# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007259
**Filing Date:** 2026-5
**Character Count:** 384831
**Document Hash:** 73c221cabfeb00db72ca3af42e31835c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007259.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007259

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043448

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

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

## Series and Classes Contracts Data

### PIMCO StocksPLUS Short Fund (Series ID: S000009706)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026642 | Institutional | PSTIX           |
| C000031215 | A             | PSSAX           |
| C000031217 | C             | PSSCX           |
| C000064154 | I-2           | PSPLX           |
| C000200451 | I-3           | PSNNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO StocksPLUS Short Fund

- **b. EDGAR series identifier (if any):** S000009706

- **c. LEI of Series:** P42MUQ6KRRELZQZE1595

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $392155433.99

**Total Liabilities:** $299454208.37

**Net Assets:** $92701225.62

**Cash Not Reported:** $5566062.68

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -14443.198700 | **1-Year:** 15530.288000 | **5-Year:** 22426.941300 | **10-Year:** 639.760700 | **30-Year:** -3159.661600

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

- **3-Month:** 24.955600 | **1-Year:** 1856.729900 | **5-Year:** 8137.479600 | **10-Year:** 1486.422100 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000031215 | -0.96%               | 1.46%                | 4.64%                |
| Class ID C000031217 | -1.05%               | 1.42%                | 4.37%                |
| Class ID C000064154 | -0.92%               | 1.39%                | 4.72%                |
| Class ID C000200451 | -0.92%               | 1.40%                | 4.59%                |
| Class ID C000026642 | -0.76%               | 1.38%                | 4.69%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $229469.28               | $24086.84                                  |
| Month 2  | $354184.89               | $-45299.92                                 |
| Month 3  | $-111777.88              | $-1408738.28                               |

