSIP: 75970HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453857 | PA      | $138529.78    | 0.10%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-33273.22    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.10000 03/31/23-10Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-344777.77   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $127530.40    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR5                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7         | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1328 | PA      | $1335.01      | 0.00%             | 2033-06-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875       | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  26900000 | PA      | $1418849.17   | 1.07%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-84.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                             | NORDEA KREDIT REALKREDIT COVERED 10/50 1                | CUSIP: BKDSHHII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        16 | PA      | $1.90         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         3 | PA      | $0.39         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1.5           | CUSIP: ACI19Y843<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.19         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 1 A2D               | CUSIP: 669884AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $484994.40    | 0.37%             | 2036-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20250709                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-302.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                  | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1585597 | PA      | $1445031.23   | 1.09%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-4                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A12          | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214735 | PA      | $108707.25    | 0.08%             | 2046-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-806.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                                                  | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A          | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    420460 | PA      | $419902.37    | 0.32%             | 2032-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CAN 10YR BOND FUT SEP25 XMOD 20250918                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |       -24 | NC      | $-21242.37    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-22348.49    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI6798 FR 05/54 FIXED 6               | CUSIP: 3133WDRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1270843 | PA      | $1304043.95   | 0.99%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $10628.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.45100 05/27/25-25Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-99856.50    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX MAIN43 10Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $-14823.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $6.20         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $4827.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-3                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1         | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56937 | PA      | $51363.04     | 0.04%             | 2047-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $771.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CAN 5YR BOND FUT  SEP25 XMOD 20250918                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |       -11 | NC      | $-5912.58     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ACCUNIA EUROPEAN CLO I DAC 1A                                                    | ACCUNIA EUROPEAN CLO ACCUN 1A AR 144A                   | CUSIP: ACI19ZJ97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     45882 | PA      | $54124.91     | 0.04%             | 2030-07-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 09/26 5                       | CUSIP: ACI28TF11<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    300000 | PA      | $363393.06    | 0.28%             | 2026-09-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $14.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 5A1      | CUSIP: 02152AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16573 | PA      | $7634.53      | 0.01%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80346 03/03/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4274.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-661.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.21300 03/12/40-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $146113.98    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV6                                               | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A        | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500123 | PA      | $426954.71    | 0.32%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/48 3                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $297328.12    | 0.23%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EGP SOLD USD 20250722                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |         1 | NC      | $2489.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL STATE OF ISRAEL                         | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    200000 | PA      | $204244.74    | 0.15%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 3.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-128535.90   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO7562 FN 10/42 FIXED 3                       | CUSIP: 3138LYML8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3475 | PA      | $3147.93      | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                                        | MAN GLG EURO CLO GLGE 5A A1R 144A                       | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    130439 | PA      | $153237.29    | 0.12%             | 2031-12-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CZK BOUGHT USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $-10685.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG43 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-18477.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-90.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1        | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       120 | PA      | $117.27       | 0.00%             | 2032-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $770.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $404095.84    | 0.31%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250808                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $27.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1           | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83418 | PA      | $73214.34     | 0.06%             | 2046-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1       | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1796 | PA      | $1648.13      | 0.00%             | 2036-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2        | CUSIP: 86359LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       344 | PA      | $321.52       | 0.00%             | 2034-07-19      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9O3A6 PIMCO SWAPTION 3.545 CALL USD 202507          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -475000 | NC      | $-1771.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-5659.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                                     | HUNGARY SR UNSECURED 144A 09/32 6.25                    | CUSIP: 445545AS5<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    200000 | PA      | $209094.68    | 0.16%             | 2032-09-22      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-14954.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A      | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101909 | PA      | $96057.12     | 0.07%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-1209.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-107.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2402.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                         | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/55 6.375      | CUSIP: 80414L3F0<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    200000 | PA      | $200133.21    | 0.15%             | 2055-06-02      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                                               | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A        | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    739467 | PA      | $632243.99    | 0.48%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                             | EUROSAIL PLC ESAIL 2007 3X A3A REGS                     | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     86820 | PA      | $119146.77    | 0.09%             | 2045-06-13      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $5.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                   | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     44000 | PA      | $29522.53     | 0.02%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                                | BDS LTD BDS 2021 FL10 A 144A                            | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    192976 | PA      | $193237.43    | 0.15%             | 2036-12-16      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/28 1.75                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2143554 | PA      | $2171258.21   | 1.64%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-142.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM)                              | JAPAN FIN ORG MUNICIPAL SR UNSECURED REGS 09/27 2.375   | CUSIP: ACI2802G5<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | NUSS              | JP        |   2300000 | PA      | $2712293.80   | 2.05%             | 2027-09-08      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 05/30 VAR                | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $97407.09     | 0.07%             | 2030-05-22      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $689.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-22828.06    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/32 3.375  | CUSIP: ACI2V6L67<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    300000 | PA      | $352240.23    | 0.27%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.01677 02/04/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9567.45     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2019-1 CLASS A PASS THROUGH TRUST                                | BRITISH AIR 19 1 A PTT PASS THRU CE 144A 12/30 3.35     | CUSIP: 11043XAB9<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |     44782 | PA      | $42873.27     | 0.03%             | 2030-12-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-61191.24    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/4.00000 03/17/26-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $180984.10    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                                          | FREDDIE MAC FHR 5511 FB                                 | CUSIP: 3137HKKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    737054 | PA      | $740515.43    | 0.56%             | 2055-03-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.25000 03/15/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $25434.66     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A   | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76112 | PA      | $62121.94     | 0.05%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| KOREA HOUSING FINANCE CORP (KHFC)                                                | KOREA HOUSING FINANCE CO KOREA HOUSING FINANCE CO       | CUSIP: 50065RAM9<br>LEI: 9884002AAOBT56QW9B80 | Long             | DBT              | CORP              | KR        |    300000 | PA      | $304577.34    | 0.23%             | 2026-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-678.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-87.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R6I3 PIMCO FXVAN PUT EUR HUF 395.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    202000 | NC      | $842.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-1325.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY MORGAN STANLEY                           | CUSIP: 61747YFP5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $511297.65    | 0.39%             | 2028-04-13      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $94.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U6EFA8 PIMCO SWAPTION 4.35 PUT USD 20250925          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-114.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.00000 03/19/25-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $109173.82    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1920.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $33.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 1.75000 03/16/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-22801.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 7 6A          | CUSIP: 07384MYW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       882 | PA      | $856.84       | 0.00%             | 2033-10-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20250707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $8863.85      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1912500 | PA      | $-1918839.94  | -1.45%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 5.125  | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    400000 | PA      | $406773.05    | 0.31%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-165.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.25000 09/17/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-309995.32   | -0.23%            |  |  |  | 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        |  30000000 | PA      | $191393.35    | 0.14%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.99801 02/13/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2543.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.9544* 02/05/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-968.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $30.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $3592.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-20652.76    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-817.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 01/36 VAR             | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    300000 | PA      | $308578.56    | 0.23%             | 2036-01-24      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT AS COVERED REGS 10/52 1.5           | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |        15 | PA      | $1.93         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-446.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA17                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A     | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139640 | PA      | $122087.65    | 0.09%             | 2046-12-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO260629                              | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 710770000 | PA      | $372694.29    | 0.28%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 121 PE          | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2603 | PA      | $2553.74      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY 03/27 1                                  | CUSIP: ACI2NCY93<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    400000 | PA      | $472129.08    | 0.36%             | 2027-03-19      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250709                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2019.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWER BRIDGE FUNDING 2024-3 PLC 24-3A                                            | TOWER BRIDGE FUNDING TWRBG 2024 3A A 144A               | CUSIP: ACI2R23Z7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    495518 | PA      | $681045.40    | 0.52%             | 2066-12-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-22232.41    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20250918                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-22606.41    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 12/20/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $130871.72    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                                           | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       669 | PA      | $649.91       | 0.00%             | 2030-12-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM4 TRUST                                                             | GCAT GCAT 2023 NQM4 A1 144A                             | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    526376 | PA      | $500621.63    | 0.38%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-8314.22     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250724                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2211.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20250724                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $115.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1014.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-21879.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CCS USD R USSOFR/JPYMUTKCALM-41.4 GST                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |         1 | NC      | $-98792.91    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-6801.42     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-25053.07    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $753.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20250929                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-592.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1624.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/41 1.875                             | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $206437.50    | 0.16%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                                  | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                 | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    243123 | PA      | $284947.89    | 0.22%             | 2031-04-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.00000 12/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-1912.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $56.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.25000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $9286.94      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004239 G2 09/38 FIXED 6                    | CUSIP: 36202EV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1310 | PA      | $1332.92      | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-4460.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                             | JYSKE REALKREDIT A/S COVERED REGS 10/50 1               | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |         4 | PA      | $0.50         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 03/42 3.5           | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $71348.07     | 0.05%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                                  | QUEENSLAND TREASURY CORP LOCAL GOVT G 08/33 2           | CUSIP: BMXC0WII0<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |   1200000 | PA      | $650471.92    | 0.49%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS17                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS17 A4        | CUSIP: 74922SAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113047 | PA      | $94585.43     | 0.07%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 12/35 VAR            | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    400000 | PA      | $401697.23    | 0.30%             | 2035-12-03      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BTP FUTURE   SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        55 | NC      | $22605.23     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-8752.16     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EGP SOLD USD 20250826                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |         1 | NC      | $4378.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOUISIANA LOCAL GOVERNMENT ENVIRONMENTAL FACILITIES & COMMUNITY DEVELOPMENT AUTH | LOUISIANA ST LOCAL GOVT ENVRNM LASGOV 02/33 FIXED 4.145 | CUSIP: 54627RAM2<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |    100000 | PA      | $98998.95     | 0.07%             | 2033-02-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.50000 03/19/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-69030.79    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                                   | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                   | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       565 | PA      | $562.88       | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| ABU DHABI GOVT                                                                   | ABU DHABI GOVT INT L ABU DHABI GOVT INT L               | CUSIP: 29135LAU4<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |    400000 | PA      | $399165.01    | 0.30%             | 2054-04-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $-491.30      | -0.00%            |  |  |  | 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        |    500000 | PA      | $594899.51    | 0.45%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI6291 FR 05/54 FIXED 6               | CUSIP: 3133WC7C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1583248 | PA      | $1614911.92   | 1.22%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                                 | TREASURY CORP VICTORIA LOCAL GOVT G 09/35 2             | CUSIP: BK80V9II5<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    300000 | PA      | $150777.55    | 0.11%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-22179.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 4 1A1                  | CUSIP: 12669GML2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167026 | PA      | $153546.70    | 0.12%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $180.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $135.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA MORGAN STANLEY BANK NA           | CUSIP: 61690U8B9<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    300000 | PA      | $306458.91    | 0.23%             | 2028-05-26      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS PLN 2.58500 10/14/21-8Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |         1 | NC      | $-18755.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                                      | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A            | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    265121 | PA      | $265695.22    | 0.20%             | 2039-02-15      | Floating      | 5.96%                 | 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        |    500000 | PA      | $486353.55    | 0.37%             | 2036-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUT+5.89/0.4000 06/19/19-20Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $502627.47    | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $280.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3532.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.00000 06/17/25-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-125429.94   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-19882.16    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                 | ABN AMRO BANK NV 144A 12/35 VAR                         | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $305808.32    | 0.23%             | 2035-12-03      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-20080.03    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1                  | CUSIP: 12669GRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20433 | PA      | $17889.43     | 0.01%             | 2035-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BOBL FUTURE  SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -52 | NC      | $32723.56     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2810.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-326.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.25000 09/17/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-2625.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $93.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | AUST 10Y BOND FUT SEP25 XSFE 20250915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |      -110 | NC      | $-75319.43    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0203 FN 08/43 FIXED 3                       | CUSIP: 3138W9GM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9144 | PA      | $8258.23      | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR5 3A        | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27871 | PA      | $17085.57     | 0.01%             | 2046-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-23150.95    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20250730                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $591.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $19.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                      | FRANCE (GOVT OF) BONDS 144A REGS 10/27 2.75             | CUSIP: ACI02EIC7<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    800000 | PA      | $956872.87    | 0.72%             | 2027-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-15922.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XII-B LTD 2018-12BA                                           | NORTHWOODS CAPITAL LTD WOODS 2018 12BA AR 144A          | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    334623 | PA      | $334242.96    | 0.25%             | 2031-06-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                                          | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1       | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27981 | PA      | $9636.09      | 0.01%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $6354.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-8444.08     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4881.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9627.95     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43578 | PA      | $25026.64     | 0.02%             | 2035-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20250908                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-683.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                      | REPUBLIC OF SERBIA SR UNSECURED 144A 09/28 1            | CUSIP: ACI20JHB7<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    100000 | PA      | $108832.04    | 0.08%             | 2028-09-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1607.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                      | CANADIAN GOVERNMENT RRB BONDS 12/44 1.5                 | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    141352 | PA      | $102091.93    | 0.08%             | 2044-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS KRW 2.50000 09/17/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |         1 | NC      | $-180.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                           | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1           | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43549 | PA      | $4082.87      | 0.00%             | 2036-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12      | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32787 | PA      | $10134.19     | 0.01%             | 2037-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.02000 05/15/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-196.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-6915.81     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG44 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-63226.38    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/30 4.75   | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   1100000 | PA      | $1111368.12   | 0.84%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | LETRA TESOURO NACIONAL BILLS 10/25 0.00000              | CUSIP: ACI2HDVK6<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  13300000 | PA      | $2361236.95   | 1.79%             | 2025-10-01      | None          | 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        |     33500 | NC      | $2468.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $168.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-2059.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $439.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $2797.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2692.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $63545.77     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB0827 FN 04/54 FIXED 6                       | CUSIP: 3140A94M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1523808 | PA      | $1553772.26   | 1.18%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20250707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-17710.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.9314* 02/06/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-514.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.98104 09/01/23-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $23856.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 4.75000 06/19/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $26905.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)                | GENERALITAT DE CATALUNYA SR UNSECURED 04/35 4.22        | CUSIP: B081RMII3<br>LEI: 95980020140005848404 | Long             | DBT              | NUSS              | ES        |    100000 | PA      | $121231.15    | 0.09%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE                                       | TERWIN MORTGAGE TRUST TMTS 2003 6HE A1                  | CUSIP: 881561CE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7481 | PA      | $6739.38      | 0.01%             | 2033-11-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-9.89        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $6995.98      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2021-INV1                                                         | PMT LOAN TRUST 2021 INV1 PMTLT 2021 INV1 A3 144A        | CUSIP: 69359YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305421 | PA      | $250046.45    | 0.19%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1796 FN 10/34 FIXED VAR                     | CUSIP: 3140X47J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15021 | PA      | $14504.49     | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 08/33 VAR                | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    600000 | PA      | $652837.92    | 0.49%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250729                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $295.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CLP SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $387.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1        | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8817 | PA      | $7215.68      | 0.01%             | 2037-07-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A     | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    230091 | PA      | $229390.97    | 0.17%             | 2038-04-18      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-SB1                                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 SB1 A1A       | CUSIP: 41162BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48315 | PA      | $43454.52     | 0.03%             | 2036-12-19      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $302.03       | 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        |   1400000 | PA      | $1107914.07   | 0.84%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH KOREA GOVT AS BP MYC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-7827.55     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $247.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2163632.60   | 1.64%             | 2054-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                       | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/35 3 | CUSIP: ACI2TFSN6<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    400000 | PA      | $470539.45    | 0.36%             | 2035-04-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  AUG25P 109 EXP 07/25/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $-62.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $790.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750QFP9 PIMCO FXVAN PUT EUR CZK 24.75000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    210000 | NC      | $1544.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR1                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR1 A          | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4443 | PA      | $4469.35      | 0.00%             | 2034-03-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A           | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    557220 | PA      | $535430.73    | 0.41%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-260.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL STATE OF ISRAEL                         | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    200000 | PA      | $185504.72    | 0.14%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1                         | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    171969 | PA      | $172312.99    | 0.13%             | 2037-01-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-13779.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO110626                              | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 263000000 | PA      | $139208.06    | 0.11%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.86092 03/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2183.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $229.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.96000 06/27/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2764.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-3372.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | TORONTO DOMINION BANK TORONTO DOMINION BANK             | CUSIP: 891160TE3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    500000 | PA      | $508279.67    | 0.38%             | 2027-07-16      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 09/31 VAR                              | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $187148.62    | 0.14%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250729                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $3060.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-19670.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $9702.08      | 0.01%             |  |  |  | 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      | $21970.44     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-2043.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.77259 03/04/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $13413.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.00500 09/29/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1535.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                       | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/33 3 | CUSIP: ACI2GLWB8<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   3800000 | PA      | $4659916.22   | 3.53%             | 2033-10-31      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REFERENCE REMIC R006                                                 | FREDDIE MAC REFERENCE REMIC FHRR R006 ZA                | CUSIP: 31396JT21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     66823 | PA      | $70738.09     | 0.05%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                          | FREDDIE MAC FHR 4579 FD                                 | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60514 | PA      | $59714.14     | 0.05%             | 2038-01-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-3702.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HUF SOLD USD 20250822                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $6703.29      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $1900.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                         | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A      | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    386290 | PA      | $531426.81    | 0.40%             | 2053-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.92500 06/19/25-1Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $51753.34     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/0.60000 12/18/24-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-3216.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $3664.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                       | BONOS Y OBLIG DEL ESTADO SR UNSECURED 01/28 0.00000     | CUSIP: ACI1WLC57<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   1650000 | PA      | $1843619.39   | 1.40%             | 2028-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4A                | CUSIP: 12669FY23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1229 | PA      | $1186.81      | 0.00%             | 2034-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI8171 FR 06/54 FIXED 6               | CUSIP: 3133WFCG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1425153 | PA      | $1463500.03   | 1.11%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HUF SOLD USD 20250822                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $522.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.00000 03/20/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1194.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA DEVELOPMENT BANK                                                           | KOREA DEVELOPMENT BANK SR UNSECURED 09/25 4             | CUSIP: 500630DT2<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | CORP              | KR        |    300000 | PA      | $299718.51    | 0.23%             | 2025-09-08      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $27552.45     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 06/18/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $7120.35      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3                  | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21555 | PA      | $18904.52     | 0.01%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-7066.38     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.00000 03/19/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $5314.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 03/30 5.25                    | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $120418.36    | 0.09%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $-27.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                      | REPUBLIC OF POLAND BONDS 02/30 4.875                    | CUSIP: 857524AF9<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    100000 | PA      | $102075.10    | 0.08%             | 2030-02-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.76527 03/04/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $22535.77     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                                 | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25     | CUSIP: BKVDQPII1<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    500000 | PA      | $276039.57    | 0.21%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA4542 FR 02/51 FIXED 2.5             | CUSIP: 3133KLBK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    201344 | PA      | $167293.17    | 0.13%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-3A                                           | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 3A A1 144A    | CUSIP: 16678RDT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150863 | PA      | $141628.31    | 0.11%             | 2036-07-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A      | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80394 | PA      | $67606.20     | 0.05%             | 2046-07-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H062677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $102684.21    | 0.08%             | 2054-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1843.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA6046 FN 05/54 FIXED 6                       | CUSIP: 3140A6WG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    104681 | PA      | $106632.60    | 0.08%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                              | UNITED KINGDOM GILT BONDS REGS 01/56 5.375              | CUSIP: ACI2X9NM2<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    200000 | PA      | $278842.80    | 0.21%             | 2056-01-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-15966.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9HNA9 PIMCO SWAPTION 3.669 CALL USD 202507          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-662.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250710                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2171.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-160.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TR 2006-3                                               | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A4           | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384707 | PA      | $364306.68    | 0.28%             | 2036-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2057.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA ROMANIA                                         | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $116082.32    | 0.09%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20250710                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1270.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC SR UNSECURED 144A 06/32 VAR      | CUSIP: 853254CC2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $264501.83    | 0.20%             | 2032-06-29      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                      | REPUBLIC OF POLAND SR UNSECURED 10/33 4.875             | CUSIP: 731011AV4<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    100000 | PA      | $99546.36     | 0.08%             | 2033-10-04      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $9826.45      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1          | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42133 | PA      | $41190.93     | 0.03%             | 2047-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS MYR P 3.75000 09/20/23-10Y GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $-15011.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                      | FRANCE (GOVT OF) BONDS 144A REGS 02/30 2.75             | CUSIP: ACI2NSRJ4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   4300000 | PA      | $5117916.39   | 3.87%             | 2030-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3327.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.11647 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-18278.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $326.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MYR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $1312.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $5570.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE P/T CERTIFICATES 2007-OA1                                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA1 A1A        | CUSIP: 92926WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116744 | PA      | $106952.81    | 0.08%             | 2047-02-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 03/19/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $117324.93    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-91.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-4A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMS 2015 4A A1RR 144A   | CUSIP: 14311NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    321921 | PA      | $322258.53    | 0.24%             | 2032-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                  | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1577 | PA      | $1491.46      | 0.00%             | 2035-04-25      | Floating      | 5.01%                 | 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        |     33500 | NC      | $2346.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE5                                                     | ACE SECURITIES CORP. ACE 2005 HE5 M4                    | CUSIP: 004421RH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342815 | PA      | $338390.23    | 0.26%             | 2035-08-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-48                                                               | FANNIE MAE FNR 2006 48 TF                               | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4654 | PA      | $4611.38      | 0.00%             | 2036-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-56.85       | -0.00%            |  |  |  | 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        |    849000 | NC      | $2411.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-7XS                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 7XS 2A1A       | CUSIP: 86359B7K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       335 | PA      | $333.82       | 0.00%             | 2035-04-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $368.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2192.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CZK SOLD USD 20250822                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $6548.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $125.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $90.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO XIV DAC 14A                                                   | HAYFIN EMERALD CLO HAYEM 14A A 144A                     | CUSIP: ACI2SSWQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    600000 | PA      | $707463.87    | 0.54%             | 2039-01-22      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020471<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2300000 | PA      | $-2102256.40  | -1.59%            | 2039-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-15.97       | -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      | $-9204.93     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-18912.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 06/40 0.4                   | CUSIP: ACI1PD3L8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  68000000 | PA      | $373958.68    | 0.28%             | 2040-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1904.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP6402 FN 09/42 FIXED 3                       | CUSIP: 3138MADG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1563 | PA      | $1419.71      | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R3X3 PIMCO FXVAN CALL USD TRY 54.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |   -134000 | NC      | $-3668.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-115.20      | -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      | $-4851.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI3936 FR 04/54 FIXED 6               | CUSIP: 3133WALR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    388639 | PA      | $396429.15    | 0.30%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 01/31 VAR            | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    500000 | PA      | $513057.36    | 0.39%             | 2031-01-24      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1560.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV5                              | BAYVIEW OPPORTUNITY MASTER FUN BVINV 2021 5 A1 144A     | CUSIP: 07336JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223103 | PA      | $190195.85    | 0.14%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.25000 12/20/23-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $32.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/28 VAR                | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $198422.72    | 0.15%             | 2028-03-13      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2266.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $480.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KZT BOUGHT USD 20250911                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-578.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5             | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    240987 | PA      | $249073.00    | 0.19%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                                    | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/35 FIXED 5.102  | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     88267 | PA      | $90329.53     | 0.07%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1        | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157208 | PA      | $109282.29    | 0.08%             | 2046-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $11540.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI4035 FR 04/54 FIXED 6               | CUSIP: 3133WAPU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    896146 | PA      | $914068.39    | 0.69%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.85092 12/02/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9801.13     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-33486.33    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY WELLS FARGO + COMPANY             | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    300000 | PA      | $307775.54    | 0.23%             | 2035-01-23      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9M4A9 PIMCO SWAPTION 3.637 CALL USD 202507          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-2506.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 02/30 5.375                | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    700000 | PA      | $714229.94    | 0.54%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-2270.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO3                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO3 A1         | CUSIP: 761118WP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116645 | PA      | $29657.80     | 0.02%             | 2046-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.06350 11/17/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $61837.28     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| 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        |     29578 | PA      | $23532.83     | 0.02%             | 2046-12-26      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9M3A0 PIMCO SWAPTION 4.037 PUT USD 2025071          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-215.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A         | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       898 | PA      | $869.96       | 0.00%             | 2042-08-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20250903                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $50291.72     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-3671.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 04/41 2.75                       | CUSIP: ACI1X0DG7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $73552.42     | 0.06%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $2174.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HUF SOLD USD 20250822                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $320.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                                     | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/30 4.5    | CUSIP: 00402AAA9<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |    200000 | PA      | $199768.70    | 0.15%             | 2030-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $17137.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $65459.54     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2001-1                                                | CONSECO FINANCE SECURITIZATION CNF 2001 1 A5            | CUSIP: 20846QGC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216220 | PA      | $219746.61    | 0.17%             | 2031-07-01      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-254.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR19 A6        | CUSIP: 929227ZS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15029 | PA      | $14673.17     | 0.01%             | 2033-02-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-247.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 02/32 2.3           | CUSIP: 161175BX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $168828.82    | 0.13%             | 2032-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-4                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 4 4A1          | CUSIP: 576433ME3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108559 | PA      | $105880.74    | 0.08%             | 2034-05-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A         | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1439 | PA      | $1311.10      | 0.00%             | 2034-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  AUG25P 109.5 EXP 07/25/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $-250.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                           | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    271407 | PA      | $34851.93     | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1056.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $13756.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-101292.18   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $793.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-526.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $6254.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $22750.55     | 0.02%             |  |  |  | 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        |    400000 | PA      | $251046.88    | 0.19%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $41.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR15                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR15 A2        | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67562 | PA      | $55642.86     | 0.04%             | 2035-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20250710                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $9616.41      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1          | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41237 | PA      | $34940.56     | 0.03%             | 2046-10-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D            | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1666820 | PA      | $831126.15    | 0.63%             | 2036-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                  | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2084 | PA      | $2060.05      | 0.00%             | 2035-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $740.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1                 | CUSIP: 12669GUX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278019 | PA      | $160946.54    | 0.12%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A       | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       953 | PA      | $948.95       | 0.00%             | 2045-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                     | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  80000000 | PA      | $526042.85    | 0.40%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A2        | CUSIP: 12668AGT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7540 | PA      | $6979.57      | 0.01%             | 2035-11-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1       | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8639 | PA      | $7523.38      | 0.01%             | 2037-01-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/1.92272 03/10/25-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-8973.27     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                                          | FREDDIE MAC FHR 5517 FE                                 | CUSIP: 3137HKGJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    465690 | PA      | $462057.25    | 0.35%             | 2055-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $138.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/37 3.75   | CUSIP: ACI2V6MH2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    100000 | PA      | $114867.86    | 0.09%             | 2037-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20250912                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-2851.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $2976.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7       | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   4000000 | PA      | $1232112.91   | 0.93%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5295 FN 03/54 FIXED 6                       | CUSIP: 31418E3D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    203374 | PA      | $206953.23    | 0.16%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250725                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2124.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNEDIC                                                                           | UNEDIC GOVT GUARANT REGS 05/28 0.875                    | CUSIP: ACI15B6N7<br>LEI: 969500V3L9W19NIA5E82 | Long             | DBT              | NUSS              | FR        |   2000000 | PA      | $2265387.57   | 1.71%             | 2028-05-25      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BF0463 FN 03/60 FIXED 3                       | CUSIP: 3140FXQR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    145476 | PA      | $125458.41    | 0.09%             | 2060-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6314 FN 09/42 FIXED 3                       | CUSIP: 31417DAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2743 | PA      | $2485.28      | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20251204                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-8591.71     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX MAIN43 5Y ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $-83022.15    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $127.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750QG94 PIMCO FXVAN PUT EUR CZK 24.65000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    198000 | NC      | $1411.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-5577.31     | -0.00%            |  |  |  | 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        |    200000 | PA      | $154589.81    | 0.12%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $800.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90500 08/15/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2398.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $9106.83      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-170.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A6A2       | CUSIP: 251513BD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73587 | PA      | $64220.45     | 0.05%             | 2036-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $2385.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $103.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260209                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-4611.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                      | REPUBLIC OF POLAND SR UNSECURED 04/53 5.5               | CUSIP: 731011AW2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    100000 | PA      | $93299.81     | 0.07%             | 2053-04-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $276.33       | 0.00%             |  |  |  | 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        |    218454 | PA      | $218647.59    | 0.17%             | 2037-02-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-52.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022683<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -800000 | PA      | $-663551.50   | -0.50%            | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250806                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $167.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3       | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5889 | PA      | $4389.89      | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AUST 3YR BOND FUT SEP25 XSFE 20250915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         7 | NC      | $1574.84      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $1060.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 2A1       | CUSIP: 93363EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27665 | PA      | $23645.63     | 0.02%             | 2036-09-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U7MCA2 PIMCO SWAPTION 4.57 PUT USD 20250813          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    200000 | NC      | $0.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $63.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                          | MANHATTAN WEST OMW 2020 1MW A 144A                      | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $378486.52    | 0.29%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO/THE SR UNSECURED 05/27 6.259                  | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102922.69    | 0.08%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-1                                                   | LUMINENT MORTGAGE TRUST LUM 2006 1 A1                   | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144435 | PA      | $125472.39    | 0.09%             | 2036-04-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-19578.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.75000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $20547.53     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1       | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87876 | PA      | $40352.25     | 0.03%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KRATON CORP (AKA: KRATON PERFORMANCE POLYMERS INC)                               | KRATON CORP KRATON CORP                                 | CUSIP: 50077CAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $303895.51    | 0.23%             | 2027-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                                  | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 08/32 1 | CUSIP: ACI1VHWN6<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    500000 | PA      | $270847.66    | 0.21%             | 2032-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FORT CRE 2022-FL3                                                                | FORTRESS CBO INVESTMENTS LTD FORT 2022 FL3 A 144A       | CUSIP: 34706CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3316 | PA      | $3265.96      | 0.00%             | 2039-02-23      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2025.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $33314.68     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1        | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       752 | PA      | $710.67       | 0.00%             | 2034-11-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG43 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $225968.53    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US ULTRA BOND CBT SEP25 XCBT 20250919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -14 | NC      | $-68927.95    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $514.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4346 FN 10/49 FIXED 3                       | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    249804 | PA      | $216875.89    | 0.16%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |         1 | NC      | $2378.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250808                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $12.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | PEMEX LCDS SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $2063.76      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $80.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CZK SOLD USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $10262.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250806                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $98.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                              | BANCA MONTE DEI PASCHI S COVERED REGS 10/27 0.875       | CUSIP: ACI1FY8R5<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    300000 | PA      | $348114.85    | 0.26%             | 2027-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-19428.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2024-2 DAC 24-2A                                             | GROSVENOR PLACE CLO GROSV 2024 2A A 144A                | CUSIP: ACI2RYX19<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $588600.62    | 0.45%             | 2039-01-15      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-918.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $21.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $120631.22    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF JAPAN INC (DBJ)                                              | DEVELOPMENT BK OF JAPAN SR UNSECURED REGS 09/26 2.125   | CUSIP: ACI27ST43<br>LEI: 5493001HGBABMWFZUI25 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $588657.28    | 0.45%             | 2026-09-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2767.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186494 | PA      | $179177.60    | 0.14%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | CREDIT AGRICOLE SA 144A 10/29 VAR                       | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $315367.18    | 0.24%             | 2029-10-03      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 2A4          | CUSIP: 12667TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453379 | PA      | $437503.73    | 0.33%             | 2047-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2         | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13673 | PA      | $13564.72     | 0.01%             | 2035-07-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-5348.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $1414.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-8687.57     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                     | ALIMENTATION COUCHE TARD INC                            | CUSIP: 01626UU78<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    250000 | PA      | $249773.73    | 0.19%             | 2025-07-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $6977.36      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/31 0.125                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    359034 | PA      | $330526.42    | 0.25%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                           | REALKREDIT DANMARK COVERED REGS 10/50 1                 | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.15         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $55030.39     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-OAT FUTURE   SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -80 | NC      | $45638.99     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.14         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $67.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 10/28 VAR              | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    400000 | PA      | $401273.43    | 0.30%             | 2028-10-22      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| OFSI BSL X LTD                                                                   | OFSI FUND LTD OFSBS 2021 10A AR 144A                    | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500592.84    | 0.38%             | 2034-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                                  | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    282000 | PA      | $268181.83    | 0.20%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 1.75000 06/16/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-175150.79   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.50000 03/19/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $5609.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3243 FN 02/50 FIXED VAR                     | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74230 | PA      | $67673.02     | 0.05%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $219.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $6879.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                  | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    680170 | PA      | $621333.65    | 0.47%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-NC1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 NC1 A2A        | CUSIP: 81378AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4488 | PA      | $2188.72      | 0.00%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1190.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                               | FAIRFAX FINL HLDGS LTD SR UNSECURED REGS 03/28 2.75     | CUSIP: ACI11PCM5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $117187.48    | 0.09%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                       | BONOS Y OBLIG DEL ESTADO SR UNSECURED 05/28 2.4         | CUSIP: ACI2T2CQ5<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   1050000 | PA      | $1245370.06   | 0.94%             | 2028-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $166.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARVEST CLO XXI DAC 21A                                                          | HARVEST CLO HARVT 21A A2R 144A                          | CUSIP: ACI1WSV36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    297486 | PA      | $340067.73    | 0.26%             | 2031-07-15      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-10309.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $29.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.10000 09/02/25-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-47684.83    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     55600 | PA      | $541381.57    | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1051.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 03/19/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $130033.25    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                      | REPUBLIC OF SERBIA SR UNSECURED 144A 09/36 2.05         | CUSIP: ACI20JFB9<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    100000 | PA      | $89652.65     | 0.07%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                          | GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25         | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    150000 | PA      | $144878.91    | 0.11%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 2A1               | CUSIP: 125438AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39798 | PA      | $34030.57     | 0.03%             | 2047-05-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $216.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W12                                                    | FANNIEMAE WHOLE LOAN FNW 2004 W12 1A1                   | CUSIP: 31394A6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6441 | PA      | $6698.02      | 0.01%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052680<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -660000 | PA      | $-659410.73   | -0.50%            | 2054-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $337.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                               | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A        | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481126 | PA      | $411361.78    | 0.31%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-87.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/25 4.25    | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199461.37    | 0.15%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUXL 30Y BND SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -2 | NC      | $5298.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-6937.59     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.00000 09/17/25-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1221.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF JAPAN INC (DBJ)                                              | DEVELOPMENT BK OF JAPAN DEVELOPMENT BK OF JAPAN         | CUSIP: 25159MBP1<br>LEI: 5493001HGBABMWFZUI25 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $300118.61    | 0.23%             | 2027-08-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2690.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-30.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1        | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27512 | PA      | $19198.71     | 0.01%             | 2036-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                                       | GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1                  | CUSIP: 36228F4P8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       999 | PA      | $980.23       | 0.00%             | 2034-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $499.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-1416.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED REGS 01/32 2                       | CUSIP: ACI1J8690<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $95661.37     | 0.07%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250721                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2534.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R4N4 PIMCO FXVAN PUT EUR CZK 24.60000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    560740 | NC      | $2829.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-619.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI8811 FR 06/54 FIXED 6               | CUSIP: 3133WFYG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    671188 | PA      | $686573.92    | 0.52%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/44 4.125                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3650000 | PA      | $3345025.38   | 2.53%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-280.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ1916 FR 08/54 FIXED 6               | CUSIP: 3133CSDV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1057146 | PA      | $1089238.47   | 0.82%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR5                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1         | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3737 | PA      | $3333.00      | 0.00%             | 2035-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-254.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A      | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159850 | PA      | $161148.78    | 0.12%             | 2055-02-16      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8439 FR 06/54 FIXED 6               | CUSIP: 3132DWLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40423 | PA      | $41122.31     | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                             | NORDEA KREDIT REALKREDIT COVERED 10/50 1.5              | CUSIP: BH3VWJII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.16         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-1138.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.89750 06/19/25-1Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $53730.16     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-17486.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-632.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1177.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 06/51 0.7                   | CUSIP: BP5D0MII4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  14000000 | PA      | $61184.68     | 0.05%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                      | REPUBLIC OF POLAND BONDS 02/35 5.375                    | CUSIP: 857524AH5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    100000 | PA      | $102058.90    | 0.08%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |        69 | PA      | $8.14         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $1724.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $1006.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006 AR7                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A         | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67702 | PA      | $61376.13     | 0.05%             | 2046-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2038.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $10239.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21200000 | PA      | $20765602.25  | 15.72%            | 2054-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2          | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       268 | PA      | $266.62       | 0.00%             | 2034-04-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                   | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     59840 | PA      | $40731.10     | 0.03%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032682<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -800000 | PA      | $-720133.06   | -0.55%            | 2054-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-7984.70     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $802.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                                 | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A           | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123417 | PA      | $118577.16    | 0.09%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250721                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1049.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1B3362 FH 04/37 FLOATING VAR          | CUSIP: 3128JNTU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8385 | PA      | $8580.26      | 0.01%             | 2037-04-01      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/2.00000 06/18/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $4847.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.22800 08/30/24-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $17616.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                               | FANNIE MAE FNR 2004 11 A                                | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       283 | PA      | $282.64       | 0.00%             | 2034-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $43.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-159.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $1482.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2021-2 DAC                                             | ROCKFORD TOWER EUROPE CLO RFTE 2021 2A A 144A           | CUSIP: ACI2PTDF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    600000 | PA      | $704473.39    | 0.53%             | 2035-01-24      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 06/54 2.2                   | CUSIP: ACI2PXFN5<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  56000000 | PA      | $342245.34    | 0.26%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-7827.08     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1833.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A     | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70286 | PA      | $57564.61     | 0.04%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                                        | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A AR 144A          | CUSIP: ACI2VQ1V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    490563 | PA      | $576172.34    | 0.44%             | 2033-08-15      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-21.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $1342.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $924.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20250814                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $559.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 01/31 VAR              | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    400000 | PA      | $410291.91    | 0.31%             | 2031-01-24      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA6106 FN 06/50 FIXED 4                       | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     99743 | PA      | $93734.82     | 0.07%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $2343.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                                          | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    566272 | PA      | $565115.50    | 0.43%             | 2054-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/28 5.52        | CUSIP: 86562MCR9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $309010.22    | 0.23%             | 2028-01-13      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $269.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HLDGS SANTANDER UK GROUP HLDGS       | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $199807.38    | 0.15%             | 2030-09-11      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV1 A3A 144A  | CUSIP: 17329PAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    454614 | PA      | $371196.02    | 0.28%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.52500 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $9031.15      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $464.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL STATE OF ISRAEL                         | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    200000 | PA      | $202782.38    | 0.15%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-4364.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.96478 10/05/22-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $84217.51     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9MOA7 PIMCO SWAPTION 3.605 CALL USD 202507          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-941.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.00000 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-24659.79    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1             | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9932 | PA      | $9101.54      | 0.01%             | 2044-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-18369.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-OA4                                                  | COUNTRYWIDE HOME LOANS CWHL 2006 OA4 A2                 | CUSIP: 126694F29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900138 | PA      | $258866.64    | 0.20%             | 2046-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.06500 06/26/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3876.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4             | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $71696.39     | 0.05%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9O2A7 PIMCO SWAPTION 3.895 PUT USD 2025072          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -475000 | NC      | $-1062.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20250708                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $51.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                   | AUSTRALIAN GOVERNMENT BONDS 05/30 2.5                   | CUSIP: ACI137Q48<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    400000 | PA      | $251998.53    | 0.19%             | 2030-05-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.25000 09/21/22-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-19857.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.5000 06/19/24-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $31371.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GCAT TRUST 2022-INV2                                                             | GCAT GCAT 2022 INV2 A5 144A                             | CUSIP: 36168FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328440 | PA      | $279175.69    | 0.21%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-8                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 8 3A4          | CUSIP: 05946XZ48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10876 | PA      | $11025.66     | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                                | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 A 144A     | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    225339 | PA      | $225208.41    | 0.17%             | 2038-11-15      | Floating      | 5.65%                 | 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        |  47000000 | PA      | $328574.08    | 0.25%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-OPT4                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT4 M6        | CUSIP: 17307GUW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466328 | PA      | $447335.55    | 0.34%             | 2035-07-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-SCHATZ FUT   SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -16 | NC      | $3515.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $464.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 1A1        | CUSIP: 17307G2Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75978 | PA      | $72947.19     | 0.06%             | 2035-10-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-2727.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-56.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/55 4.625                             | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1947500.00   | 1.47%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $560.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80611 03/03/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4179.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-48.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1722.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8703 FN 05/49 FIXED 3.5                     | CUSIP: 3140HAU57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55440 | PA      | $51203.82     | 0.04%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H062685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4400000 | PA      | $4508823.97   | 3.41%             | 2054-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1        | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12139 | PA      | $5513.31      | 0.00%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1          | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1293 | PA      | $1262.89      | 0.00%             | 2034-02-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-275.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1226.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $3622.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-50965.97    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC 01/28 1                          | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $194292.85    | 0.15%             | 2028-01-12      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST                                    | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3     | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     66720 | PA      | $62517.01     | 0.05%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20250708                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-166.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-529.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED REGS 07/31 2.124                   | CUSIP: ACI1D66B5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $98133.89     | 0.07%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-5                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 5 1A2         | CUSIP: 07384MWG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1750 | PA      | $1691.83      | 0.00%             | 2033-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A1        | CUSIP: 92927XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20561 | PA      | $18113.40     | 0.01%             | 2037-06-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-813.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB1123 FN 06/54 FIXED 6                       | CUSIP: 3140AAG92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1798867 | PA      | $1830635.66   | 1.39%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    110399 | PA      | $103021.19    | 0.08%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.62000 09/02/25-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-94415.22    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $100.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9G7A9 PIMCO SWAPTION 3.715 CALL USD 202507          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-2067.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/1.79544 03/10/25-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-10018.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R3Y1 PIMCO FXVAN PUT EUR CZK 24.55000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    508000 | NC      | $2160.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A7                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A7 2A2              | CUSIP: 46629DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48445 | PA      | $37024.16     | 0.03%             | 2037-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1325.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8486 G2 12/52 FIXED 3                    | CUSIP: 36179XNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    441125 | PA      | $390776.95    | 0.30%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20250812                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-1001.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250814                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $281.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2059.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9MNA8 PIMCO SWAPTION 3.955 PUT USD 2025072          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-237.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 04/33 2                          | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $90428.92     | 0.07%             | 2033-04-14      | Fixed         | 2.00%                 | 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        |    272000 | NC      | $1417.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $687.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2023-NQM4 TRUST                                                              | MFRA TRUST MFRA 2023 NQM4 A1 144A                       | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329648 | PA      | $331536.64    | 0.25%             | 2068-12-25      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                          | BCAP LLC TRUST BCAP 2011 RR4 7A1 144A                   | CUSIP: 05533XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283711 | PA      | $158668.98    | 0.12%             | 2037-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20250827                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1169.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.25000 09/17/25-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $241222.04    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH KOREA GOVT AS BP GST                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-7827.55     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUER WIEDERAUFBAU (KFW)                                            | KFW GOVT GUARANT REGS 12/27 0.0000                      | CUSIP: BM99XKII4<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |   1200000 | PA      | $1345181.95   | 1.02%             | 2027-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                                 | TREASURY CORP VICTORIA LOCAL GOVT G 12/32 4.25          | CUSIP: ACI06FV19<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    300000 | PA      | $195432.67    | 0.15%             | 2032-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG44 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1895046.06   | 1.43%             |  |  |  | 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        |    200000 | PA      | $151504.02    | 0.11%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-13266.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM3 TRUST                                                             | PRP ADVISORS, LLC PRPM 2023 NQM3 A1 144A                | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381911 | PA      | $384424.23    | 0.29%             | 2068-11-25      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 11/33 VAR                | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    300000 | PA      | $371031.53    | 0.28%             | 2033-11-15      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H032670<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4546339.40   | 3.44%             | 2054-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $8415.02      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR ULTRA FUT SEP25 XCBT 20250919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        68 | NC      | $172029.80    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30100000 | PA      | $31036393.84  | 23.49%            | 2054-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $12211.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV                                 | ORGANON + CO/ORG SR SECURED 144A 04/28 4.125            | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $192479.40    | 0.15%             | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-18283.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR         | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $313210.61    | 0.24%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1         | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1786 | PA      | $1662.55      | 0.00%             | 2033-02-25      | Floating      | 6.25%                 | 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        | 283000000 | PA      | $1766605.47   | 1.34%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 3 2A            | CUSIP: 1266714M5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53476 | PA      | $52235.35     | 0.04%             | 2034-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R5K9 PIMCO FXVAN PUT EUR HUF 399.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    251227 | NC      | $1515.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $160.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $970.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CCS USD R USSOFR/JPYMUTKCALM -46.95 CBK                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |         1 | NC      | $-18196.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.86166 12/02/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-7203.20     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CZK SOLD USD 20250822                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $675.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-777.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                     | REPUBLIC OF CHILE REPUBLIC OF CHILE                     | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    200000 | PA      | $203150.00    | 0.15%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR NOTE (CBT)SEP25 XCBT 20250919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        55 | NC      | $104766.75    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1       | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142279 | PA      | $116626.04    | 0.09%             | 2036-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 JF          | CUSIP: 38383KVX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    482416 | PA      | $482332.37    | 0.37%             | 2074-04-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.00000 06/19/24-20Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-518940.11   | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1965.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $4302.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3549.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060683<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3600000 | PA      | $-3655089.07  | -2.77%            | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020679<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -12200000 | PA      | $-9660647.47  | -7.31%            | 2054-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE BACKED SEC 2007-1                                         | MERRILL LYNCH MORTGAGE BACKED MLMBS 2007 1 2A1          | CUSIP: 59024NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2868 | PA      | $2517.76      | 0.00%             | 2037-04-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20250911                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-470.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $3370.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                   | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/51 1.75      | CUSIP: BMZ8B6II2<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     50000 | PA      | $17900.40     | 0.01%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    175000 | PA      | $129479.49    | 0.10%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9L4A1 PIMCO SWAPTION 3.6525 CALL USD 20250          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-2176.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY2                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY2 1A1        | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12143 | PA      | $11037.74     | 0.01%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $191.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1               | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116428 | PA      | $107756.30    | 0.08%             | 2036-02-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI5489 FR 05/54 FIXED 6               | CUSIP: 3133WCC28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1509857 | PA      | $1535973.38   | 1.16%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-646.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3844.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9HMA0 PIMCO SWAPTION 4.019 PUT USD 2025070          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-4.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-140.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1108.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/31 5.375  | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    200000 | PA      | $207561.61    | 0.16%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-519.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-8                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 5A1          | CUSIP: 22541NX20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        74 | PA      | $76.24        | 0.00%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SINGAPORE GOVT                                                                   | SINGAPORE GOVERNMENT BONDS 03/35 2.75                   | CUSIP: ACI2V7HS2<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |    580000 | PA      | $477321.31    | 0.36%             | 2035-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20250912                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-289.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-2                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2024 2 A1 144A            | CUSIP: 034942AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389906 | PA      | $391929.81    | 0.30%             | 2069-01-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                  | PHILIP MORRIS INTL INC PHILIP MORRIS INTL INC           | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    150000 | PA      | $154549.94    | 0.12%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $81.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/1.69500 06/30/22-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-408199.69   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-146.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CCS USD R USSOFR/JPYMUTKCALM-41 CBK                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |         1 | NC      | $16147.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 03/19/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $508741.39    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP5145 FN 08/42 FIXED 3                       | CUSIP: 3138M8WF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4826 | PA      | $4375.15      | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $2225.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062671<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -900000 | PA      | $-929369.57   | -0.70%            | 2054-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS MYR R 3.50000 03/19/25-5Y BPS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $2864.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $557976.71    | 0.42%             | 2054-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-19189.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 4 A1A 144A          | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    623913 | PA      | $627247.48    | 0.47%             | 2064-10-27      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 04/42 2.875                      | CUSIP: ACI1Z3VF1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $73486.45     | 0.06%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE3                                                             | GSAMP TRUST GSAMP 2006 HE3 A2D                          | CUSIP: 36244KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328638 | PA      | $315578.95    | 0.24%             | 2046-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1        | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2803 | PA      | $2638.19      | 0.00%             | 2045-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.25000 06/18/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $3826.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EGP SOLD USD 20250728                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |         1 | NC      | $490.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QATARENERGY                                                                      | QATAR ENERGY SR UNSECURED 144A 07/31 2.25               | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |    200000 | PA      | $175436.00    | 0.13%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-18                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 18 A3                  | CUSIP: 126694EK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30375 | PA      | $15174.20     | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $158.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $329.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $3844.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20250808                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-613.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/30 8           | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  13000000 | PA      | $722096.17    | 0.55%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2           | CUSIP: 17307GXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1689 | PA      | $1651.56      | 0.00%             | 2035-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $88.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-37559.85    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20250730                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-2959.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U9L3A2 PIMCO SWAPTION 4.0525 PUT USD 202507          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-72.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2006-AA2                                                          | BCAP LLC TRUST BCAP 2006 AA2 A1                         | CUSIP: 05530MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84991 | PA      | $78285.32     | 0.06%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2               | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92378 | PA      | $42299.79     | 0.03%             | 2036-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-117.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                                     | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 05/26 5.75   | CUSIP: 147918AB2<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |    200000 | PA      | $202053.48    | 0.15%             | 2026-05-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A        | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113273 | PA      | $94694.70     | 0.07%             | 2036-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                             | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    543211 | PA      | $69753.08     | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-375.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                                   | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS            | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     58657 | PA      | $80266.62     | 0.06%             | 2044-06-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS MYR P 3.75000 09/18/24-10Y BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $-6999.12     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $84.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 1A1          | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23102 | PA      | $22023.73     | 0.02%             | 2036-02-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1       | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43070 | PA      | $39728.81     | 0.03%             | 2046-03-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 5YR NOTE (CBT) SEP25 XCBT 20250930                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       116 | NC      | $138958.61    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H030682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3800000 | PA      | $3360862.16   | 2.54%             | 2054-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20250709                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $-962.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/1.2500 06/16/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-5816.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $61130.30     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL BILLS 11/25 0.00000                    | CUSIP: ACI2S28H1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  50000000 | PA      | $29912.22     | 0.02%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                      | FRANCE (GOVT OF) BONDS REGS 02/28 0.75                  | CUSIP: ACI25TX22<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    800000 | PA      | $909227.12    | 0.69%             | 2028-02-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | JPN 10Y BOND(OSE) SEP25 XOSE 20250912                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |       -30 | NC      | $-87208.43    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| OBX TRUST 2018-1                                                                 | ONSLOW BAY FINANCIAL LLC OBX 2018 1 A2 144A             | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52754 | PA      | $51774.25     | 0.04%             | 2057-06-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 10/25 0.125                             | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    123622 | PA      | $123195.91    | 0.09%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                                      | ICG US CLO LTD ICG 2021 3A AR 144A                      | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500351.89    | 0.38%             | 2034-10-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 04/29 3.875                             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    312190 | PA      | $340905.94    | 0.26%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-6282.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1039.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2        | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       886 | PA      | $842.34       | 0.00%             | 2034-03-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-5R                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5R A5            | CUSIP: 12640QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103201 | PA      | $21967.12     | 0.02%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                    | MALAYSIA GOVERNMENT BONDS 04/31 2.632                   | CUSIP: ACI1S5B09<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    700000 | PA      | $160296.09    | 0.12%             | 2031-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1              | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       655 | PA      | $641.04       | 0.00%             | 2035-02-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                                    | JONES LANG LASALLE FIN BV 4/A2 07/25 ZCP                | CUSIP: 48002AUE2<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $249552.18    | 0.19%             | 2025-07-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.00000 06/20/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-696.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3761.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.00000 03/19/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-67336.50    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2017-1A                                                             | VOYA CLO LTD VOYA 2017 1A A1R 144A                      | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     52147 | PA      | $52180.20     | 0.04%             | 2030-04-17      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-13436.43    | -0.01%            |  |  |  | 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        |   3100000 | PA      | $2955171.88   | 2.24%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20250911                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-431.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BBAM EUROPEAN CLO I DAC 1A                                                       | BBAM EUROPEAN CLO BBAME 1A AR 144A                      | CUSIP: ACI2M3430<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $587438.92    | 0.44%             | 2034-07-22      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20250911                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-1679.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1059.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-20827.41    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 2YR NOTE (CBT) SEP25 XCBT 20250930                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        23 | NC      | $21622.43     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1      | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8177 | PA      | $8243.60      | 0.01%             | 2045-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| SINGAPORE GOVT                                                                   | SINGAPORE GOVERNMENT BONDS 07/39 2.375                  | CUSIP: ACI1CY252<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |    117000 | PA      | $92581.98     | 0.07%             | 2039-07-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250729                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $225.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20250911                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-844.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BF0334 FN 01/59 FIXED 3.5                     | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    263055 | PA      | $235420.66    | 0.18%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9            | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1200000 | PA      | $345261.26    | 0.26%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-23561.90    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND FUTURE  SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -67 | NC      | $80802.33     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3          | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $202354.60    | 0.15%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-197.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $68.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U6F1A0 PIMCO SWAPTION 4.33 PUT USD 20250925          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |   -400000 | NC      | $-124.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-19208.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1          | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2181 | PA      | $1922.05      | 0.00%             | 2035-09-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                  | PHILIP MORRIS INTL INC PHILIP MORRIS INTL INC           | CUSIP: ACI2PD765<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    100000 | PA      | $121712.93    | 0.09%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                           | CVS CORPORATION 07/25 ZCP                               | CUSIP: 12665JUE7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249522.38    | 0.19%             | 2025-07-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $7.66         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-93.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-45.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR4                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A3         | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127572 | PA      | $113120.22    | 0.09%             | 2047-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1              | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38438 | PA      | $29613.48     | 0.02%             | 2035-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21845 | PA      | $21009.19     | 0.02%             | 2035-09-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $2151.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC3060 FN 09/54 FIXED 6                       | CUSIP: 3140AQMJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    349075 | PA      | $355158.56    | 0.27%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP PACIFICORP                                   | CUSIP: 695114DB1<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    150000 | PA      | $152996.04    | 0.12%             | 2029-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                                               | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A        | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    517009 | PA      | $440751.07    | 0.33%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (5 YEAR ISSUE) BONDS 06/29 0.4                    | CUSIP: ACI2QPV94<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 110000000 | PA      | $748928.86    | 0.57%             | 2029-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $9626.42      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.25000 06/21/23-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $31580.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB0770 FN 03/54 FIXED 6                       | CUSIP: 3140A92C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1332272 | PA      | $1359496.86   | 1.03%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                       | ONTARIO (PROVINCE OF) SR UNSECURED 06/33 3.65           | CUSIP: 68333ZAY3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    600000 | PA      | $443072.80    | 0.34%             | 2033-06-02      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                                  | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/34 1 | CUSIP: ACI1KDG39<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    300000 | PA      | $153415.34    | 0.12%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3972 FN 07/50 FIXED VAR                     | CUSIP: 3140X7MW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    119576 | PA      | $109204.20    | 0.08%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.50000 12/18/24-1Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $22166.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08631 FG 03/45 FIXED 3               | CUSIP: 3128MJVZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    138912 | PA      | $124268.26    | 0.09%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  AUG25C 112.5 EXP 07/25/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -6 | NC      | $-3187.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                             | JYSKE REALKREDIT A/S COVERED 10/50 1                    | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.24         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA7802 FN 01/54 FIXED 6                       | CUSIP: 3140A8U42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1091923 | PA      | $1114061.23   | 0.84%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-22641.26    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | KSA SUKUK LTD SR UNSECURED 144A 10/28 5.268             | CUSIP: 48266XAF2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | KY        |    200000 | PA      | $205295.25    | 0.16%             | 2028-10-25      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.9588* 02/06/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2815.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XI DAC 21-1                                               | CORDATUS CLO PLC CORDA 11A AR 144A                      | CUSIP: ACI1W60L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    159603 | PA      | $188122.23    | 0.14%             | 2031-10-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP7553 FN 09/42 FIXED 3                       | CUSIP: 3138MBMB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21667 | PA      | $19622.62     | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 05/32 VAR                              | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $134614.52    | 0.10%             | 2032-05-28      | Floating      | 3.04%                 | Yes           |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS STATIC 2024-1 LTD                                         | GOLUB CAPITAL PARTNERS STATIC GOST 2024 1A A1 144A      | CUSIP: 381929AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    316614 | PA      | $316614.46    | 0.24%             | 2033-04-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 22A         | CUSIP: 07384MN32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3365 | PA      | $3266.34      | 0.00%             | 2034-05-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-5662.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND OPTION  AUG25C 132.5 EXP 07/25/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -3 | NC      | $-494.74      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | SOLD HUF BOUGHT USD 20250827                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-1554.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $55900.94     | 0.04%             |  |  |  | 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        |  60000000 | PA      | $335038.37    | 0.25%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.2500 06/21/23-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-5296.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2005-1F                                            | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2005 1F 1A1        | CUSIP: 86789MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107697 | PA      | $93373.96     | 0.07%             | 2035-12-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1B 144A      | CUSIP: 78449XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25477 | PA      | $25524.54     | 0.02%             | 2053-07-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 07/30 1.75                       | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    200000 | PA      | $202600.44    | 0.15%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.34250 01/10/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $15651.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP7739 FN 11/42 FIXED 3                       | CUSIP: 3138MBS56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7658 | PA      | $6928.91      | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.12982 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9419.54     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-35                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 35 A               | CUSIP: 313398VT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2873 | PA      | $2856.88      | 0.00%             | 2031-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO120626                              | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 262000000 | PA      | $138605.94    | 0.10%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750R396 PIMCO FXVAN CALL USD TRY 53.50000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |   -213000 | NC      | $-5775.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                                 | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A          | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180928 | PA      | $164518.62    | 0.12%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    861464 | PA      | $823573.34    | 0.62%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | PROVINCE OF QUEBEC SR UNSECURED 09/33 3.6               | CUSIP: 74814ZFS7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    700000 | PA      | $513786.43    | 0.39%             | 2033-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                                         | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                  | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    154009 | PA      | $154049.14    | 0.12%             | 2030-10-24      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| KOMMUNALBANKEN AS                                                                | KOMMUNALBANKEN AS SR UNSECURED REGS 01/27 1.9           | CUSIP: ACI22XFG5<br>LEI: I7ETN0QQO2AHZZGHJ389 | Long             | DBT              | CORP              | NO        |    300000 | PA      | $192386.76    | 0.15%             | 2027-01-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250721                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $13.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                   | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 194327440 | PA      | $1397354.70   | 1.06%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U7LXA1 PIMCO SWAPTION 4.57 PUT USD 20250813          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   7500000 | NC      | $8.25         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20250908                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $19249.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A        | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1493 | PA      | $1480.70      | 0.00%             | 2045-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS SGD SIBSORA/2.75000 09/18/24-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $-170204.67   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 4.75   | CUSIP: 80413TBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    300000 | PA      | $302534.03    | 0.23%             | 2028-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/39 7       | CUSIP: ACI2PNWZ1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1400000 | PA      | $421640.08    | 0.32%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB0829 FN 04/54 FIXED 6                       | CUSIP: 3140A94P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    398668 | PA      | $409394.92    | 0.31%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20250818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1586.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-138.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5             | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37356 | PA      | $35884.99     | 0.03%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $291.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-14594.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-2186.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20250710                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $14500.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1845.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2602.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4530 | PA      | $4717.18      | 0.00%             | 2034-11-01      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                             | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        10 | PA      | $1.10         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/2.02754 12/10/24-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-4040.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $114.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90000 09/02/25-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-48146.35    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A    | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61260 | PA      | $51028.95     | 0.04%             | 2036-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-17.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $981.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                             | NEW S WALES TREASURY CRP LOCAL GOVT G 03/33 2           | CUSIP: ACI1KFVM5<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    200000 | PA      | $110568.37    | 0.08%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-8835.06     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20250818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1354.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250731                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $289.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE GOVT                                                                   | SINGAPORE GOVERNMENT SR UNSECURED REGS 06/54 3.25       | CUSIP: ACI2P78N0<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |    777000 | PA      | $727448.36    | 0.55%             | 2054-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD HUF BOUGHT USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-573.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 63 3A1        | CUSIP: 12668AXF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67473 | PA      | $62734.16     | 0.05%             | 2035-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 08/28 VAR                | CUSIP: 225401AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    300000 | PA      | $311774.36    | 0.24%             | 2028-08-11      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-2819.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $-521.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1218.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                      | REPUBLIC OF POLAND SR UNSECURED REGS 02/33 3.875        | CUSIP: ACI2CX7L2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    200000 | PA      | $247122.27    | 0.19%             | 2033-02-14      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $2401.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.75000 03/19/25-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-704.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA ROMANIA                                         | CUSIP: ACI2P7GW1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $111026.56    | 0.08%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $-329.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A3        | CUSIP: 12668ALV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7535 | PA      | $6741.36      | 0.01%             | 2035-11-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250814                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $135.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-22330.38    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-15246.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2003 A2 3A1              | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       589 | PA      | $572.07       | 0.00%             | 2033-11-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $2069.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SHORT EURO-BTP FU SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -47 | NC      | $9753.29      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | EURO-BUND OPTION  AUG25P 129 EXP 07/25/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -3 | NC      | $-1201.51     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                                        | CANADIAN IMPERIAL BANK COVERED 144A 01/30 4.876         | CUSIP: 13607PVU5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    900000 | PA      | $930297.21    | 0.70%             | 2030-01-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                             | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 03/34 1.75   | CUSIP: ACI1ZX259<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    400000 | PA      | $208112.09    | 0.16%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A9        | CUSIP: 02147BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38196 | PA      | $17059.87     | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                      | REPUBLIC OF POLAND REPUBLIC OF POLAND                   | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    200000 | PA      | $201228.45    | 0.15%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-6801.44     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                                           | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A           | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       275 | PA      | $272.07       | 0.00%             | 2031-10-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $75.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | ATHENE GLOBAL FUNDING ATHENE GLOBAL FUNDING             | CUSIP: 04685A3T6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203417.03    | 0.15%             | 2027-03-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-21M                                            | BX TRUST BX 2021 21M A 144A                             | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119007 | PA      | $119003.04    | 0.09%             | 2036-10-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-19

**Name of Applicant:** PIMCO Variable Insurance Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer