# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007175
**Filing Date:** 2026-5
**Character Count:** 495510
**Document Hash:** c1e5e6b7fef8415b816c15ffca5c82c8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007175.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007175

**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:** 261043330

**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 Low Duration Fund (Series ID: S000009691)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026575 | Institutional  | PTLDX           |
| C000026576 | Administrative | PLDAX           |
| C000026577 | A              | PTLAX           |
| C000026579 | C              | PTLCX           |
| C000026581 | R              | PLDRX           |
| C000064143 | I-2            | PLDPX           |
| C000200445 | I-3            | PTLNX           |
| C000222833 | Class C-2      | PLCCX           |

## 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 Low Duration Fund

- **b. EDGAR series identifier (if any):** S000009691

- **c. LEI of Series:** MGFS63GRW2G1SZOESY83

**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:** $9290911879.91

**Total Liabilities:** $4807090917.18

**Net Assets:** $4483820962.73

**Delayed Delivery Securities:** $27609970.85

**Cash Not Reported:** $15425066.81

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 362348.736100 | **1-Year:** 333866.251300 | **5-Year:** 346371.326000 | **10-Year:** 46395.430000 | **30-Year:** 1025.371500

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

- **3-Month:** 16926.158400 | **1-Year:** 6405.944300 | **5-Year:** 6702.648600 | **10-Year:** 401.070600 | **30-Year:** 6.619300

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026576 | 0.31%                | 0.40%                | -0.76%               |
| Class ID C000026577 | 0.30%                | 0.40%                | -0.76%               |
| Class ID C000026579 | 0.27%                | 0.37%                | -0.79%               |
| Class ID C000222833 | 0.26%                | 0.36%                | -0.81%               |
| Class ID C000064143 | 0.32%                | 0.41%                | -0.75%               |
| Class ID C000200445 | 0.32%                | 0.41%                | -0.75%               |
| Class ID C000026581 | 0.28%                | 0.37%                | -0.79%               |
| Class ID C000026575 | 0.33%                | 0.42%                | -0.74%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4760333.40              | $7539617.20                                |
| Month 2  | $-1779246.54             | $14684329.21                               |
| Month 3  | $-11815340.86            | $-14452857.05                              |

**Designated Index Information**

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

- **Index Identifier:** G1O2, LUICTRUU

### Schedule of Portfolio Investments

| Name                                                              | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                               | RFR USD SOFR/3.54666 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $87466.42      | 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      | $14106.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                      | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A       | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4034693 | PA      | $3996181.73    | 0.09%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735207 FN 04/34 FIXED VAR                     | CUSIP: 31402QYC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5011 | PA      | $5169.12       | 0.00%             | 2034-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-491245.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-8                                   | ANGEL OAK MORTGAGE TRUST AOMT 2024 8 A1 144A            | CUSIP: 03465QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     704567 | PA      | $705425.17     | 0.02%             | 2069-05-27      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $175520.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL            | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2021 APPL A 144A    | CUSIP: 63874AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4826496 | PA      | $4740548.42    | 0.11%             | 2038-08-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-22                                                | FANNIE MAE FNR 2002 22 ZA                               | CUSIP: 31392CDG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     183249 | PA      | $190091.03     | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                     | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/26 1.625      | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    3200000 | PA      | $3176117.89    | 0.07%             | 2026-07-12      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-4275.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0268 FN 12/29 FIXED 5                       | CUSIP: 31417YJN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6264 | PA      | $6330.66       | 0.00%             | 2029-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8         | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6235669.84    | 0.14%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                         | BANCO BILBAO VIZCAYA ARG 03/29 VAR                      | CUSIP: 05946KAV3<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    1600000 | PA      | $1600678.78    | 0.04%             | 2029-03-03      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 799940 FN 11/34 FLOATING VAR                  | CUSIP: 31405UV97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50365 | PA      | $51031.93      | 0.00%             | 2034-11-01      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC)            | CBRE SVCS INC DISC COML PAPER 06/26 ZCP                 | CUSIP: 12610CFC9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3074262.56    | 0.07%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                   | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1              | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119693 | PA      | $115790.96     | 0.00%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.45000 05/05/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $26817.50      | 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      | $-2957.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                               | GLOBAL PMTS INC                                         | CUSIP: 37961DD64<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    5650000 | PA      | $5646082.86    | 0.13%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-17714.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                 | BDS LTD BDS 2021 FL10 A 144A                            | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4798176 | PA      | $4804030.43    | 0.11%             | 2036-12-16      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BX8646 FN 04/53 FIXED 5                       | CUSIP: 3140NDTC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1171837 | PA      | $1165935.92    | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 060680 FN 02/28 FLOATING VAR                  | CUSIP: 31362GM57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $56.04         | 0.00%             | 2028-02-01      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3404                                                  | FREDDIE MAC FHR 3404 AF                                 | CUSIP: 31397PST8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1089310 | PA      | $1097059.43    | 0.02%             | 2038-01-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                   | BEAR STEARNS ALT A TRUST BALTA 2004 9 6A1               | CUSIP: 07386HLE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76628 | PA      | $76707.47      | 0.00%             | 2034-09-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY SR UNSECURED 04/28 VAR            | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3444381.59    | 0.08%             | 2028-04-22      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-14                                                | FANNIE MAE FNR 2007 14 F                                | CUSIP: 31396PZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13071 | PA      | $12933.28      | 0.00%             | 2037-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS7958 FN 08/46 FIXED 4.5                     | CUSIP: 3138WHZY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21086 | PA      | $20814.18      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-92710.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EQUINIX INC SNR S* SP GST                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $638228.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-1 DAC 24-1A              | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 1A AR 144A    | CUSIP: ACI2W0KY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     476777 | PA      | $551604.29     | 0.01%             | 2033-08-15      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $89919.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7300000 | NC      | $-20318.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL3670 FN 10/26 FIXED 2.08                    | CUSIP: 3140HVCG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3780000 | PA      | $3736608.36    | 0.08%             | 2026-10-01      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS COMPANY                                             | GENUINE PTS CO DISC COML PAPER                          | CUSIP: 37255GD13<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |     300000 | PA      | $299965.50     | 0.01%             | 2026-04-01      | None          | 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      | $-2221.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5549                                           | FREDDIE MAC FHR 5549 BF                                 | CUSIP: 3137HLS52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3440944 | PA      | $3474430.82    | 0.08%             | 2055-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE2239 FN 02/47 FIXED 3.5                     | CUSIP: 3140FMPZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     484773 | PA      | $454667.48     | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $4000.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5800000 | PA      | $5747923.25    | 0.13%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2174                                                  | FREDDIE MAC FHR 2174 PN                                 | CUSIP: 3133TLMU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5478 | PA      | $5542.09       | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-C                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1A 144A      | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7318911 | PA      | $7470558.63    | 0.17%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-546.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JABIL INC                                                         | JABIL INC                                               | CUSIP: 46652MD85<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |     500000 | PA      | $499502.95     | 0.01%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008865 G2 05/26 FLOATING VAR               | CUSIP: 36202KZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $17.54         | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | 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      | $-65012.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                               | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A      | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1797750.13    | 0.04%             | 2035-01-18      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.65000 08/14/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-23987.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $4140.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                      | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/29 5.375  | CUSIP: 00402D2A2<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |    3900000 | PA      | $3971360.06    | 0.09%             | 2029-05-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 1A2         | CUSIP: 07384MWX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18093 | PA      | $18279.22      | 0.00%             | 2033-08-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1434.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB5405 FN 10/52 FIXED 4.5                     | CUSIP: 3140QRAF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4241700 | PA      | $4113626.74    | 0.09%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAHFA6 PIMCO SWAPTION 3.757 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  328500000 | NC      | $729237.15     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BW8088 FN 09/52 FIXED 5                       | CUSIP: 3140N07A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     216841 | PA      | $215050.40     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                               | NEXTERA ENERGY CAPITAL COMPANY GUAR 02/28 VAR           | CUSIP: 65339KDH0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    5750000 | PA      | $5758657.72    | 0.13%             | 2028-02-04      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-8881.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                       | ICG US CLO LTD ICG 2021 3A AR 144A                      | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3100000 | PA      | $3103781.63    | 0.07%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF8565 FR 03/53 FIXED 5               | CUSIP: 3133BWQS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     764311 | PA      | $760892.84     | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5443 FN 08/54 FIXED 5                       | CUSIP: 31418FBM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     845985 | PA      | $835157.97     | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-154.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                        | GUGGENHEIM 1888 FUND LTD GUGG 2022 2A A1R 144A          | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000342.35    | 0.02%             | 2035-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                         | ROMARK CLO LTD RMRK 2021 4A A1R 144A                    | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1201265.82    | 0.03%             | 2034-07-10      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H20 JF          | CUSIP: 38383K2U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     923613 | PA      | $930601.47     | 0.02%             | 2074-11-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HEQ LN 2001-HE2                             | ASSET BACKED SECURITIES CORP H ABSHE 2001 HE2 A1        | CUSIP: 04541GBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3828 | PA      | $3746.55       | 0.00%             | 2031-06-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORP SR UNSECURED 05/29 VAR             | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15066829.95   | 0.34%             | 2029-05-09      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $163.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3271                                                  | FREDDIE MAC FHR 3271 FA                                 | CUSIP: 31397FFJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23324 | PA      | $23092.27      | 0.00%             | 2037-02-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                                   | KKR FINANCIAL CLO LTD KKR 36A AR 144A                   | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1301591.51    | 0.03%             | 2034-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BNPAM-2018-1A                                                     | BNPP IP EURO CLO BNPAM 2018 1A AR 144A                  | CUSIP: ACI1W1J88<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     258067 | PA      | $298657.61     | 0.01%             | 2031-04-15      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $35294.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4733 FN 06/53 FIXED 5                       | CUSIP: 3140NMHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3563493 | PA      | $3526571.39    | 0.08%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $14464.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK1462 FN 04/48 FIXED 4                       | CUSIP: 3140HETU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     615311 | PA      | $589575.62     | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   50000000 | PA      | $47187901.00   | 1.05%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-18096.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0694 FN 11/47 FIXED 3.5                     | CUSIP: 3140Q7XY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   34338452 | PA      | $31766066.99   | 0.71%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3204.34      | -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      | $295341.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                               | CONSTELLATION ENERGY 04/26 ZCP                          | CUSIP: 21038QD68<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2198398.62    | 0.05%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOFTBANK GROUP CORP SNR JP SP GST                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1955.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDIGO CREDIT MANAGEMENT I DAC 1A                                 | INDIGO CREDIT MANAGEMENT INDI 1A AR 144A                | CUSIP: ACI37FVH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1155396.90    | 0.03%             | 2037-10-15      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                       | STATE OF ISRAEL SR UNSECURED 02/30 5.375                | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    6300000 | PA      | $6400949.44    | 0.14%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-8087.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                     | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A     | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23100000 | PA      | $23045137.50   | 0.51%             | 2043-10-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1440214.14   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-22A                          | STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1        | CUSIP: 86359AYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5431 | PA      | $5351.78       | 0.00%             | 2033-06-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-7108.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F           | CUSIP: 38375UXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     581638 | PA      | $583819.11     | 0.01%             | 2066-05-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $10640.19      | 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      | $20907.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SEC TRUST 2005-3                               | THORNBURG MORTGAGE SECURITIES TMST 2005 3 A1            | CUSIP: 885220HZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     463635 | PA      | $517007.37     | 0.01%             | 2045-10-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4978 FN 04/53 FIXED 5                       | CUSIP: 31418EQ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   46781512 | PA      | $46385621.01   | 1.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 548027 FN 08/30 FIXED 8                       | CUSIP: 31385NYY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $40.00         | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-78119.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                           | 83208D9A7 SMB 2026 B A1A 144A                           | CUSIP: 990ACZVA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20158000 | PA      | $20036232.38   | 0.45%             | 2054-03-11      | Fixed         | 4.85%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE 2007-68                                                | FANNIE MAE FNR 2007 68 FA                               | CUSIP: 31396WL20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71364 | PA      | $70704.14      | 0.00%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR24                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR24 2A4       | CUSIP: 22541QUN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8654 | PA      | $8570.62       | 0.00%             | 2033-10-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF6790 FR 01/53 FIXED 5               | CUSIP: 3133BURK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1014249 | PA      | $1005977.85    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4960                                           | FREDDIE MAC FHR 4960 PG                                 | CUSIP: 3137FRHR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92004 | PA      | $80666.55      | 0.00%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 923913 FN 02/37 FIXED 6.5                     | CUSIP: 31412FN66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5785 | PA      | $6015.37       | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8383 FR 12/53 FIXED 5.5             | CUSIP: 3132DWJ46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23594922 | PA      | $23760426.97   | 0.53%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-65                                                | FANNIE MAE FNR 2004 65 YA                               | CUSIP: 31394AQD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     212978 | PA      | $215524.67     | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $59.10         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90750 03/04/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-26331.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO MORTGAGE GROUP 2003-13                                   | ABN AMRO MORTGAGE CORP AMAC 2003 13 A3                  | CUSIP: 000780NZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13238 | PA      | $13397.15      | 0.00%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                           | MERCEDES BENZ FIN NA COMPANY GUAR 144A 11/27 4.9        | CUSIP: 58769JAZ0<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    3350000 | PA      | $3383147.08    | 0.08%             | 2027-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 1999-1                                  | STRUCTURED ASSET MORTGAGE INVE SAMI 1999 1 2A           | CUSIP: 86358HGW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30702 | PA      | $30100.18      | 0.00%             | 2029-06-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 07/26 0.00000                             | CUSIP: 912797TP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2500000 | PA      | $2471854.63    | 0.06%             | 2026-07-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                              | ROYAL BANK OF CANADA SR UNSECURED 08/26 VAR             | CUSIP: 78017DAE8<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    4800000 | PA      | $4802384.54    | 0.11%             | 2026-08-03      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4224                                           | FREDDIE MAC FHR 4224 FB                                 | CUSIP: 3137B3C48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3146520 | PA      | $3101926.44    | 0.07%             | 2043-07-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-3883.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 895323 FN 09/36 FIXED 6                       | CUSIP: 31410RVQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1482 | PA      | $1516.50       | 0.00%             | 2036-09-01      | 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      | $4531.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $195.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-129                                               | FANNIE MAE FNR 2006 129 FM                              | CUSIP: 31396L5K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2274 | PA      | $2244.76       | 0.00%             | 2037-01-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5189.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FLATIRON CLO LTD 2019-1A                                          | FLATIRON CLO LTD FLAT 2019 1A AR2 144A                  | CUSIP: 33883JAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     603608 | PA      | $604071.73     | 0.01%             | 2034-11-16      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $48200.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-108080.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                       | PHILLIPS 66                                             | CUSIP: 71855BDQ2<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3690047.38    | 0.08%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2589.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                           | BPCE SA 144A 10/27 VAR                                  | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   20200000 | PA      | $20426381.40   | 0.46%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A2       | CUSIP: 021468AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     325725 | PA      | $127831.66     | 0.00%             | 2036-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-2860.88      | -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      | $1263842.88    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2645 FN 01/27 FIXED VAR                     | CUSIP: 3138EJ5F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.21          | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080285 G2 05/29 FLOATING VAR               | CUSIP: 36225CJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $14.06         | 0.00%             | 2029-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3428.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-347210.05    | -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      | $1664.02       | 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      | $-447825.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1668.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RAAC 2004-SP1                                                     | RAAC SERIES RAAC 2004 SP1 AII                           | CUSIP: 7609855V9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35410 | PA      | $35377.85      | 0.00%             | 2034-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-15978.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255459 FN 11/34 FIXED 6                       | CUSIP: 31371LWU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2318 | PA      | $2400.11       | 0.00%             | 2034-11-01      | 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      | $38263.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINANCIAL SERVICES INC                            | HARLEY DAVIDSON FND CP                                  | CUSIP: 41282KD88<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |     550000 | PA      | $549502.91     | 0.01%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC 2024-2A                                 | OSCAR US FUNDING TRUST OSCAR 2024 2A A2 144A            | CUSIP: 68784BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     239652 | PA      | $239771.04     | 0.01%             | 2027-12-10      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 668556 FN 12/32 FIXED 6                       | CUSIP: 31391JWR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        781 | PA      | $796.39        | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-842.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR2                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR2 1A2        | CUSIP: 17307G6L7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     416421 | PA      | $410964.96     | 0.01%             | 2036-03-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                               | CONSTELLATION EN GEN LLC SR UNSECURED 01/28 VAR         | CUSIP: 210385AN0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2296627.35    | 0.05%             | 2028-01-08      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                            | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM A 144A      | CUSIP: 04965JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8211949 | PA      | $8112378.76    | 0.18%             | 2036-12-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.24000 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $65762.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-60907.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FL          | CUSIP: 38383KDY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3434755 | PA      | $3478420.18    | 0.08%             | 2073-05-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-135                                               | FANNIE MAE FNR 2010 135 LF                              | CUSIP: 31398SD83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5558 | PA      | $5530.93       | 0.00%             | 2040-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QE8941 FR 09/52 FIXED 5               | CUSIP: 3133BJ5A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7791359 | PA      | $7727827.42    | 0.17%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $55798.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                              | BAYER US FINANCE LLC COMPANY GUAR 144A 11/26 6.125      | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     600000 | PA      | $605546.29     | 0.01%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1859788.48   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                       | PHILLIPS 66                                             | CUSIP: 71855BDL3<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     700000 | PA      | $698432.28     | 0.02%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ORACLE CORPORATION SNR S* ICE                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-113865.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-17082.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG0977 FR 04/53 FIXED 5               | CUSIP: 3133C1CN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     987158 | PA      | $976930.57     | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 654952 FN 07/42 FLOATING VAR                  | CUSIP: 31390STH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2787 | PA      | $2773.09       | 0.00%             | 2042-07-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-H21                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 H21 FA          | CUSIP: 38375UQC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1850072 | PA      | $1852753.17    | 0.04%             | 2064-10-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C65574 FG 04/32 FIXED 7               | CUSIP: 31287RFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1945 | PA      | $2046.26       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 1A         | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18207 | PA      | $17207.75      | 0.00%             | 2046-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2871 FN 01/32 FIXED 3                       | CUSIP: 31418CFM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4987632 | PA      | $4858962.83    | 0.11%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF8169 FR 02/53 FIXED 5               | CUSIP: 3133BWCE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1081831 | PA      | $1073890.01    | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080094 G2 07/27 FLOATING VAR               | CUSIP: 36225CC87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        789 | PA      | $788.05        | 0.00%             | 2027-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QE8561 FR 08/52 FIXED 5               | CUSIP: 3133BJQN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     243479 | PA      | $240851.80     | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                      | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 04/29 5.875  | CUSIP: 147918AC0<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |   11300000 | PA      | $11794552.52   | 0.26%             | 2029-04-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2005-1                                  | AMERICAN HOME MORTGAGE ASSETS AHMA 2005 1 3A11          | CUSIP: 02660VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99547 | PA      | $97840.68      | 0.00%             | 2035-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-434.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85000 08/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7266.05      | -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      | $546.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD8806 FR 03/52 FIXED 3               | CUSIP: 3133B6YB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3138938 | PA      | $2766554.23    | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-1143.04      | -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      | $102302.35     | 0.00%             |  |  |  | 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        |     617018 | PA      | $528665.00     | 0.01%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-12                                                | FANNIE MAE FNR 2008 12 FA                               | CUSIP: 31396YMD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12781 | PA      | $12800.29      | 0.00%             | 2038-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-121841.43    | -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      | $17029.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BX6179 FN 02/53 FIXED 5                       | CUSIP: 3140NA2M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6027399 | PA      | $5977157.45    | 0.13%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $801.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6395 FN 02/53 FIXED 5                       | CUSIP: 3140QSC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1336342 | PA      | $1325064.55    | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995938 FN 01/39 FIXED VAR                     | CUSIP: 31416CLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     906165 | PA      | $951098.36     | 0.02%             | 2039-01-01      | Fixed         | 6.00%                 | 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      | $33306.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $103.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2826                                                  | FREDDIE MAC FHR 2826 YT                                 | CUSIP: 31395CZM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154905 | PA      | $157033.76     | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                              | TARGA RES CORP                                          | CUSIP: 87613LE47<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     950000 | PA      | $946300.42     | 0.02%             | 2026-05-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254144 FN 11/31 FIXED 8                       | CUSIP: 31371KHV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        841 | PA      | $856.79        | 0.00%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-6537.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7396 FN 04/53 FIXED 4                       | CUSIP: 3140QTGE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79317 | PA      | $75012.51      | 0.00%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797TL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     600000 | PA      | $597951.37     | 0.01%             | 2026-05-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-45143.85     | -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        |     105177 | PA      | $101466.58     | 0.00%             | 2035-09-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $8086.45       | 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      | $2727.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255267 FN 06/34 FIXED 6                       | CUSIP: 31371LQU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        559 | PA      | $578.35        | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 1999-2                                      | VENDEE MORTGAGE TRUST VENDE 1999 2 1Z                   | CUSIP: 911760MV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1216717 | PA      | $1235265.62    | 0.03%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0860 FN 12/47 FIXED 3.5                     | CUSIP: 3140Q75W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29397618 | PA      | $27177112.44   | 0.61%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725689 FN 08/34 FIXED VAR                     | CUSIP: 31402DF62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        193 | PA      | $200.00        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $276.21        | 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      | $18132.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 11/27 5.85             | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     600000 | PA      | $611281.87     | 0.01%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2602.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 3 DAC 3A                                        | TORO EUROPEAN CLO TCLO 3A ARRE 144A                     | CUSIP: ACI37Y6D3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $577860.09     | 0.01%             | 2034-07-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-93686.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                 | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A1        | CUSIP: 44328AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27018 | PA      | $9169.97       | 0.00%             | 2036-10-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735813 FN 07/35 FLOATING VAR                  | CUSIP: 31402RN62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36802 | PA      | $37756.71      | 0.00%             | 2035-07-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-40493.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1A 144A      | CUSIP: 83207QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1955538 | PA      | $1985869.81    | 0.04%             | 2053-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 01/29 VAR          | CUSIP: 38145GAP5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $6262839.07    | 0.14%             | 2029-01-21      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $3616.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 04/26 4.875                             | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36100000 | PA      | $36131921.43   | 0.81%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1Q0196 FH 02/37 FLOATING VAR          | CUSIP: 3128S4GD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1352 | PA      | $1402.60       | 0.00%             | 2037-02-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $20848.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.50000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-2601814.16   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 904568 FN 11/36 FIXED 6                       | CUSIP: 31411C6D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1573 | PA      | $1621.35       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                        | FIDELITY NATL INFORMATION SVCS                          | CUSIP: 31622GDH7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249527.93     | 0.01%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-84                                         | FANNIE MAE FNR 2013 84 PS                               | CUSIP: 3136AF5D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6150053 | PA      | $333798.41     | 0.01%             | 2042-11-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8288 FR 01/53 FIXED 5               | CUSIP: 3132DWF57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21577 | PA      | $21398.16      | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-425.76       | -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      | $7393.84       | 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      | $-8461.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-4                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 4 1A1         | CUSIP: 073882AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38513 | PA      | $38514.31      | 0.00%             | 2036-10-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $305578.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2025-2A                         | GLS AUTO RECEIVABLES TRUST GCAR 2025 2A A2 144A         | CUSIP: 37989BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     568603 | PA      | $569353.94     | 0.01%             | 2028-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BV0958 FN 09/52 FIXED 5                       | CUSIP: 3140MEB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46482 | PA      | $46051.56      | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST 2023-A2                             | SYNCHRONY CARD ISSUANCE TRUST SYNIT 2023 A2 A           | CUSIP: 87166PAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17600000 | PA      | $17756898.72   | 0.40%             | 2029-10-15      | Fixed         | 5.74%                 | 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      | $20855.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902067 FN 12/36 FIXED 6                       | CUSIP: 31411AFG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2179 | PA      | $2232.54       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | KEURIG DR PEPPER                                        | CUSIP: 49271KDT8<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    1650000 | PA      | $1644693.77    | 0.04%             | 2026-04-27      | None          | 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        |      35916 | PA      | $34597.39      | 0.00%             | 2035-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-84                                         | FANNIE MAE FNR 2012 84 SJ                               | CUSIP: 3136A7P48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     680449 | PA      | $94569.59      | 0.00%             | 2042-01-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-7675.20      | -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      | $-2983.49      | -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      | $13542.68      | 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      | $-126.50       | -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      | $-5002.09      | -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      | $7321.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735561 FN 04/34 FLOATING VAR                  | CUSIP: 31402RFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70039 | PA      | $71708.42      | 0.00%             | 2034-04-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK8838 FN 08/48 FIXED 4                       | CUSIP: 3140HNZC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2321894 | PA      | $2231332.02    | 0.05%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-595.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1149.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                   | SANTANDER UK GROUP HLDGS SR UNSECURED 09/29 VAR         | CUSIP: 80281LAW5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    7500000 | PA      | $7506398.40    | 0.17%             | 2029-09-22      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-5385.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-2                 | BEAR STEARNS ASSET BACKED SECU BSABS 2003 2 M1          | CUSIP: 07384YJU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     594366 | PA      | $588897.86     | 0.01%             | 2043-03-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-4105.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-16                                         | FANNIE MAE FNR 2025 16 FA                               | CUSIP: 3136BU5D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9548407 | PA      | $9623167.65    | 0.21%             | 2055-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-80                                         | FANNIE MAE FNR 2020 80 JF                               | CUSIP: 3136BCZK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     910099 | PA      | $877051.34     | 0.02%             | 2050-11-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2026-1 DAC 26-1A              | PALMER SQUARE EUROPEAN LOAN FU PSTET 2026 1A A 144A     | CUSIP: ACI38ZH96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1155850.22    | 0.03%             | 2035-10-15      | Floating      | 3.15%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC-3203                                                  | FREDDIE MAC FHR 3203 CF                                 | CUSIP: 31397APT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11506 | PA      | $11461.02      | 0.00%             | 2036-05-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0130 FN 07/29 FIXED 5                       | CUSIP: 31417YEC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1509 | PA      | $1520.47       | 0.00%             | 2029-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14 LTD 2021-14A                                           | AGL CLO 14, LTD. AGL 2021 14A AR 144A                   | CUSIP: 00851WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001012.55    | 0.02%             | 2034-12-02      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 04/28 VAR          | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   11900000 | PA      | $11960136.89   | 0.27%             | 2028-04-23      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-77539.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-64                                                | FANNIE MAE FNR 2007 64 FA                               | CUSIP: 31396WVQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     406448 | PA      | $404881.75     | 0.01%             | 2037-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-16369.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 910434 FN 01/37 FIXED 6                       | CUSIP: 31411KPT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2591 | PA      | $2688.10       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1        | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34123 | PA      | $13351.54      | 0.00%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                            | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M2          | CUSIP: 64352VKB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1273066 | PA      | $1286157.23    | 0.03%             | 2035-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | AIR LEASE CORP DISC COML                                | CUSIP: 00913XDE0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4093348.58    | 0.09%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008968 G2 09/26 FLOATING VAR               | CUSIP: 36202K6D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $34.96         | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 945766 FN 09/37 FIXED 6.5                     | CUSIP: 31413HFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21154 | PA      | $22143.27      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO X DAC 10A                                        | CAPITAL FOUR CLO CFOUR 10A A 144A                       | CUSIP: ACI2ZN408<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1153839.50    | 0.03%             | 2038-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUST RT MTGE TR 2000-                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1          | CUSIP: 07384MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3574 | PA      | $3567.71       | 0.00%             | 2030-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55800 08/21/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13539.06      | 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      | $11751.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257281 FN 07/28 FIXED 5                       | CUSIP: 31371NXJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        411 | PA      | $412.16        | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                              | EDISON INTERNATIONAL                                    | CUSIP: 28103BDH2<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     650000 | PA      | $648721.26     | 0.01%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-29                                                | FANNIE MAE FNR 2001 29 Z                                | CUSIP: 313920GP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108583 | PA      | $110992.10     | 0.00%             | 2031-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS COMPANY                                             | GENUINE PTS CO DISC COML PAPER                          | CUSIP: 37255GD62<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |     450000 | PA      | $449689.50     | 0.01%             | 2026-04-06      | 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      | $-2686.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 834681 FN 10/35 FLOATING VAR                  | CUSIP: 31407MJ22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105784 | PA      | $108589.94     | 0.00%             | 2035-10-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 04/28 VAR              | CUSIP: 46647PEF9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5016434.45    | 0.11%             | 2028-04-22      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LLC                                              | EMERA US FINANCE LLC COMPANY GUAR 04/29 4.5             | CUSIP: 29103HAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1598411.98    | 0.04%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $39857.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 722083 FN 07/33 FIXED 4.5                     | CUSIP: 31401YFY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6959 | PA      | $6792.57       | 0.00%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC COMPANY GUAR 144A 03/28 4.75         | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |   11790000 | PA      | $11858664.96   | 0.26%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832803 FN 09/35 FLOATING VAR                  | CUSIP: 31407KGL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4796 | PA      | $4917.01       | 0.00%             | 2035-09-01      | Floating      | 6.46%                 | 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        |   -1700000 | NC      | $-9628.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | KEURIG DR PEPPER                                        | CUSIP: 49271KDL5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    1950000 | PA      | $1945410.87    | 0.04%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-104                                        | FANNIE MAE FNR 2024 104 FA                              | CUSIP: 3136BUEQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2978358 | PA      | $2992525.57    | 0.07%             | 2055-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $169817.59     | 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      | $48708.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A   | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1055659 | PA      | $279175.23     | 0.01%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $2016.81       | 0.00%             |  |  |  | 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      | $13360.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-175359.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                        | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A               | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1701143.30    | 0.04%             | 2034-07-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-18388.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A         | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1951155 | PA      | $1987271.47    | 0.04%             | 2058-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1               | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3371942 | PA      | $3191695.16    | 0.07%             | 2036-02-20      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-12010.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 912134 FN 03/32 FIXED 6                       | CUSIP: 31411NLP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17952 | PA      | $18397.36      | 0.00%             | 2032-03-01      | 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      | $-479620.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080086 G2 06/27 FLOATING VAR               | CUSIP: 36225CCY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4727 | PA      | $4741.73       | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-131                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 131 BW          | CUSIP: 38379E2W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102099 | PA      | $100698.20     | 0.00%             | 2041-05-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                          | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS A 144A     | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $77105.00      | 0.00%             | 2036-12-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7761 FN 01/54 FIXED 5                       | CUSIP: 3140QTTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     865118 | PA      | $855998.91     | 0.02%             | 2054-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-84                                                | FANNIE MAE FNR 2007 84 FN                               | CUSIP: 31396XLZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14004 | PA      | $13940.53      | 0.00%             | 2037-08-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16224 | PA      | $15812.19      | 0.00%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-715.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC                                         | CONTINENTAL RESOURCES COMPANY GUAR 144A 11/26 2.268     | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1180898.70    | 0.03%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| CMO PLACEHOLDER                                                   | PROJECT NOVA TERM LOAN                                  | CUSIP: BA000QBV9<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    1400000 | PA      | $1400000.00    | 0.03%             | 2026-08-31      | Floating      | 6.59%                 | No            |                  3 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST A 144A   | CUSIP: 46652DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $3220000.00    | 0.07%             | 2036-12-15      | Floating      | 5.14%                 | 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        |    9313997 | PA      | $9312814.50    | 0.21%             | 2037-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                        | ARES CLO LTD ARES 2017 44A A1RR 144A                    | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2600000 | PA      | $2602763.88    | 0.06%             | 2034-04-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A1        | CUSIP: 61748HGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127986 | PA      | $122704.66     | 0.00%             | 2035-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H15 LF          | CUSIP: 38380LC84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9313981 | PA      | $9315928.90    | 0.21%             | 2069-08-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-23488.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                           | 83208D9F6 SMB 2026 B B 144A                             | CUSIP: 990ACZVC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1212000 | PA      | $1202545.18    | 0.03%             | 2054-03-11      | Fixed         | 5.53%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $719.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535597 FN 10/30 FIXED VAR                     | CUSIP: 31384V7J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        398 | PA      | $406.22        | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-49906.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 817229 FN 06/35 FLOATING VAR                  | CUSIP: 31406Q4N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71266 | PA      | $73065.61      | 0.00%             | 2035-06-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| VENTURE 36 CLO LTD                                                | VENTURE CDO LTD VENTR 2019 36A A1AR 144A                | CUSIP: 92332LAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7377717 | PA      | $7386608.16    | 0.16%             | 2032-04-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $96942.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TIKEHAU CLO V BV 5A                                               | TIKEHAU TIKEH 5A AR 144A                                | CUSIP: ACI2YQ816<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2500000 | PA      | $2888801.43    | 0.06%             | 2038-10-15      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3205.70      | -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      | $6552.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-77.99        | -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      | $-72480.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                               | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 M1           | CUSIP: 86358ELZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51085 | PA      | $49219.61      | 0.00%             | 2034-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H27                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H27 FG          | CUSIP: 38376RJ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2370968 | PA      | $2394589.52    | 0.05%             | 2066-12-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        104 | NC      | $-104908.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929192 FN 03/38 FIXED 6.5                     | CUSIP: 31412MKD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44083 | PA      | $46833.13      | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                   | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     793277 | PA      | $415330.79     | 0.01%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1964.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORPORATION                                | AMERICAN HONDA FINANCE SR UNSECURED 08/27 VAR           | CUSIP: 02665WGH8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   14300000 | PA      | $14289450.46   | 0.32%             | 2027-08-13      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-4448.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-60                                                | FANNIE MAE FNR 2002 60 F1                               | CUSIP: 31392EVN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2461 | PA      | $2457.09       | 0.00%             | 2032-06-25      | Floating      | 4.18%                 | No            |                  2 | 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      | $1450573.75    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4130                                           | FREDDIE MAC FHR 4130 AB                                 | CUSIP: 3137AVY35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2010328 | PA      | $1976376.82    | 0.04%             | 2027-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 563869 FN 01/31 FIXED 8                       | CUSIP: 31386HMS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        473 | PA      | $478.96        | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $150.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONE MARKET PLAZA TRUST 2017-1MKT                                  | ONE MARKET PLAZA TRUST OMPT 2017 1MKT A 144A            | CUSIP: 68245HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6281851 | PA      | $6054627.39    | 0.14%             | 2032-02-10      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795297 FN 07/44 FLOATING VAR                  | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77444 | PA      | $77619.78      | 0.00%             | 2044-07-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 309                                            | FREDDIEMAC STRIP FHS 309 S6                             | CUSIP: 31325USH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14203565 | PA      | $1436254.55    | 0.03%             | 2043-08-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-7462.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD7814 FN 09/46 FIXED 4.5                     | CUSIP: 3140FFVG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     249927 | PA      | $246230.00     | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5564                                           | FREDDIE MAC FHR 5564 FB                                 | CUSIP: 3137HMD23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3740852 | PA      | $3778379.82    | 0.08%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-2595.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008943 G2 08/26 FLOATING VAR               | CUSIP: 36202K5C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        289 | PA      | $288.55        | 0.00%             | 2026-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 900652 FN 09/36 FIXED 6                       | CUSIP: 31410XTH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        945 | PA      | $980.27        | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256866 FN 08/27 FIXED 5                       | CUSIP: 31371NJK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $57.52         | 0.00%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-9473.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                 | HSBC HOLDINGS PLC SR UNSECURED 08/27 VAR                | CUSIP: 404280DY2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3200000 | PA      | $3209244.86    | 0.07%             | 2027-08-14      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                 | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A        | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2713612 | PA      | $563219.89     | 0.01%             | 2036-12-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                  | ABN AMRO BANK NV 144A 01/27 4.718                       | CUSIP: 00084DBG4<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   17900000 | PA      | $17984929.95   | 0.40%             | 2027-01-22      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 679708 FN 09/41 FLOATING VAR                  | CUSIP: 31391XDM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8643 | PA      | $8697.68       | 0.00%             | 2041-09-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-694324.83    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-9518.92      | -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      | $3684.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB1720 FN 11/30 FIXED 4.5                     | CUSIP: 31416W4E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63322 | PA      | $63187.05      | 0.00%             | 2030-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                                        | AMETEK INC DISC COML                                    | CUSIP: 03111CD67<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |     300000 | PA      | $299800.86     | 0.01%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY SR UNSECURED 04/28 VAR                   | CUSIP: 61747YFN0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7528048.13    | 0.17%             | 2028-04-13      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3277 FN 04/52 FIXED 3                       | CUSIP: 3140QNUB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25142908 | PA      | $22138828.05   | 0.49%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUTK/1.00000 03/18/26-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $1555988.72    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF7455 FR 02/53 FIXED 5               | CUSIP: 3133BVH81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     949952 | PA      | $940110.02     | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257238 FN 06/28 FIXED 5                       | CUSIP: 31371NV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        881 | PA      | $886.17        | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                      | ALIMENTATION COUCHETARD INC                             | CUSIP: 01626VD18<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    1200000 | PA      | $1199866.08    | 0.03%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-37                                                | FANNIE MAE FNR 2004 37 FB                               | CUSIP: 31393YM51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21724 | PA      | $21459.76      | 0.00%             | 2034-06-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                              | LAS VEGAS SANDS CORP SR UNSECURED 06/28 5.625           | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    9300000 | PA      | $9422952.05    | 0.21%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-5331.22      | -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      | $120.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2019-521F MORTGAGE TRUST                                     | COMM MORTGAGE TRUST COMM 2019 521F A 144A               | CUSIP: 20048GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $3275900.00    | 0.07%             | 2034-06-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.74901 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-79805.00     | -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      | $895.58        | 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      | $16288.35      | 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      | $-4398.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                      | ALIMENTATION COUCHETARD INC                             | CUSIP: 01626VDA8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     450000 | PA      | $449492.18     | 0.01%             | 2026-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-22031.31     | -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      | $9211.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                 | NATWEST GROUP PLC SR UNSECURED 03/28 VAR                | CUSIP: 639057AL2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2800000 | PA      | $2828058.35    | 0.06%             | 2028-03-01      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                            | EXTRA SPACE STORAGE LP COMPANY GUAR 07/26 3.5           | CUSIP: 30225VAL1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6985298.32    | 0.16%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST 2005-7                              | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 7 7A5           | CUSIP: 61748HPQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     816644 | PA      | $711158.89     | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                     | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                 | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74739 | PA      | $70904.88      | 0.00%             | 2034-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED P/T SECURITIES E3                                | FHLMC STRUCTURED PASS THROUGH FSPC E3 A                 | CUSIP: 3133TCE95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2068 | PA      | $2033.17       | 0.00%             | 2032-08-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 899862 FN 11/37 FIXED 6.5                     | CUSIP: 31410WWX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        336 | PA      | $351.76        | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                         | BANQUE FED CRED MUTUEL 144A 02/28 5.194                 | CUSIP: 06675DCM2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    5150000 | PA      | $5218855.50    | 0.12%             | 2028-02-16      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-24                                         | FANNIE MAE FNR 2025 24 FB                               | CUSIP: 3136BVSA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7353169 | PA      | $7388303.92    | 0.16%             | 2055-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 901486 FN 11/36 FIXED 6                       | CUSIP: 31410YRF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        434 | PA      | $444.69        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $9805.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB8490 FN 07/54 FIXED 5                       | CUSIP: 3140AJNG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     483177 | PA      | $479186.85     | 0.01%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555417 FN 05/33 FIXED VAR                     | CUSIP: 31385XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        649 | PA      | $667.58        | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323919 FN 08/29 FLOATING VAR                  | CUSIP: 31374TYQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23026 | PA      | $23284.28      | 0.00%             | 2029-08-01      | Floating      | 6.12%                 | 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        |      21344 | PA      | $21819.09      | 0.00%             | 2035-06-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $110301.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                     | JONES LANG LASALLE FIN BV                               | CUSIP: 48002BD90<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |     250000 | PA      | $249750.53     | 0.01%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                  | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A           | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500818 | PA      | $1444389.96    | 0.03%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-61.56        | -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      | $-831180.56    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                       | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU A 144A      | CUSIP: 36256AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2514453 | PA      | $2503072.51    | 0.06%             | 2032-11-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1       | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134634 | PA      | $132371.14     | 0.00%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP2      | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 SP2 PT 144A      | CUSIP: 12654QBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13458241 | PA      | $13417902.47   | 0.30%             | 2050-06-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5568                                           | FREDDIE MAC FHR 5568 FE                                 | CUSIP: 3137HMN71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   35629563 | PA      | $35958708.96   | 0.80%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $100808.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A     | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     149469 | PA      | $145451.25     | 0.00%             | 2032-03-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 06/27 4.875   | CUSIP: 44891ADU8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3314248.67    | 0.07%             | 2027-06-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MID-STATE TRUST-11                                                | MID STATE TRUST MDST 11 A1                              | CUSIP: 59549WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      18120 | PA      | $18129.79      | 0.00%             | 2038-07-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H08                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H08 KF          | CUSIP: 38380LEB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133840 | PA      | $133443.40     | 0.00%             | 2068-05-20      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-18245.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.41000 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $76788.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2020-DUNE                            | GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE A 144A      | CUSIP: 36258BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     228337 | PA      | $228098.85     | 0.01%             | 2036-12-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3181                                                  | FREDDIE MAC FHR 3181 PS                                 | CUSIP: 31396URJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     584210 | PA      | $56227.98      | 0.00%             | 2036-07-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/29 4.5      | CUSIP: 873923AC0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2981263.89    | 0.07%             | 2029-03-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                           | FREDDIE MAC FHR 5565 FC                                 | CUSIP: 3137HMGL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6688687 | PA      | $6756361.26    | 0.15%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                  | DEUTSCHE BANK NY 11/27 VAR                              | CUSIP: 251526CN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   19000000 | PA      | $19052810.88   | 0.42%             | 2027-11-16      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL9109 FN 01/34 FIXED VAR                     | CUSIP: 3138ERDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1909 | PA      | $1906.64       | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $3436.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-306110.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-90                                         | FANNIE MAE FNR 2024 90 ED                               | CUSIP: 3136BTYL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10784156 | PA      | $10093987.66   | 0.23%             | 2046-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-73.72        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 07/26 0.00000                             | CUSIP: 912797TQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12400000 | PA      | $12251563.07   | 0.27%             | 2026-07-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS COMPANY                                             | GENUINE PTS CO DISC COML PAPER                          | CUSIP: 37255GDP0<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |     700000 | PA      | $698095.58     | 0.02%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A1                | CUSIP: 362341RT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31573 | PA      | $31682.36      | 0.00%             | 2035-09-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-812.23       | -0.00%            |  |  |  | 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        |    1400000 | PA      | $1386383.46    | 0.03%             | 2032-04-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 06/27 4.7              | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1101145.45    | 0.02%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A4             | CUSIP: 61755CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2553840 | PA      | $2343730.09    | 0.05%             | 2037-05-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 JF          | CUSIP: 38382YV26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9356784 | PA      | $9398901.68    | 0.21%             | 2072-04-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| TRYSAIL CLO 2022-1A LTD                                           | TRYSAIL CLO LTD TRYSL 2022 1A A 144A                    | CUSIP: 89856JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1000000 | PA      | $1001367.80    | 0.02%             | 2033-10-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080569 G2 01/32 FLOATING VAR               | CUSIP: 36225CT30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69358 | PA      | $69862.78      | 0.00%             | 2032-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1947655.99   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                         | MARBLE POINT CLO MP22 2021 2A AR 144A                   | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3500000 | PA      | $3498250.14    | 0.08%             | 2034-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A       | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     903527 | PA      | $889460.45     | 0.02%             | 2034-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4604.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY SR UNSECURED 01/28 VAR            | CUSIP: 95000U3S0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $14997611.85   | 0.33%             | 2028-01-24      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 36 LTD 2025-52A                                      | SYMPHONY CLO LTD SYMP 2025 52A AR 144A                  | CUSIP: 87170MAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1299901.75    | 0.03%             | 2036-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                              | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A1           | CUSIP: 617463AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12766 | PA      | $4155.14       | 0.00%             | 2036-11-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797QN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $99566.15      | 0.00%             | 2026-05-14      | None          | 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      | $-1193.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP CBK                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $9165.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2699 FN 08/52 FIXED VAR                     | CUSIP: 3140XH7M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     298470 | PA      | $295901.63     | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $6024.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM1447 FN 07/47 FIXED VAR                     | CUSIP: 3140J5TD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2936910 | PA      | $2750253.33    | 0.06%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2124.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55016 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $62541.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0384 FN 09/47 FIXED 3.5                     | CUSIP: 3140Q7NA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23357138 | PA      | $21607432.63   | 0.48%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE1                             | MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 M2             | CUSIP: 61744CKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     303015 | PA      | $303171.51     | 0.01%             | 2034-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                          | LLOYDS BANKING GROUP PLC SR UNSECURED 02/30 VAR         | CUSIP: 53944YBH5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    7300000 | PA      | $7265120.24    | 0.16%             | 2030-02-10      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SECURED 144A 07/26 VAR            | CUSIP: 04685A4J7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   16500000 | PA      | $16510294.35   | 0.37%             | 2026-07-16      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804850 FN 01/35 FLOATING VAR                  | CUSIP: 31406BEX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     264215 | PA      | $269288.03     | 0.01%             | 2035-01-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $1681.62       | 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      | $-1256.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545993 FN 11/32 FIXED VAR                     | CUSIP: 31385JRN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        281 | PA      | $288.79        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 630252 FN 03/32 FIXED 6                       | CUSIP: 31389NEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2226 | PA      | $2270.63       | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MDPKE 14A                                                         | MADISON PARK EURO FUNDING MDPKE 14A A1R 144A            | CUSIP: ACI2289F9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4949906 | PA      | $5714017.84    | 0.13%             | 2032-07-15      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $256787.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735754 FN 07/35 FLOATING VAR                  | CUSIP: 31402RMB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60580 | PA      | $61610.85      | 0.00%             | 2035-07-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                          | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A          | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18486323 | PA      | $16031211.47   | 0.36%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.40750 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $68002.32      | 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      | $-52114.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VNDO TRUST 2016-350P                                              | VNO MORTGAGE TRUST VNDO 2016 350P D 144A                | CUSIP: 91831UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     720000 | PA      | $718858.51     | 0.02%             | 2035-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                      | FANNIEMAE WHOLE LOAN FNW 2004 W2 5AF                    | CUSIP: 31393XGV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13392 | PA      | $13357.26      | 0.00%             | 2044-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP BRC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2291.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | AIR LEASE CORP DISC COML 04/26 ZCP                      | CUSIP: 00913XD26<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4898876.44    | 0.11%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                 | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 5.125  | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   16100000 | PA      | $16274938.90   | 0.36%             | 2028-01-13      | Fixed         | 5.12%                 | 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        |     303360 | PA      | $300582.48     | 0.01%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS6793 FN 06/53 FIXED VAR                     | CUSIP: 3140XNRP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     457754 | PA      | $433083.00     | 0.01%             | 2053-06-01      | Fixed         | 4.00%                 | 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      | $886019.79     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                       | LETRA TESOURO NACIONAL BILLS 10/26 0