**Designated Index Information**

- **Index Name:** S&P 500 Index

- **Index Identifier:** SPTR

### 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                                                 | BOUGHT ILS SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $504.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 697698 GN 12/38 FIXED 5                     | CUSIP: 36296QDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58569 | PA      | $59773.62     | 0.06%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD COP BOUGHT USD 20260818                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-3027.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-2030.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT JPY SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $211.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                   | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2A      | CUSIP: 81377GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1191677 | PA      | $384278.97    | 0.41%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD NOK BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-698.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT THB SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-6.03        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 973231 FN 10/36 FIXED 6                     | CUSIP: 31414QVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        410 | PA      | $418.73       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C       | CUSIP: 59024FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     899963 | PA      | $207304.21    | 0.22%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 711409 GN 05/39 FIXED 5                     | CUSIP: 36297GKW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2479 | PA      | $2532.58      | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT MXN SOLD USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $621.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AH9109 FN 04/41 FIXED 4.5                   | CUSIP: 3138ABDP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3616 | PA      | $3580.39      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AD2336 FN 02/40 FIXED 4.5                   | CUSIP: 31418PS22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11153 | PA      | $11043.96     | 0.01%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4   | SECURITIZED ASSET BACKED RECEI SABR 2005 FR4 M2       | CUSIP: 81375WFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1017470 | PA      | $957794.96    | 1.03%             | 2036-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA - PETROPERU SA                | PETROLEOS DEL PERU SA SR UNSECURED REGS 06/47 5.625   | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |     200000 | PA      | $140520.00    | 0.15%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 780365 FN 06/34 FLOATING VAR                | CUSIP: 31404V6A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3782 | PA      | $3883.39      | 0.00%             | 2034-06-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2295.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.97500 03/21/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1203.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT IDR SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-53.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 752191 FN 11/33 FIXED 5.5                   | CUSIP: 31403LUQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17507 | PA      | $17662.08     | 0.02%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $83.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A47673 FG 11/35 FIXED 5             | CUSIP: 3128K8Q25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1018 | PA      | $1029.38      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD THB BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $252.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.80902 12/02/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $21092.67     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $790.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A     | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      98568 | PA      | $99101.99     | 0.11%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT IDR SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $20.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT CAD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-4069.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 256151 FN 03/36 FIXED 5.5                   | CUSIP: 31371MQC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        804 | PA      | $830.00       | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT BRL SOLD USD 20260702                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2082.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 704480 GN 04/39 FIXED 5                     | CUSIP: 36296XUD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24018 | PA      | $24532.33     | 0.03%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT NOK SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $699.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                           | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6     | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     300000 | PA      | $88026.67     | 0.09%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE               | CUSIP: 01F060659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -18570000 | PA      | $-18907884.49 | -20.40%           | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | ZCS BRL 12.975 12/16/25-01/02/29 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-17461.52    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR GBP SONIO/4.32000 10/20/23-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $197.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-147.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G03355 FG 08/37 FIXED 5             | CUSIP: 3128M5BY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17053 | PA      | $17265.35     | 0.02%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $363.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 12/17/25-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9152.67      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B    | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     441838 | PA      | $437628.67    | 0.47%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-126.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                      | TITULOS DE TESORERIA BONDS 05/42 9.25                 | CUSIP: ACI22YPY3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   26500000 | PA      | $5414.62      | 0.01%             | 2042-05-28      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CHF BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $192.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT JPY SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-14.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 3.00000 09/16/26-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $77606.27     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 01/02/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $54.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | US 10YR NOTE (CBT)JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         51 | NC      | $-118790.42   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $718.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL Q53756 FG 01/48 FIXED 4             | CUSIP: 3132XWE64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49057 | PA      | $47069.38     | 0.05%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 05/07/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-913.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-84.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 919658 FN 09/37 FIXED 6                     | CUSIP: 31412AWT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6814 | PA      | $7012.59      | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD NOK BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $15.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 3MO EURO EURIBOR  JUN27 IFLL 20270614                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         -1 | NC      | $1833.65      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AB2858 FN 01/39 FIXED 5.5                   | CUSIP: 31416YE87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     143934 | PA      | $147545.75    | 0.16%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 888820 FN 07/37 FIXED VAR                   | CUSIP: 31410GPD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80924 | PA      | $83554.99     | 0.09%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 12/18/24-7Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6888.53     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 962068 FN 03/38 FIXED 6                     | CUSIP: 31414CJM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32227 | PA      | $33595.00     | 0.04%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 3 MONTH SOFR FUT  MAR27 XCME 20270615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -1 | NC      | $1136.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT MXN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1652.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT JPY SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1430.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317U9Y4A3 PIMCO FPPSWAPTION 4.485 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1200000 | NC      | $61615.44     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 990517 FN 09/38 FIXED 6                     | CUSIP: 31415VK61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1390 | PA      | $1446.27      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CNH BOUGHT USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-41.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 256715 FN 05/27 FIXED 6                     | CUSIP: 31371NDU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        918 | PA      | $935.90       | 0.00%             | 2027-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                  | TREASURY BILL 04/26 0.00000                           | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2839000 | PA      | $2837291.86   | 3.06%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581      | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     450000 | PA      | $463018.70    | 0.50%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 969776 FN 02/38 FIXED 5.5                   | CUSIP: 31414L2H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13956 | PA      | $14400.29     | 0.02%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST LOAN SECURITIZATION TRUST 2007-1          | EQUIFIRST LOAN SECURITIZATION EQLS 2007 1 A1 144A     | CUSIP: 29445UAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     544293 | PA      | $512628.58    | 0.55%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 06/17/26-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4832.54      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS AUD 4.50000 06/18/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-18240.65    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 735896 FN 09/35 FIXED VAR                   | CUSIP: 31402RRR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7017 | PA      | $7364.36      | 0.01%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-5478.18     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT CLP SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-95.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                  | TREASURY BILL 05/26 0.00000                           | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     897000 | PA      | $892016.21    | 0.96%             | 2026-05-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1150000 | PA      | $1155476.48   | 1.25%             | 2056-04-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-958.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 2A3     | CUSIP: 02150JAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1285509 | PA      | $512941.19    | 0.55%             | 2037-05-25      | Fixed         | 6.00%                 | 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        |   70000000 | PA      | $342234.96    | 0.37%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS AUD 4.50000 09/20/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-69365.57    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.79250 11/19/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-67.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 922041 FN 02/37 FIXED 6                     | CUSIP: 31412DLW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130108 | PA      | $136539.32    | 0.15%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AE0508 FN 10/40 FIXED VAR                   | CUSIP: 31419AR66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2516 | PA      | $2491.81      | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT TWD SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-196.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD COP BOUGHT USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-2855.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 538719 GN 05/35 FIXED 5                     | CUSIP: 36212NPC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $345.53       | 0.00%             | 2035-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD IDR BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $347.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317U9ZWA9 PIMCO SWAPTION 3.239 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $287.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | CDX ITRAXX XOV44 5Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $-857.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 880623 FN 04/36 FIXED 5.5                   | CUSIP: 31409WLC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10927 | PA      | $11282.51     | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AI3810 FN 06/41 FIXED 4.5                   | CUSIP: 3138AHGU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3990 | PA      | $3947.71      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AX2488 FN 10/44 FIXED 4                     | CUSIP: 3138Y3XS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45675 | PA      | $44467.43     | 0.05%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                   | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA A 144A         | CUSIP: 647622AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $990273.90    | 1.07%             | 2032-04-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AB0196 FN 02/39 FIXED 5.5                   | CUSIP: 31416VGE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24015 | PA      | $24795.78     | 0.03%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.24800 09/18/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4314.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                              | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG     | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    1078000 | PA      | $377300.00    | 0.41%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-735.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD JPY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-598.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                           | BONOS DE TESORERIA SR UNSECURED 08/32 6.15            | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     300000 | PA      | $90156.04     | 0.10%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1468.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1177.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G08072 FG 08/35 FIXED 5             | CUSIP: 3128MJCJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13899 | PA      | $14045.94     | 0.02%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.89900 03/11/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-637.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                       | EGYPT TREASURY BILL BILLS 10/26 0.00000               | CUSIP: ACI3187G8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     100000 | PA      | $1607.94      | 0.00%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G30340 FG 08/27 FIXED 6             | CUSIP: 3128CULV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1052 | PA      | $1073.69      | 0.00%             | 2027-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT MXN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-5700.47     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                  | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 1A1      | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4972 | PA      | $4749.35      | 0.01%             | 2035-12-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 257575 FN 01/29 FIXED 5                     | CUSIP: 31371PCL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1012 | PA      | $1015.89      | 0.00%             | 2029-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-826.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 899563 FN 06/37 FIXED 6                     | CUSIP: 31410WML9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23280 | PA      | $24362.83     | 0.03%             | 2037-06-01      | Fixed         | 6.00%                 | 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        |      85573 | PA      | $82826.58     | 0.09%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-116   | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 116 QF        | CUSIP: 38381PC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3924000 | PA      | $3955393.04   | 4.27%             | 2055-07-20      | Floating      | 5.02%                 | 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        |       5708 | PA      | $5660.12      | 0.01%             | 2036-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UAUQA5 PIMCO SWAPTION 3.674 PUT USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-10624.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                        | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 0.0000    | CUSIP: ACI1Q6QQ6<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |      90000 | PA      | $75442.50     | 0.08%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CLP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $1336.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 704506 GN 05/39 FIXED 5                     | CUSIP: 36296XU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     192481 | PA      | $196604.11    | 0.21%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 09/17/25-7Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1001.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | US 2YR NOTE (CBT) JUN26 XCBT 20260630                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         23 | NC      | $-32978.28    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 899170 FN 02/37 FIXED 5.5                   | CUSIP: 31410V6F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1138 | PA      | $1174.65      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AH8643 FN 04/41 FIXED 4.5                   | CUSIP: 3138AAS93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5133 | PA      | $5082.44      | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 2.89000 12/22/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $505.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT NZD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-3590.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A57043 FG 02/37 FIXED 5             | CUSIP: 3128KKZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37773 | PA      | $37608.70     | 0.04%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1            | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2        | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2915 | PA      | $2833.21      | 0.00%             | 2034-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PEN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $100714.51    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UAUSA3 PIMCO SWAPTION 3.674 PUT USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-817.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD COP BOUGHT USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-3423.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $818.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UAMPA4 PIMCO SWAPTION 4.141 PUT USD 2026123        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   12600000 | NC      | $17335.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT IDR SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-388.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/4.01500 12/30/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1621.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AK8453 FN 04/42 FIXED 4.5                   | CUSIP: 3138EDMB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3794 | PA      | $3749.32      | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-65                                  | FANNIE MAE FNR 2007 65 KF                             | CUSIP: 31396WLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25314 | PA      | $25081.77     | 0.03%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     400000 | NC      | $23137.84     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS CLP 4.71000 01/14/26-5Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |          1 | NC      | $547.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 831286 FN 02/36 FIXED 6                     | CUSIP: 31407HRF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10512 | PA      | $10993.78     | 0.01%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UA5JA8 PIMCO FPPSWAPTION 3.1625 CALL USD           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   64800000 | NC      | $219205.44    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2006-BNC3             | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC3 A1      | CUSIP: 86361KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     832248 | PA      | $513496.91    | 0.55%             | 2036-09-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1.92        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL QZ5154 FR 10/55 FIXED 6             | CUSIP: 31427CWQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98538 | PA      | $100967.37    | 0.11%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $644.35       | 0.00%             |  |  |  | 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        |       2016 | PA      | $1944.78      | 0.00%             | 2035-09-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                      | TITULOS DE TESORERIA BONDS 07/46 11.5                 | CUSIP: ACI2Q1VT3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   14000000 | PA      | $3377.43      | 0.00%             | 2046-07-25      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AO3526 FN 04/39 FIXED 4.5                   | CUSIP: 3138LT4L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3541 | PA      | $3507.30      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AH4268 FN 04/41 FIXED 4.5                   | CUSIP: 3138A5W65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13616 | PA      | $13347.01     | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UC6EA9 PIMCO SWAPTION 3.62 CALL USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-124.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD AUD BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $673.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL 847415 FH 06/35 FLOATING VAR        | CUSIP: 3128JRGY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3279 | PA      | $3398.08      | 0.00%             | 2035-06-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $180.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 745281 FN 01/36 FIXED VAR                   | CUSIP: 31403C6S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8374 | PA      | $8784.11      | 0.01%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5           | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11601 | PA      | $11980.98     | 0.01%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 993265 FN 05/39 FIXED 4.5                   | CUSIP: 31415YMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1221 | PA      | $1208.55      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750RHA8 PIMCO FXVAN PUT USD ZAR 18.00000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |     470000 | NC      | $33589.02     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                      | TITULOS DE TESORERIA BONDS 08/29 11                   | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  362500000 | PA      | $91397.38     | 0.10%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $790.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT ILS SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-431.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1029.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 758900 FN 12/33 FLOATING VAR                | CUSIP: 31403VDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        671 | PA      | $687.33       | 0.00%             | 2033-12-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                           | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5  | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     500000 | PA      | $503250.00    | 0.54%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                 | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 4A1      | CUSIP: 16163CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79306 | PA      | $67816.24     | 0.07%             | 2036-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.84200 03/04/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1919.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -163580 | NC      | $-130.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-415.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD AUD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $8057.74      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | INF SWAP US IT 2.52 03/27/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1549.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 829708 FN 06/35 FLOATING VAR                | CUSIP: 31407FYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1653 | PA      | $1702.19      | 0.00%             | 2035-06-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CAD BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $893.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11              | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M4      | CUSIP: 76110W7G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1025132.35   | 1.11%             | 2035-12-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-347.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AB0293 FN 11/38 FIXED 6                     | CUSIP: 31416VKF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54139 | PA      | $56666.12     | 0.06%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -800000 | NC      | $-323.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT GBP SOLD USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-623.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD THB BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1645.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL C91308 FG 06/30 FIXED 5             | CUSIP: 3128P7NZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9662 | PA      | $9763.50      | 0.01%             | 2030-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA6                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA6 A1       | CUSIP: 74922MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     820799 | PA      | $772477.42    | 0.83%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                  | TREASURY BILL 04/26 0.00000                           | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2100000 | PA      | $2097251.04   | 2.26%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 889982 FN 11/38 FIXED VAR                   | CUSIP: 31410KXK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87369 | PA      | $89992.70     | 0.10%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $101.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/4.00000 03/18/26-30Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6197.38     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AC6211 FN 11/39 FIXED 5.5                   | CUSIP: 31417S3V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14122 | PA      | $14460.62     | 0.02%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 829125 FN 10/35 FIXED 5.5                   | CUSIP: 31407FD64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4662 | PA      | $4801.22      | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 741275 GN 05/40 FIXED 5                     | CUSIP: 3620AVQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17160 | PA      | $17413.21     | 0.02%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2002-5                  | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2002 5 M1        | CUSIP: 542514DB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     463996 | PA      | $497038.91    | 0.54%             | 2032-11-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3355                                    | FREDDIE MAC FHR 3355 BF                               | CUSIP: 31397KC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     312492 | PA      | $312982.63    | 0.34%             | 2037-08-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 3.12800 12/04/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1524.56     | -0.00%            |  |  |  | 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        |       1247 | PA      | $1175.16      | 0.00%             | 2034-11-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 966202 FN 12/37 FIXED 6                     | CUSIP: 31414G3K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27967 | PA      | $28926.19     | 0.03%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT CHF SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-319.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 09/17/25-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $40225.79     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-197.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317U9Y5A2 PIMCO FPPSWAPTION 4.485 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     800000 | NC      | $47388.48     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A53791 FG 11/36 FIXED 5             | CUSIP: 3128KGF86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3185 | PA      | $3168.06      | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $103.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 357639 FN 11/34 FIXED 5.5                   | CUSIP: 31376KHQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        543 | PA      | $556.78       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD NOK BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-149.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-671.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | CCA VINTAGE 2026  DEC26 IFED 20261224                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         11 | NC      | $-48791.14    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 669740 GN 08/37 FIXED 6                     | CUSIP: 36295GBH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6758 | PA      | $7026.67      | 0.01%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PEN BOUGHT USD 20261207                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $13560.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT MXN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1856.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 933121 FN 01/38 FIXED 5.5                   | CUSIP: 31412SD28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1445 | PA      | $1476.43      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UBRFA3 PIMCO FPPSWAPTION 4.296 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $39614.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | CDX ITRAXX XOV44 5Y 35-100% SP BPS                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $112067.34    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CAD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $12879.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 823384 FN 05/35 FIXED 5.5                   | CUSIP: 31406XXM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10595 | PA      | $10693.72     | 0.01%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                        | ACE SECURITIES CORP. ACE 2006 HE4 A2A                 | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5632 | PA      | $2169.66      | 0.00%             | 2036-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PEN SOLD USD 20260803                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-77.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5           | CUSIP: 3128LXAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4611 | PA      | $4760.52      | 0.01%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 3M CORRA FUTURES  MAR27 XMOD 20270615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          4 | NC      | $-1596.08     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.25000 06/18/25-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-235823.05   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                  | TREASURY BILL 04/26 0.00000                           | CUSIP: 912797SN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $299124.04    | 0.32%             | 2026-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A3            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A3 1A        | CUSIP: 589929R26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4476 | PA      | $4382.96      | 0.00%             | 2033-05-25      | Floating      | 5.45%                 | 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        |      55553 | PA      | $46625.05     | 0.05%             | 2037-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AJ7522 FN 01/27 FIXED 3                     | CUSIP: 3138E0LC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33804 | PA      | $33610.37     | 0.04%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-287.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | ZCS BRL 13.32 05/08/25-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-892.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT IDR SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $6.73         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1025.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 920077 FN 12/36 FIXED 5.5                   | CUSIP: 31412BFS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101337 | PA      | $104357.89    | 0.11%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750SKH7 PIMCO CDSOPT CALL USD 102.31250000 2        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-170.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SPTR TRS EQUITY SOFR+48 FAR                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $66399.67     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 256600 FN 02/27 FIXED 5.5                   | CUSIP: 31371M7M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6929 | PA      | $6964.45      | 0.01%             | 2027-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT CNH SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $11.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     300000 | NC      | $15403.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 914370 FN 03/37 FIXED 6                     | CUSIP: 31411S2B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        266 | PA      | $272.93       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT NOK SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-110.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT KRW SOLD USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-29.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 905334 FN 12/36 FIXED 6                     | CUSIP: 31411DY78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        100 | PA      | $101.84       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                      | ARGENT SECURITIES INC. ARSI 2006 W3 A2C               | CUSIP: 040104SR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     886497 | PA      | $270239.75    | 0.29%             | 2036-04-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | INF SWAP US IT 2.5145 10/29/25-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $710.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT MXN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-3726.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 06/20/24-15Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $52361.48     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $277.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 865115 FN 02/36 FIXED 5.5                   | CUSIP: 31409ADU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1201 | PA      | $1239.74      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE               | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18570000 | PA      | $18907884.49  | 20.40%            | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 922039 FN 02/37 FIXED 5.5                   | CUSIP: 31412DLU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38373 | PA      | $39621.27     | 0.04%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 721620 FN 07/33 FIXED 5.5                   | CUSIP: 31401XVM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1105 | PA      | $1110.96      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $412.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | ZCS BRL 13.245 09/02/25-01/02/29 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-19553.82    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.90000 01/08/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $725.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.77500 03/03/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $721.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -1700000 | NC      | $-686.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT COP SOLD USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-115.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G04461 FG 07/38 FIXED 5             | CUSIP: 3128M6JE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7253 | PA      | $7343.07      | 0.01%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $360.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD MXN BOUGHT USD 20260421                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $208.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT GBP SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-6506.01     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-24.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AD9988 FN 09/40 FIXED 4.5                   | CUSIP: 31418YC20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2223 | PA      | $2147.47      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750SKG9 PIMCO CDSOPT PUT USD 102.31250000 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-4343.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2009-20E            | SMALL BUSINESS ADMINISTRATION SBAP 2009 20E 1         | CUSIP: 83162CSN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      21393 | PA      | $21281.36     | 0.02%             | 2029-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT TWD SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-160.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AE2314 FN 08/40 FIXED 4.5                   | CUSIP: 31419CSC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2159 | PA      | $2136.67      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-137.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT KRW SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-247.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 995113 FN 09/36 FIXED VAR                   | CUSIP: 31416BN61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        124 | PA      | $126.63       | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 826082 FN 07/35 FLOATING VAR                | CUSIP: 31407BXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        712 | PA      | $724.49       | 0.00%             | 2035-07-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT SGD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-8649.18     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                     | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A4       | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         20 | PA      | $19.48        | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AL3480 FN 07/40 FIXED VAR                   | CUSIP: 3138EK2N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57547 | PA      | $59548.68     | 0.06%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT GBP SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-951.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                      | TITULOS DE TESORERIA BONDS 01/35 11.75                | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 5580500000 | PA      | $1383606.72   | 1.49%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -2980000 | PA      | $-2504713.30  | -2.70%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AD3661 FN 05/40 FIXED 4.5                   | CUSIP: 31418RB75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13452 | PA      | $13320.14     | 0.01%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT CHF SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-1364.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-99.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL V85233 FG 03/49 FIXED 4             | CUSIP: 3132LAY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18601 | PA      | $17844.72     | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1840.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AA1265 FN 08/33 FIXED 4.5                   | CUSIP: 31416JMP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        894 | PA      | $885.53       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 819567 FN 04/35 FIXED 5.5                   | CUSIP: 31406TQU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4177 | PA      | $4312.30      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT GBP SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-630.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 813586 FN 03/35 FLOATING VAR                | CUSIP: 31406L2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $142.88       | 0.00%             | 2035-03-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.23200 09/10/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4453.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $96.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                  | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 1A        | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     535602 | PA      | $282041.03    | 0.30%             | 2036-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UAODA3 PIMCO SWAPTION 4.093 PUT USD 2027010        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   11900000 | NC      | $18008.27     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1.10        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 889692 FN 05/38 FIXED VAR                   | CUSIP: 31410KNH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60335 | PA      | $62189.99     | 0.07%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 888795 FN 11/36 FIXED VAR                   | CUSIP: 31410GNL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32177 | PA      | $33222.53     | 0.04%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AA0836 FN 01/39 FIXED 4.5                   | CUSIP: 31416H4W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38309 | PA      | $37934.01     | 0.04%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AH4246 FN 04/41 FIXED 4.5                   | CUSIP: 3138A5WG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18570 | PA      | $18293.49     | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD NZD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1007.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | CDX ITRAXX MAIN44 5Y ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $-519.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT CAD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-159.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 970952 FN 12/38 FIXED 6                     | CUSIP: 31414NEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29244 | PA      | $30554.46     | 0.03%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317U9Y3A4 PIMCO FPPSWAPTION 4.485 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1200000 | NC      | $71082.72     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                  | TREASURY BILL 04/26 0.00000                           | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1273000 | PA      | $1269538.55   | 1.37%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AI1673 FN 06/41 FIXED 4.5                   | CUSIP: 3138AE2F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36132 | PA      | $35482.87     | 0.04%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 981705 FN 06/38 FIXED 4.5                   | CUSIP: 31415BDJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7692 | PA      | $7561.34      | 0.01%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A39333 FG 10/35 FIXED 5             | CUSIP: 31297VLN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1526 | PA      | $1537.89      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3             | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M3         | CUSIP: 00764MFT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1300000 | PA      | $1153959.82   | 1.24%             | 2035-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317U9YOA1 PIMCO SWAPTION 4.255 PUT USD 2026080        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1200000 | NC      | $7511.52      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-355.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT IDR SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-210.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-389.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 256197 FN 04/36 FIXED 6                     | CUSIP: 31371MRS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        522 | PA      | $539.91       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD NZD BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $803.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260401                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-172.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AD0220 FN 10/38 FIXED VAR                   | CUSIP: 31418MG63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        187 | PA      | $195.88       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD COP BOUGHT USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-2839.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                   | REPUBLIC OF SOUTH AFRICA BONDS 03/32 8.25             | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     900000 | PA      | $51937.65     | 0.06%             | 2032-03-31      | Fixed         | 8.25%                 | 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        |    2000000 | PA      | $629742.23    | 0.68%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CAD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $289.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.64750 01/08/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $774.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1238.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AI4142 FN 06/41 FIXED 4.5                   | CUSIP: 3138AHS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20876 | PA      | $20654.63     | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UAUTA2 PIMCO SWAPTION 3.174 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $39.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 995894 FN 04/39 FIXED VAR                   | CUSIP: 31416CKF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40310 | PA      | $42307.09     | 0.05%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 779439 FN 06/34 FIXED 5.5                   | CUSIP: 31404U4Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        747 | PA      | $773.61       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 695208 FN 03/33 FIXED 5.5                   | CUSIP: 31400RKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48060 | PA      | $48334.88     | 0.05%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT CHF SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-574.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G30377 FG 12/27 FIXED 6             | CUSIP: 3128CUM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2151 | PA      | $2195.56      | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CAD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $158.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-1            | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 1 A1        | CUSIP: 59023LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1247763 | PA      | $531189.40    | 0.57%             | 2037-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750SCV5 PIMCO CDSOPT PUT USD 103.53125000 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-202.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $140.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | VOLKSWAGEN INTERNATIONAL FINA SNR SE ICE              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |          1 | NC      | $7398.85      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UAAMA3 PIMCO FPPSWAPTION 4.11 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1100000 | NC      | $70600.53     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11             | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1     | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1057106 | PA      | $945447.27    | 1.02%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A56730 FG 01/37 FIXED 5             | CUSIP: 3128KKPP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6475 | PA      | $6457.20      | 0.01%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                   | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1       | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4644 | PA      | $4549.58      | 0.00%             | 2034-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT ZAR SOLD USD 20260819                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2504.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $770.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.90500 03/12/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-682.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                   | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3300000 | PA      | $192928.48    | 0.21%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | ZCS BRL 13.9271 05/08/25-01/04/27 CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-8069.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD AUD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-3795.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A76483 FG 04/38 FIXED 5.5           | CUSIP: 3128LAFY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1649 | PA      | $1700.51      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR GBP SONIO/4.00000 09/17/25-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-34160.65    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 256513 FN 12/36 FIXED 5.5                   | CUSIP: 31371M3W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102753 | PA      | $106093.12    | 0.11%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 257204 FN 05/28 FIXED 5.5                   | CUSIP: 31371NU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1064 | PA      | $1071.86      | 0.00%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-389.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UAURA4 PIMCO SWAPTION 3.174 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1200000 | NC      | $479.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1592.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 843325 FN 10/35 FIXED 5.5                   | CUSIP: 31407W4J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        748 | PA      | $751.57       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $13.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $365.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AI2430 FN 05/41 FIXED 4.5                   | CUSIP: 3138AFVY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115007 | PA      | $113809.25    | 0.12%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-251.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA II POOL MB0088 G2 12/54 FIXED 3.5                | CUSIP: 3618N5C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     399960 | PA      | $367222.49    | 0.40%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL 847340 FH 11/34 FLOATING VAR        | CUSIP: 3128JREM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        748 | PA      | $767.19       | 0.00%             | 2034-11-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PEN BOUGHT USD 20260724                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $8726.49      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.88000 01/13/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $562.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF9                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF9 2A4       | CUSIP: 320276AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $470260.45    | 0.51%             | 2036-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $54.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 888638 FN 09/37 FIXED VAR                   | CUSIP: 31410GHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137056 | PA      | $141513.35    | 0.15%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G05408 FG 12/36 FIXED 5             | CUSIP: 3128M7KV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2305 | PA      | $2332.03      | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 735961 FN 09/35 FLOATING VAR                | CUSIP: 31402RTS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3500 | PA      | $3552.10      | 0.00%             | 2035-09-01      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                    | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L           | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258581 | PA      | $180149.12    | 0.19%             | 2036-10-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A83067 FG 11/38 FIXED 5             | CUSIP: 312929MQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4900 | PA      | $4960.73      | 0.01%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7              | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 2A1      | CUSIP: 45670CAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1234652 | PA      | $1013776.26   | 1.09%             | 2037-06-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 888893 FN 08/37 FIXED VAR                   | CUSIP: 31410GRN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14919 | PA      | $15403.17     | 0.02%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1076.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PEN SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-144.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A48943 FG 05/36 FIXED 5.5           | CUSIP: 3128K95C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28142 | PA      | $29015.37     | 0.03%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                         | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND               | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |    1111541 | PA      | $10909775.45  | 11.77%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 745516 FN 05/36 FIXED VAR                   | CUSIP: 31403DGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15482 | PA      | $15985.46     | 0.02%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PEN SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-142.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 689108 FN 02/33 FIXED 5.5                   | CUSIP: 31400JR50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17118 | PA      | $17279.02     | 0.02%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR GBP SONIO/4.00000 09/16/26-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-94197.33    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1751.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | CDX ITRAXX XOV44 5Y 35-100% SP CBK                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $84070.53     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $533.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1161.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.87400 03/05/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-455.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 602480 GN 12/35 FIXED 5                     | CUSIP: 36200JJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17839 | PA      | $18205.22     | 0.02%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | INF SWAP US IT 2.48 10/29/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7707.33     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UA5IA9 PIMCO FPPSWAPTION 3.1625 PUT USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   64800000 | NC      | $401708.16    | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S4                 | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S4 A5       | CUSIP: 16162YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128799 | PA      | $49648.97     | 0.05%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 735972 FN 10/35 FIXED VAR                   | CUSIP: 31402RT58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2130 | PA      | $2193.55      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $138.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4384.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1043.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1011.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT TWD SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-39.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | US 10YR ULTRA FUT JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -51 | NC      | $136639.71    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 840699 FN 09/35 FIXED 5.5                   | CUSIP: 31407T7L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1309 | PA      | $1340.08      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 931353 FN 06/39 FIXED 5.5                   | CUSIP: 31412PWN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43147 | PA      | $43974.54     | 0.05%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $103.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                    | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 5A1              | CUSIP: 362341XE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132679 | PA      | $113347.94    | 0.12%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                    | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A    | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     136751 | PA      | $136843.70    | 0.15%             | 2036-10-16      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT GBP SOLD USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-4593.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $4591.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | INF SWAP US IT 2.5025 03/25/25-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3891.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3             | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1         | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     173101 | PA      | $151610.88    | 0.16%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750SJW6 PIMCO FXVAN PUT USD KRW 1350.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -170000 | NC      | $-335.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $8194.24      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                           | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95         | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     480000 | PA      | $149600.16    | 0.16%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $632.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-21.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD KRW BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $534.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2021-CA                   | NELNET STUDENT LOAN TRUST NSLT 2021 CA AFL 144A       | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     544190 | PA      | $541805.86    | 0.58%             | 2062-04-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT TWD SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $27.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 745418 FN 04/36 FIXED VAR                   | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16555 | PA      | $17093.20     | 0.02%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE               | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18570000 | PA      | $18902081.37  | 20.39%            | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | CDX ITRAXX MAIN45 5Y ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $-974.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD SGD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $8580.26      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UBQXA5 PIMCO FPPSWAPTION 4.296 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $29452.75     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 835058 FN 06/35 FLOATING VAR                | CUSIP: 31407MWT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1868 | PA      | $1909.17      | 0.00%             | 2035-06-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $278.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 965040 FN 09/38 FIXED 4.5                   | CUSIP: 31414FS51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11876 | PA      | $11750.91     | 0.01%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY LOAN TRUST 2006-A                | CENTEX HOME EQUITY CXHE 2006 A M3                     | CUSIP: 15231AAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $482183.60    | 0.52%             | 2036-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 701354 GN 02/39 FIXED 5                     | CUSIP: 36296UE30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3678 | PA      | $3712.74      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AP2               | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AP2 A5        | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23150 | PA      | $10917.81     | 0.01%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 697575 GN 11/38 FIXED 5                     | CUSIP: 36296P6L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13176 | PA      | $13458.14     | 0.01%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT TRY SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $50.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                  | TSY INFL IX N/B 07/35 1.875                           | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     546923 | PA      | $544419.34    | 0.59%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL FM2971 FN 08/45 FIXED VAR                   | CUSIP: 3140X6JR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81642 | PA      | $79106.68     | 0.09%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/1.75000 06/15/22-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $340217.65    | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $461.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 637882 GN 04/35 FIXED 5                     | CUSIP: 36291TUF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27136 | PA      | $27562.29     | 0.03%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A2              | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1      | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     579410 | PA      | $309135.57    | 0.33%             | 2036-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                        | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                    | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9361 | PA      | $9325.96      | 0.01%             | 2042-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3368                                    | FREDDIE MAC FHR 3368 AF                               | CUSIP: 31397KL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173024 | PA      | $173426.75    | 0.19%             | 2037-09-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AI8831 FN 08/41 FIXED 4.5                   | CUSIP: 3138ANY56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2881 | PA      | $2853.19      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS AUD 5.00000 09/16/26-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-5878.62     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD THB BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $278.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G04731 FG 04/38 FIXED 5.5           | CUSIP: 3128M6SU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11169 | PA      | $11526.01     | 0.01%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-100.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 2A1      | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     954684 | PA      | $887010.64    | 0.96%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1401.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/4.04638 09/02/25-27Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12082.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 675179 GN 03/38 FIXED 5                     | CUSIP: 36295NCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        785 | PA      | $802.11       | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317U9Y6A1 PIMCO FPPSWAPTION 4.485 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     800000 | NC      | $41076.96     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G05196 FG 10/38 FIXED 5.5           | CUSIP: 3128M7C95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7990 | PA      | $8240.37      | 0.01%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 888301 FN 09/36 FIXED VAR                   | CUSIP: 31410F3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13107 | PA      | $13356.07     | 0.01%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-79                                  | FANNIE MAE FNR 2005 79 NF                             | CUSIP: 31394FHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98463 | PA      | $97897.70     | 0.11%             | 2035-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     565743 | PA      | $318382.92    | 0.34%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $114.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                  | TREASURY BILL 05/26 0.00000                           | CUSIP: 912797TL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1240000 | PA      | $1235766.15   | 1.33%             | 2026-05-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 895096 FN 08/36 FIXED 6                     | CUSIP: 31410RNM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        146 | PA      | $152.97       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AD9398 FN 06/40 FIXED 4.5                   | CUSIP: 31418XNQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5766 | PA      | $5705.48      | 0.01%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | CDX ITRAXX XOV44 5Y 35-100% SP JPM                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $216129.47    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA II TBA 30 YR 6 JUMBOS                            | CUSIP: 21H060655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1400000 | PA      | $1422052.11   | 1.53%             | 2056-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-90.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-309.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS CZK 3.76000 11/01/24-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-481.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-4             | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 4 M1        | CUSIP: 69121PAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     649168 | PA      | $596080.82    | 0.64%             | 2036-08-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260422                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-297.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT TWD SOLD USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-121.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-282.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A3      | CUSIP: 92925VAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150665 | PA      | $131252.89    | 0.14%             | 2037-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AD1870 FN 08/40 FIXED 4.5                   | CUSIP: 31418PCG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2238 | PA      | $2214.78      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     300000 | NC      | $18223.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 902340 FN 11/36 FIXED 5.5                   | CUSIP: 31411APZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        333 | PA      | $344.12       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 774296 GN 03/42 FIXED 5                     | CUSIP: 36176R7H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56881 | PA      | $56784.28     | 0.06%             | 2042-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD SGD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $309.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $7.13         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT EUR SOLD USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $153.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A75692 FG 04/38 FIXED 5             | CUSIP: 3128L9KD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35978 | PA      | $36398.98     | 0.04%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT AUD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-2103.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                  | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 3A        | CUSIP: 41161QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     641284 | PA      | $325299.36    | 0.35%             | 2036-06-19      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT ZAR SOLD USD 20260819                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-3387.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 2.40000 02/12/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $5508.29      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.93300 01/06/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $980.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 889176 FN 03/38 FIXED VAR                   | CUSIP: 31410G2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13127 | PA      | $13512.19     | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 884863 FN 04/36 FIXED 5.5                   | CUSIP: 31410CB84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         54 | PA      | $54.55        | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT EUR SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1879.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.50000 09/17/25-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-172620.80   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AI0726 FN 04/41 FIXED 4.5                   | CUSIP: 3138ADYY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18623 | PA      | $18444.50     | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 487821 GN 03/39 FIXED 5                     | CUSIP: 36210B4E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28140 | PA      | $28623.88     | 0.03%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | ZCS BRL 13.2914 05/08/25-01/02/29 CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-13532.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CHF BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $576.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 697946 GN 03/39 FIXED 5                     | CUSIP: 36296QL31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25102 | PA      | $25426.53     | 0.03%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.59400 01/09/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1146.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $50.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT TRY SOLD USD 20260422                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $88.13        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR19                | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR19 A1     | CUSIP: 949789AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138951 | PA      | $130564.37    | 0.14%             | 2036-12-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G04847 FG 10/38 FIXED 5.5           | CUSIP: 3128M6WG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9398 | PA      | $9678.49      | 0.01%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AL3185 FN 02/39 FIXED VAR                   | CUSIP: 3138EKRF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20164 | PA      | $20957.63     | 0.02%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1599.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT GBP SOLD USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-1182.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD COP BOUGHT USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1396.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-114.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317U9YMA3 PIMCO SWAPTION 3.255 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1400000 | NC      | $4033.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD EUR BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-814.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 964677 FN 08/38 FIXED 6                     | CUSIP: 31414FFS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        227 | PA      | $232.53       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 848205 FN 12/35 FIXED 5.5                   | CUSIP: 31408DKS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        427 | PA      | $439.67       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1099.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                         | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR               | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     100000 | PA      | $2250.36      | 0.00%             | 2026-05-20      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 824601 FN 12/34 FIXED 5.5                   | CUSIP: 31407ADE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        551 | PA      | $564.87       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-41.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1700000 | NC      | $2587.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-476.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-247.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 888817 FN 08/37 FIXED VAR                   | CUSIP: 31410GPA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5191 | PA      | $5299.35      | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD NOK BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $92.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $255.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UARPA3 PIMCO SWAPTION 3.146 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     800000 | NC      | $95.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 972305 FN 02/38 FIXED 6                     | CUSIP: 31414PU64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64443 | PA      | $67640.50     | 0.07%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 760393 GN 10/41 FIXED 5                     | CUSIP: 36176ARN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59370 | PA      | $59364.63     | 0.06%             | 2041-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                  | TREASURY BILL 07/26 0.00000                           | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     117000 | PA      | $115703.10    | 0.12%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR JPY MUTK/2.00000 09/16/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-42403.65    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 658746 FN 08/36 FIXED 6                     | CUSIP: 31390WZK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        556 | PA      | $576.16       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 701603 GN 02/39 FIXED 5                     | CUSIP: 36296UNU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92450 | PA      | $94429.52     | 0.10%             | 2039-02-15      | Fixed         | 5.00%                 | 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        |       4331 | PA      | $4252.49      | 0.00%             | 2030-12-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     300000 | NC      | $14881.74     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT THB SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-181.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD JPY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1441.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD THB BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $271.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 256597 FN 02/37 FIXED 5.5                   | CUSIP: 31371M7J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        121 | PA      | $124.71       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.15000 08/25/27-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-45174.41    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 254514 FN 11/32 FIXED 5.5                   | CUSIP: 31371KVF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1961 | PA      | $2023.94      | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G05255 FG 12/38 FIXED 5             | CUSIP: 3128M7E44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25607 | PA      | $25925.70     | 0.03%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 3.28000 11/22/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2809.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $478.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $270.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $5.05         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G02869 FG 11/35 FIXED 5             | CUSIP: 3128M4QW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28869 | PA      | $29185.49     | 0.03%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-903.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6               | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 5A2        | CUSIP: 576433C53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85695 | PA      | $76502.89     | 0.08%             | 2035-07-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A2      | CUSIP: 75115BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2321581 | PA      | $725162.52    | 0.78%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-870.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750SCJ2 PIMCO FXVAN PUT USD KRW 1400.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     106420 | NC      | $339.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 762752 GN 03/41 FIXED 5                     | CUSIP: 36176DEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18768 | PA      | $19051.98     | 0.02%             | 2041-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-5425.07     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT TRY SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1207.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-318.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260401                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-305.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 782562 GN 02/39 FIXED 5                     | CUSIP: 36241KZ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     369235 | PA      | $376544.16    | 0.41%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 725690 FN 08/34 FIXED VAR                   | CUSIP: 31402DF70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        153 | PA      | $158.68       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 714055 GN 05/39 FIXED 5                     | CUSIP: 36297KH87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25789 | PA      | $26340.76     | 0.03%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 2.91000 12/29/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $342.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                  | TREASURY BILL 06/26 0.00000                           | CUSIP: 912797TZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     210000 | PA      | $208556.19    | 0.22%             | 2026-06-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UA5GA1 PIMCO FPPSWAPTION 4.11 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3200000 | NC      | $205383.36    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | ZCS BRL 12.81 01/27/26-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-6598.63     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1393.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PEN BOUGHT USD 20260708                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $2968.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/4.11000 08/25/27-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1582.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 256927 FN 10/27 FIXED 5.5                   | CUSIP: 31371NLG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2358 | PA      | $2370.17      | 0.00%             | 2027-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS CLP 4.67600 01/09/26-5Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |          1 | NC      | $148.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6               | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A1           | CUSIP: 61755CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     287536 | PA      | $263966.42    | 0.28%             | 2037-05-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2174.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AD0198 FN 09/38 FIXED VAR                   | CUSIP: 31418MGG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        225 | PA      | $232.17       | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD MXN BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $673.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE2                        | ACE SECURITIES CORP. ACE 2005 HE2 M5                  | CUSIP: 004421MG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     308663 | PA      | $306295.80    | 0.33%             | 2035-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 844703 FN 12/35 FIXED 5.5                   | CUSIP: 31407YNU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1498 | PA      | $1547.09      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A27987 FG 07/34 FIXED 5             | CUSIP: 31297F2U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11602 | PA      | $11569.29     | 0.01%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1242.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | ICE 3MTH SONIA FU MAR27 IFLL 20270615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         27 | NC      | $12474.79     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 835751 FN 08/35 FIXED 4.5                   | CUSIP: 31407NQC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        760 | PA      | $752.64       | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1053.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                        | BONOS TESORERIA PESOS BONDS 144A REGS 10/29 5.8       | CUSIP: ACI2QBM79<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   15000000 | PA      | $16491.48     | 0.02%             | 2029-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $668.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD EUR BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $24262.14     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT KRW SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-16.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 774290 GN 02/42 FIXED 5                     | CUSIP: 36176R7B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12663 | PA      | $12780.03     | 0.01%             | 2042-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA II POOL MA8425 G2 11/52 FIXED 3.5                | CUSIP: 36179XLE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2999702 | PA      | $2775066.05   | 2.99%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-279.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    2400000 | NC      | $3451.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD JPY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $149.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 12/17/25-7Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2844.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 12/18/24-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $24547.76     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                  | TREASURY BILL 04/26 0.00000                           | CUSIP: 912797SD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     434000 | PA      | $433956.31    | 0.47%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-566.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AL1319 FN 10/41 FIXED VAR                   | CUSIP: 3138EHPD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24462 | PA      | $24244.65     | 0.03%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                     | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 2A2       | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65137 | PA      | $62553.25     | 0.07%             | 2035-07-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A       | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1358 | PA      | $1390.23      | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 672595 GN 02/38 FIXED 5                     | CUSIP: 36295KGC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        282 | PA      | $284.09       | 0.00%             | 2038-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PLN SOLD USD 20260422                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-4822.70     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 698484 GN 08/39 FIXED 5                     | CUSIP: 36296Q6V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20098 | PA      | $20633.22     | 0.02%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | ZCS BRL 13.9255 05/08/25-01/04/27 CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-719.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 256448 FN 10/26 FIXED 6                     | CUSIP: 31371MZM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        284 | PA      | $289.82       | 0.00%             | 2026-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2342.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | JPN 10Y BOND(OSE) JUN26 XOSE 20260615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         -4 | NC      | $38808.99     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AL3681 FN 10/40 FIXED VAR                   | CUSIP: 3138ELCT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41427 | PA      | $43479.16     | 0.05%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W3                       | ARGENT SECURITIES INC. ARSI 2005 W3 M1                | CUSIP: 040104PC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     239317 | PA      | $235622.67    | 0.25%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750SEQ4 PIMCO FXVAN CALL USD BRL 5.70000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -250000 | NC      | $-283.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | KBCZ26C45 DEC26 45 CALL FSO                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         10 | NC      | $750.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $652.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750SBA2 PIMCO FXVAN PUT USD KRW 1400.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     163580 | NC      | $487.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | US LONG BOND(CBT) JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          8 | NC      | $-32198.54    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/4.00000 02/26/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-713.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G05409 FG 03/39 FIXED 5.5           | CUSIP: 3128M7KW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1591 | PA      | $1640.82      | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4800000 | PA      | $-4390891.30  | -4.74%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.93000 03/24/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-855.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A      | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37915 | PA      | $36471.33     | 0.04%             | 2046-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TWD BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $35.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 09/17/25-5Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-20739.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT TWD SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-86.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-WF1               | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 WF1 A3        | CUSIP: 65537BAC4<br>LEI: N0RUIPD25XQCBR0TK507 | Long             | ABS-MBS          | CORP              | US        |     858679 | PA      | $214902.70    | 0.23%             | 2036-06-25      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD AUD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $1429.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT MXN SOLD USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1391.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD THB BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2141.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 865188 FN 02/36 FIXED 6                     | CUSIP: 31409AF53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        292 | PA      | $306.54       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -2400000 | NC      | $-972.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-12                           | FANNIE MAE FNR 2025 12 EF                             | CUSIP: 3136BVGN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1583029 | PA      | $1591712.29   | 1.72%             | 2055-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA II TBA 30 YR 5.5 JUMBOS                          | CUSIP: 21H052652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1420000 | PA      | $1426381.11   | 1.54%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-362.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT TRY SOLD USD 20260414                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $3707.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AL0520 FN 07/41 FIXED VAR                   | CUSIP: 3138EGSJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89749 | PA      | $92284.09     | 0.10%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-8                     | BEAR STEARNS ALT A TRUST BALTA 2005 8 21A1            | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     366411 | PA      | $305382.20    | 0.33%             | 2035-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1309.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 896141 FN 06/36 FIXED 5.5                   | CUSIP: 31410SS65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4557 | PA      | $4665.18      | 0.01%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | CITIGROUP REPO REPO                     5807          | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    5700000 | PA      | $5700000.00   | 6.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-29.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AE0801 FN 09/39 FIXED VAR                   | CUSIP: 31419A3K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200512 | PA      | $207367.57    | 0.22%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 773068 FN 03/34 FIXED 5.5                   | CUSIP: 31404MZ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        311 | PA      | $314.72       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                        | BARCLAYS PLC SR UNSECURED 05/34 VAR                   | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $420139.13    | 0.45%             | 2034-05-09      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 988588 FN 08/38 FIXED 5.5                   | CUSIP: 31415TF54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9206 | PA      | $9466.03      | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 725946 FN 11/34 FIXED VAR                   | CUSIP: 31402DP79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $114.69       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-66.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD EUR BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-157.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT THB SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-22.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                    | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2            | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22375 | PA      | $9698.48      | 0.01%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $125.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CAD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $476.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260403                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-367.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                     | GSR MORTGAGE LOAN TRUST GSR 2007 4F 3A1               | CUSIP: 362669AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6697 | PA      | $4154.30      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | EURO-BUND FUTURE  JUN26 XEUR 20260608                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         35 | NC      | $-126928.88   | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AW1350 FN 02/44 FIXED 4.5                   | CUSIP: 3138XQQC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46562 | PA      | $45961.76     | 0.05%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PLN SOLD USD 20260422                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-3669.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-4789.18     | -0.01%            |  |  |  | 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        |       4230 | PA      | $3624.44      | 0.00%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                           | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4          | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2200000 | PA      | $600655.19    | 0.65%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-522.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-5051.21     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                  | TREASURY BILL 05/26 0.00000                           | CUSIP: 912797TS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1700000 | PA      | $1691783.34   | 1.82%             | 2026-05-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT CNH SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $21.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE               | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -2200000 | PA      | $-1771601.55  | -1.91%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.70000 02/20/24-25Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $74360.13     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $347.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | CDX IG44 5Y ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-153024.02   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/4.09000 01/22/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2166.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD SGD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $25041.04     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 889301 FN 11/35 FIXED VAR                   | CUSIP: 31410KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4902 | PA      | $5061.42      | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750RH91 PIMCO FXVAN PUT USD ZAR 17.00000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -950000 | NC      | $-30399.05    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-1F                     | GSR MORTGAGE LOAN TRUST GSR 2006 1F 5A1               | CUSIP: 3623417Z6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2590767 | PA      | $902173.86    | 0.97%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A47333 FG 10/35 FIXED 5             | CUSIP: 3128K8EE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10798 | PA      | $10915.39     | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CLP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $2941.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/4.0535* 09/02/25-27Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11609.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 26CB A4     | CUSIP: 12667GTQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1880 | PA      | $1325.93      | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 697914 GN 03/39 FIXED 5                     | CUSIP: 36296QK32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64779 | PA      | $66166.23     | 0.07%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.64500 08/07/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1141.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 190367 FN 01/36 FIXED VAR                   | CUSIP: 31368HMQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13975 | PA      | $14429.09     | 0.02%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.85400 12/29/23-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-673.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G02410 FG 01/36 FIXED 5             | CUSIP: 3128M4AK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4412 | PA      | $4440.28      | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G05250 FG 03/38 FIXED 5             | CUSIP: 3128M7EX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19974 | PA      | $20222.39     | 0.02%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 881635 FN 02/36 FIXED 5.5                   | CUSIP: 31409XPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6358 | PA      | $6547.33      | 0.01%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                      | TITULOS DE TESORERIA BONDS 11/40 12.75                | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  113000000 | PA      | $29950.62     | 0.03%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 2.39000 10/01/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $5319.27      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1       | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230928 | PA      | $181635.18    | 0.20%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 2.58000 08/29/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2024.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/4.00000 06/20/24-2Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $109.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                     | GSR MORTGAGE LOAN TRUST GSR 2007 4F 3A8               | CUSIP: 362669BJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     614514 | PA      | $381184.66    | 0.41%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD KRW BOUGHT USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $70.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD SEK BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $503.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD COP BOUGHT USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-10888.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CHF BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $180.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                        | LEHMAN MORTGAGE TRUST LMT 2007 8 1A1                  | CUSIP: 52521YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300934 | PA      | $295379.30    | 0.32%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     820000 | PA      | $808816.04    | 0.87%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD SEK BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-225.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $743.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 686678 GN 05/38 FIXED 5                     | CUSIP: 36296B2K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        658 | PA      | $663.89       | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-505.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-11 | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 11 2A1      | CUSIP: 07387AFG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1826 | PA      | $1886.49      | 0.00%             | 2035-12-25      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF5                    | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A3       | CUSIP: 32027EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56332 | PA      | $55769.41     | 0.06%             | 2036-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD NOK BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $157.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS CLP 4.59000 01/09/26-4Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |          1 | NC      | $205.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UAROA4 PIMCO SWAPTION 3.646 PUT USD 2026041        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -900000 | NC      | $-7064.64     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 992302 FN 01/39 FIXED 5.5                   | CUSIP: 31415XKP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10799 | PA      | $11015.75     | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-256.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 256601 FN 02/27 FIXED 6                     | CUSIP: 31371NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        428 | PA      | $436.66       | 0.00%             | 2027-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                  | FANNIE MAE FNR 2007 96 AF                             | CUSIP: 31396XNT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202888 | PA      | $203385.11    | 0.22%             | 2037-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS CZK 4.52250 12/01/30-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-511.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1069.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                    | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1             | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        641 | PA      | $640.98       | 0.00%             | 2035-02-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AL3223 FN 09/41 FIXED VAR                   | CUSIP: 3138EKSM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95490 | PA      | $98358.30     | 0.11%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AB0204 FN 12/38 FIXED 5.5                   | CUSIP: 31416VGN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2786 | PA      | $2876.24      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-63                                  | FANNIE MAE FNR 2007 63 FC                             | CUSIP: 31396WTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11584 | PA      | $11467.04     | 0.01%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750SC60 PIMCO CDSOPT PUT USD 102.32812500 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-2073.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $13027.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     800000 | NC      | $1217.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G03050 FG 07/37 FIXED 5             | CUSIP: 3128M4WK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21156 | PA      | $21418.76     | 0.02%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AL0822 FN 10/41 FIXED VAR                   | CUSIP: 3138EG4G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2327 | PA      | $2303.83      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/4.01300 01/15/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1584.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 688442 GN 05/38 FIXED 5                     | CUSIP: 36296DZF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8450 | PA      | $8580.50      | 0.01%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                  | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A      | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3771 | PA      | $3672.52      | 0.00%             | 2035-05-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT KRW SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-3460.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE6                               | AREIT CRE TRUST AREIT 2022 CRE6 A 144A                | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     508389 | PA      | $508324.45    | 0.55%             | 2037-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT GBP SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-3389.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 848067 FN 10/35 FIXED 5.5                   | CUSIP: 31408DFG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8830 | PA      | $9039.03      | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT THB SOLD USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-423.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A36784 FG 09/35 FIXED 5             | CUSIP: 31297SRD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1173 | PA      | $1185.07      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 677312 GN 09/38 FIXED 5                     | CUSIP: 36295QN55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4039 | PA      | $4107.11      | 0.00%             | 2038-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 741620 FN 10/33 FIXED 5.5                   | CUSIP: 31402X4D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        557 | PA      | $559.77       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 966578 FN 02/38 FIXED 6                     | CUSIP: 31414HJX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15576 | PA      | $16210.60     | 0.02%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 946254 FN 09/37 FIXED 6                     | CUSIP: 31413HWP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3991 | PA      | $4189.40      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 190363 FN 11/35 FIXED VAR                   | CUSIP: 31368HML4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8674 | PA      | $8955.27      | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.81000 01/02/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-363.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -400000 | NC      | $-161.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $717.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AL0525 FN 04/37 FIXED VAR                   | CUSIP: 3138EGSP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9342 | PA      | $9608.81      | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PEN BOUGHT USD 20270128                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $4150.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A      | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        847 | PA      | $822.95       | 0.00%             | 2042-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $103.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 995279 FN 12/38 FIXED VAR                   | CUSIP: 31416BUC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $176.33       | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PEN SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-761.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                 | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1         | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        609 | PA      | $586.23       | 0.00%             | 2035-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-753.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $14731.58     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA II TBA 30 YR 3 JUMBOS                            | CUSIP: 21H030641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3400000 | PA      | $-3035880.43  | -3.27%            | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 889532 FN 04/38 FIXED VAR                   | CUSIP: 31410KHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1848 | PA      | $1908.22      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SPTR TRS EQUITY SOFR+64 *BULLET* MBC                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-10114946.54 | -10.91%           |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SPTR TRS EQUITY SOFR+57.5 ULO                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $1290950.69   | 1.39%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 2.52000 04/09/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3027.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 831819 FN 10/36 FIXED 6                     | CUSIP: 31407JDY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        389 | PA      | $407.99       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1089.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | ZCS BRL 12.985 01/27/26-01/02/31 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-5202.58     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT JPY SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $501.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT TRY SOLD USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $745.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE               | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4770000 | PA      | $4491850.33   | 4.85%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC2              | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC2 A1      | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         89 | PA      | $88.10        | 0.00%             | 2030-06-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750S7M1 PIMCO CDSOPT CALL USD 0.525 20260520        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -6200000 | NC      | $-3816.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)               | IVORY COAST SR UNSECURED REGS 03/48 6.625             | CUSIP: ACI11JW62<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     200000 | PA      | $199661.57    | 0.22%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD JPY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-707.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS PLN 4.72250 12/01/30-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $1269.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 754031 FN 12/33 FLOATING VAR                | CUSIP: 31403NVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2454 | PA      | $2511.11      | 0.00%             | 2033-12-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AL6924 FN 01/45 FIXED VAR                   | CUSIP: 3138EPVS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     145806 | PA      | $139555.45    | 0.15%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $101.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD EUR BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1835.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | AUST 3YR BOND FUT JUN26 XSFE 20260615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -2 | NC      | $666.36       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $524.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT IDR SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-283.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-72.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 932548 FN 02/40 FIXED 5.5                   | CUSIP: 31412RBR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3104 | PA      | $3192.29      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PEN BOUGHT USD 20260804                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $8252.63      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AA0920 FN 08/37 FIXED 5.5                   | CUSIP: 31416JAW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34653 | PA      | $35779.10     | 0.04%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR JPY MUTK/2.50000 12/17/25-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-83353.56    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 256553 FN 01/37 FIXED 6                     | CUSIP: 31371M5N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10045 | PA      | $10543.17     | 0.01%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT COP SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $134.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     400000 | NC      | $21680.44     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A       | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        459 | PA      | $466.10       | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $560.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.84199 12/02/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $110829.06    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-11.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT JPY SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-49.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-1A             | HERTZ VEHICLE FINANCING LLC HERTZ 2023 1A A 144A      | CUSIP: 42806MBS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     150000 | PA      | $150292.85    | 0.16%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 904605 FN 11/36 FIXED 6                     | CUSIP: 31411DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1874 | PA      | $1943.61      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD COP BOUGHT USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-620.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD SGD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $162.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     400000 | NC      | $608.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 995721 FN 03/39 FIXED VAR                   | CUSIP: 31416CD29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16752 | PA      | $17535.27     | 0.02%             | 2039-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G04668 FG 03/38 FIXED 5             | CUSIP: 3128M6QV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14789 | PA      | $14973.05     | 0.02%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F032641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -870000 | PA      | $-797684.22   | -0.86%            | 2056-04-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | OIS CAD CAONREPO/3.0000 09/16/26-10Y LCH              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-10694.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1181.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A73952 FG 02/38 FIXED 5             | CUSIP: 3128L7L96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55655 | PA      | $56306.56     | 0.06%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA II TBA 30 YR 4.5 JUMBOS                          | CUSIP: 21H042653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1480000 | PA      | $1428204.03   | 1.54%             | 2056-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 828355 FN 07/35 FIXED 5.5                   | CUSIP: 31407EH89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        332 | PA      | $342.58       | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 310122 FN 06/28 FIXED VAR                   | CUSIP: 31374CPF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4164 | PA      | $4175.66      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-278.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $8.98         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AL3365 FN 05/41 FIXED VAR                   | CUSIP: 3138EKW35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     816633 | PA      | $857080.42    | 0.92%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260429                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-188.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $730.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                      | TITULOS DE TESORERIA BONDS 03/58 12                   | CUSIP: ACI2Z8HT4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   31000000 | PA      | $7618.42      | 0.01%             | 2058-03-13      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD JPY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-504.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 06/20/24-9Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $23954.82     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $358.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT MXN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2287.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2229.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT THB SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-390.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 819297 FN 09/35 FIXED 6                     | CUSIP: 31406TGE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14082 | PA      | $14736.27     | 0.02%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 2.22000 01/08/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-7095.74     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.00000 06/21/23-7Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $123254.54    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 724275 GN 09/39 FIXED 5                     | CUSIP: 3620AAT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8521 | PA      | $8667.82      | 0.01%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-11                 | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 11 A1A      | CUSIP: 41162GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49343 | PA      | $45015.49     | 0.05%             | 2036-12-19      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-89.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PEN BOUGHT USD 20261221                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $5169.07      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 3.25000 11/06/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2619.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -106420 | NC      | $-93.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 754744 FN 11/33 FIXED 5.5                   | CUSIP: 31403QP53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2494 | PA      | $2507.57      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $782.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UAN1A8 PIMCO SWAPTION 4.082 PUT USD 2027010        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   12600000 | NC      | $19443.06     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 2.46000 04/01/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3661.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL MA0280 FN 11/29 FIXED 5.5                   | CUSIP: 31417YJ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6176 | PA      | $6222.85      | 0.01%             | 2029-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AH2695 FN 01/41 FIXED 4.5                   | CUSIP: 3138A37H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     151760 | PA      | $150274.26    | 0.16%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | S+P500 EMINI FUT  JUN26 XCME 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        -36 | NC      | $-123630.90   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 06/20/24-4Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3667.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1183.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | CDX IG46 5Y ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-561960.62   | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT THB SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-86.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     900000 | NC      | $1294.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR11                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR11 A1A     | CUSIP: 92922F2G2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     669989 | PA      | $640541.83    | 0.69%             | 2045-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                    | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1              | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2262 | PA      | $1990.77      | 0.00%             | 2035-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD THB BOUGHT USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $915.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 761893 FN 01/34 FIXED 5.5                   | CUSIP: 31403YNJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9240 | PA      | $9293.33      | 0.01%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AL1572 FN 09/36 FIXED VAR                   | CUSIP: 3138EHXA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11472 | PA      | $11541.65     | 0.01%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD NZD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $29693.20     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-362.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 555800 FN 10/33 FIXED VAR                   | CUSIP: 31385XNR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4623 | PA      | $4712.05      | 0.01%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-167.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD KRW BOUGHT USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $109.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A48592 FG 03/36 FIXED 6             | CUSIP: 3128K9RM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8619 | PA      | $8952.09      | 0.01%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK (FHLB)                       | FED HOME LN DISCOUNT NT DISCOUNT NOT 06/26 0.00000    | CUSIP: 313385XS0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     100000 | PA      | $99340.92     | 0.11%             | 2026-06-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 929838 FN 08/38 FIXED 6                     | CUSIP: 31412NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        803 | PA      | $840.15       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                        | ROMANIA SR UNSECURED REGS 07/39 6.75                  | CUSIP: ACI2W14X7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     200000 | PA      | $231193.16    | 0.25%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD THB BOUGHT USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-119.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CLP BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $201.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AE2919 FN 08/40 FIXED 5.5                   | CUSIP: 31419DG54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3810 | PA      | $3910.42      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | INF SWAP US IT 2.4525 07/20/22-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-424.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                  | US TREASURY N/B 07/30 3.875                           | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $299537.11    | 0.32%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT TWD SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-39.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-668.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 12/17/25-30Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $27171.94     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $118.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA2                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3       | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     524675 | PA      | $480461.03    | 0.52%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 542828 GN 06/35 FIXED 5                     | CUSIP: 36212TA53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8491 | PA      | $8487.05      | 0.01%             | 2035-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4982.45     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-75                                  | FANNIE MAE FNR 2005 75 AF                             | CUSIP: 31394FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47136 | PA      | $46763.66     | 0.05%             | 2035-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                    | FREDDIE MAC FHR 3360 FC                               | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     164183 | PA      | $164581.45    | 0.18%             | 2037-05-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 920078 FN 12/36 FIXED 5.5                   | CUSIP: 31412BFT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3736 | PA      | $3857.24      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.50000 06/17/26-7Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10993.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UAV0A1 PIMCO SWAPTION 3.26 CALL USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1300000 | NC      | $869.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                         | PIMCO PRV SHORT TERM FLT III MUTUAL FUND              | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    1463949 | PA      | $14257399.50  | 15.38%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                 | 317U9ZXA8 PIMCO SWAPTION 2.989 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $284.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 09/16/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $24107.40     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT ILS SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-97.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD THB BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $34.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST4     | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST4 A 144A   | CUSIP: 52608GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      10983 | PA      | $10962.81     | 0.01%             | 2029-07-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-362.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $40.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT EUR SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $30.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1            | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1         | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      42557 | PA      | $42555.91     | 0.05%             | 2038-04-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750SEP6 PIMCO FXVAN PUT USD BRL 5.12000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -250000 | NC      | $-1562.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $103.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4500000 | PA      | $4514925.83   | 4.87%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 944526 FN 07/37 FIXED 6                     | CUSIP: 31413FYX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        320 | PA      | $330.73       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $26669.04     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT CNH SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $41.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/2.75000 06/21/23-30Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $242184.96    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $3031.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT TWD SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-35.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-5069.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AI8356 FN 08/41 FIXED 4.5                   | CUSIP: 3138ANJA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     213903 | PA      | $211226.30    | 0.23%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PEN BOUGHT USD 20270121                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $2285.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                           | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15         | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    7900000 | PA      | $2374109.03   | 2.56%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT IDR SOLD USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-118.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $7.85         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4406.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 2.46000 03/13/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5037.44     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT KRW SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-210.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PEN BOUGHT USD 20260720                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $3006.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3289                                    | FREDDIE MAC FHR 3289 FG                               | CUSIP: 31397FNM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132591 | PA      | $131387.38    | 0.14%             | 2037-03-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 888794 FN 09/35 FIXED VAR                   | CUSIP: 31410GNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        287 | PA      | $285.03       | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 847031 FN 12/35 FIXED 5.5                   | CUSIP: 31408CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8116 | PA      | $8161.92      | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317U9YNA2 PIMCO SWAPTION 3.505 CALL USD 202608        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1200000 | NC      | $7043.76      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                   | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25             | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   14470000 | PA      | $687376.84    | 0.74%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT KRW SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $119.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE               | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     240000 | PA      | $210481.82    | 0.23%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA II TBA 30 YR 5 JUMBOS                            | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2970000 | PA      | $2935745.21   | 3.17%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UAANA2 PIMCO FPPSWAPTION 4.11 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     900000 | NC      | $50966.10     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 888129 FN 02/37 FIXED VAR                   | CUSIP: 31410FVW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     384806 | PA      | $397317.42    | 0.43%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A83575 FG 12/38 FIXED 5             | CUSIP: 3129296L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21821 | PA      | $22092.00     | 0.02%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 917129 FN 06/37 FIXED 6                     | CUSIP: 31411W4N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        245 | PA      | $253.22       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 969064 FN 03/38 FIXED 5.5                   | CUSIP: 31414LB98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83862 | PA      | $86291.38     | 0.09%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | CDX ITRAXX XOV44 5Y 35-100% SP BOA                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $56033.68     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AH4226 FN 03/41 FIXED 4.5                   | CUSIP: 3138A5VU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1794 | PA      | $1757.25      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-184995.09   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 929451 FN 05/38 FIXED 5.5                   | CUSIP: 31412MTG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107080 | PA      | $110303.17    | 0.12%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 905588 FN 12/36 FIXED 5.5                   | CUSIP: 31411ECZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $49.47        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.86000 11/14/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $457.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3            | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A   | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     296465 | PA      | $272221.45    | 0.29%             | 2042-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UA5HA0 PIMCO FPPSWAPTION 4.11 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2500000 | NC      | $141572.50    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 950299 FN 08/37 FIXED 5.5                   | CUSIP: 31413NGG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4722 | PA      | $4782.83      | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-148.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $814.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB           | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB A2B 144A  | CUSIP: 78449DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     452375 | PA      | $450766.85    | 0.49%             | 2054-09-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 623958 GN 12/35 FIXED 5                     | CUSIP: 36291CE76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2744 | PA      | $2777.68      | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT ILS SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-51.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4984.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                       | EGYPT GOVERNMENT BOND BONDS 10/30 19.698              | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    5700000 | PA      | $102676.31    | 0.11%             | 2030-10-14      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| N/A                                                 | ZCS BRL 14.0087 05/12/25-01/04/27 CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-859.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 06/20/24-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12323.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                              | CVS PASS THROUGH TRUST PASS THRU CE 01/30 6.943       | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     231179 | PA      | $238067.99    | 0.26%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT CNH SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-112.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT AUD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-953.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | CDX ITRAXX XOV44 5Y 35-100% SP MYC                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $28016.84     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A69435 FG 12/37 FIXED 6             | CUSIP: 3128L1PU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1413 | PA      | $1463.18      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CAD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $4047.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 720199 GN 07/39 FIXED 5                     | CUSIP: 3620A6DC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24975 | PA      | $25510.06     | 0.03%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AH6339 FN 04/41 FIXED 4.5                   | CUSIP: 3138A8BH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1963 | PA      | $1944.08      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | US ULTRA BOND CBT JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -6 | NC      | $-6668.67     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                  | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A            | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4754 | PA      | $4596.22      | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1481.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD AUD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $1001.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G04468 FG 07/38 FIXED 5             | CUSIP: 3128M6JM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12000 | PA      | $12149.20     | 0.01%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-284.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 872787 FN 06/36 FIXED 5.5                   | CUSIP: 31409JUL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        531 | PA      | $547.93       | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 256928 FN 10/27 FIXED 6                     | CUSIP: 31371NLH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1506 | PA      | $1535.20      | 0.00%             | 2027-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 932035 FN 03/38 FIXED 6                     | CUSIP: 31412QPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1227 | PA      | $1287.93      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 12/17/25-5Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-45859.80    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G18659 FG 09/32 FIXED 3             | CUSIP: 3128MMWV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     443513 | PA      | $431887.21    | 0.47%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $30.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G04264 FG 04/38 FIXED 5.5           | CUSIP: 3128M6B98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        506 | PA      | $521.51       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT TRY SOLD USD 20260506                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $38.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 735227 FN 02/35 FIXED VAR                   | CUSIP: 31402QYY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7311 | PA      | $7475.57      | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 698340 GN 05/39 FIXED 5                     | CUSIP: 36296QZD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11229 | PA      | $11469.85     | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS PLN 4.68500 12/02/30-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $458.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AC7291 FN 12/39 FIXED 4.5                   | CUSIP: 31417UC52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2706 | PA      | $2679.37      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT JPY SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $595.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT JPY SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $703.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CHF BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $8443.93      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD TRY BOUGHT USD 20260414                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1483.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 2.99000 12/08/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-365.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A72047 FG 01/38 FIXED 5             | CUSIP: 3128L5HY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23127 | PA      | $23414.44     | 0.03%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1174.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                  | US TREASURY N/B 08/45 4.875                           | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      28000 | PA      | $27914.69     | 0.03%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 745257 FN 01/36 FIXED VAR                   | CUSIP: 31403C5S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1683 | PA      | $1766.78      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | 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        |        442 | PA      | $433.50       | 0.00%             | 2035-02-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 698099 GN 04/39 FIXED 5                     | CUSIP: 36296QRU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1445 | PA      | $1476.26      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-113.58      | -0.00%            |  |  |  | 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        |     300000 | PA      | $89483.61     | 0.10%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT SEK SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-2862.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-59.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $42.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 878481 FN 02/36 FIXED 6                     | CUSIP: 31409T6S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3009 | PA      | $3082.68      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 06/20/24-20Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $49808.22     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD KRW BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-119.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                    | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1            | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32258 | PA      | $17609.08     | 0.02%             | 2036-10-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT MXN SOLD USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2501.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.27750 09/16/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4092.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 769481 FN 02/34 FIXED 5.5                   | CUSIP: 31404H2N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2890 | PA      | $2918.24      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD NOK BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $20.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                   | REPUBLIC OF SOUTH AFRICA BONDS 01/37 8.5              | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    2000000 | PA      | $110474.11    | 0.12%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS CZK 4.48500 12/02/30-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-218.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                      | REPUBLIC OF COLOMBIA SR UNSECURED 11/54 8.375         | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $207094.00    | 0.22%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.75000 09/17/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $24428.98     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750SEO9 PIMCO FXVAN PUT USD BRL 5.32000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     250000 | NC      | $7385.25      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A2        | CUSIP: 61752UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     812744 | PA      | $415735.19    | 0.45%             | 2037-04-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 995482 FN 01/39 FIXED VAR                   | CUSIP: 31416B2P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2874 | PA      | $2959.03      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 682705 FN 01/33 FIXED 5.5                   | CUSIP: 31400BNW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        340 | PA      | $342.24       | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | EURO-OAT FUTURE   JUN26 XEUR 20260608                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -37 | NC      | $161639.18    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AH0066 FN 02/41 FIXED 4.5                   | CUSIP: 3138A1CC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      78242 | PA      | $76854.33     | 0.08%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-799.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 688141 GN 12/38 FIXED 5                     | CUSIP: 36296DP28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34871 | PA      | $34839.68     | 0.04%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 705997 GN 01/39 FIXED 5                     | CUSIP: 36297AKJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57172 | PA      | $58395.97     | 0.06%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL AC8113 FN 01/36 FIXED 5.5                   | CUSIP: 31417VAP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25897 | PA      | $26485.78     | 0.03%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                   | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875            | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    8700000 | PA      | $505303.10    | 0.55%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UAOYA0 PIMCO SWAPTION 3.857 PUT USD 2026100        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   12600000 | NC      | $24077.34     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT EUR SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-585.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $623.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $107.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD THB BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-1.94        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 890489 FN 11/41 FIXED VAR                   | CUSIP: 31410LKA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3094 | PA      | $3061.01      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 879839 FN 01/36 FIXED 6                     | CUSIP: 31409VPY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        296 | PA      | $304.80       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G03072 FG 11/36 FIXED 5             | CUSIP: 3128M4W90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8342 | PA      | $8432.09      | 0.01%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | US 5YR NOTE (CBT) JUN26 XCBT 20260630                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        181 | NC      | $-199725.26   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 889983 FN 10/38 FIXED VAR                   | CUSIP: 31410KXL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4548 | PA      | $4772.98      | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                             | FREDDIE MAC FHR 5580 FA                               | CUSIP: 3137HMXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1856486 | PA      | $1871561.42   | 2.02%             | 2055-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $866.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $376.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1       | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9189 | PA      | $8583.96      | 0.01%             | 2035-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT IDR SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-521.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT SEK SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $224.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                               | AREIT CRE TRUST AREIT 2022 CRE7 A 144A                | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     514474 | PA      | $514748.07    | 0.56%             | 2039-06-17      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | AUST 10Y BOND FUT JUN26 XSFE 20260615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         15 | NC      | $-6991.45     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| VICI PROPERTIES LP                                  | VICI PROPERTIES LP SR UNSECURED 02/28 4.75            | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100128.16    | 0.11%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 692479 GN 04/39 FIXED 5                     | CUSIP: 36296JJY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6003 | PA      | $6106.49      | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT MXN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-38395.53    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL G05342 FG 01/39 FIXED 5             | CUSIP: 3128M7HT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15430 | PA      | $15622.39     | 0.02%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 669739 GN 07/37 FIXED 6                     | CUSIP: 36295GBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11067 | PA      | $11505.89     | 0.01%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 988580 FN 08/38 FIXED 6                     | CUSIP: 31415TFV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        710 | PA      | $745.60       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 838630 FN 10/35 FIXED 4.5                   | CUSIP: 31407RVX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        505 | PA      | $499.96       | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT AUD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $3789.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 674114 GN 06/38 FIXED 5                     | CUSIP: 36295L3X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5305 | PA      | $5376.85      | 0.01%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-334.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 2A1       | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8015 | PA      | $7562.27      | 0.01%             | 2034-11-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 675181 GN 03/38 FIXED 5                     | CUSIP: 36295NCS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106211 | PA      | $107735.21    | 0.12%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 3.30500 11/27/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2713.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL A77292 FG 04/38 FIXED 5             | CUSIP: 3128LBC55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16770 | PA      | $16978.15     | 0.02%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT BRL SOLD USD 20260602                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $31627.68     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 2.75000 09/16/26-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-163350.53   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | FED FUND 30DAY    MAY26 XCBT 20260529                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          9 | NC      | $-14518.79    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UC6DA0 PIMCO SWAPTION 3.9 PUT USD 20260420         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-566.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD NZD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $3647.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 844532 FN 11/35 FLOATING VAR                | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        545 | PA      | $554.14       | 0.00%             | 2035-11-01      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1240000 | PA      | $1195589.83   | 1.29%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 690955 GN 06/38 FIXED 5                     | CUSIP: 36296GTL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1492 | PA      | $1510.53      | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3376                             | FREDDIE MAC FHR 3376 FD                               | CUSIP: 31397KZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47956 | PA      | $48049.52     | 0.05%             | 2037-10-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $262.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2   | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2D      | CUSIP: 81377AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1044973 | PA      | $395957.10    | 0.43%             | 2036-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD AUD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $15014.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F032641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     870000 | PA      | $797684.22    | 0.86%             | 2056-04-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     300000 | NC      | $17774.07     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6970000 | PA      | $6865951.56   | 7.41%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.74800 03/03/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $946.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 1A1       | CUSIP: 07384MZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          5 | PA      | $4.81         | 0.00%             | 2034-01-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-2933.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 928382 FN 06/37 FIXED 5.5                   | CUSIP: 31412LM72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14643 | PA      | $15103.28     | 0.02%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-56.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PEN SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-183.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-5498.89     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 2.35000 04/29/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $807.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 707284 GN 02/39 FIXED 5                     | CUSIP: 36297BXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97044 | PA      | $99122.52     | 0.11%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 317UAUZA5 PIMCO SWAPTION 3.56 PUT USD 20260428        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-17036.89    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PLN SOLD USD 20260422                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-4190.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 995243 FN 08/38 FIXED VAR                   | CUSIP: 31416BS82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5526 | PA      | $5472.03      | 0.01%             | 2038-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.84000 01/08/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $264.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD JPY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-212.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-861.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | IRS EUR 2.28000 03/04/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2333.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-31553.52    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 836362 FN 10/35 FIXED 5.5                   | CUSIP: 31407PFB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18056 | PA      | $18642.34     | 0.02%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | INF SWAP US IT 2.5975 09/28/22-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2825.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT GBP SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-817.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                   | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3640000 | PA      | $201611.42    | 0.22%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PEN BOUGHT USD 20260526                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $8669.21      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -900000 | NC      | $-364.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                         | PETROLEOS MEXICANOS COMPANY GUAR 02/48 6.35           | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     100000 | PA      | $76591.39     | 0.08%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                    | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A            | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        936 | PA      | $836.80       | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $1295.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT PEN SOLD USD 20260526                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-702.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD PEN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $4892.12      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25630000 | PA      | $26495309.55  | 28.58%            | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                        | BONOS TESORERIA PESOS UNSECURED 144A REGS 09/30 4.7   | CUSIP: ACI13NCW6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   50000000 | PA      | $52884.72     | 0.06%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                               | FED HM LN PC POOL C02054 FG 01/35 FIXED 5.5           | CUSIP: 31292JH78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1247 | PA      | $1255.91      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.86600 11/14/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $503.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1772.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 782979 GN 09/39 FIXED 5                     | CUSIP: 36241LJY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86191 | PA      | $88990.92     | 0.10%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | 31750SJX4 PIMCO FXVAN PUT USD KRW 1400.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     170000 | NC      | $995.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA POOL 704699 GN 09/39 FIXED 5                     | CUSIP: 36296X3G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17230 | PA      | $17561.77     | 0.02%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT GBP SOLD USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-7.14        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | RFR USD SOFR/3.50000 12/20/23-7Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15369.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $195.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 753095 FN 12/33 FIXED 5.5                   | CUSIP: 31403MUU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7627 | PA      | $7668.54      | 0.01%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                  | US TREASURY N/B 08/35 4.25                            | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      45000 | PA      | $44838.28     | 0.05%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 903812 FN 12/36 FIXED 5.5                   | CUSIP: 31411CDR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91040 | PA      | $93999.32     | 0.10%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                 | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2085.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                 | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4678.05     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                | GNMA II TBA 30 YR 4 JUMBOS                            | CUSIP: 21H040640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3310000 | PA      | $3101101.60   | 3.35%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                | FNMA POOL 744878 FN 11/33 FIXED 5.5                   | CUSIP: 31403CQ79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32842 | PA      | $33043.94     | 0.04%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer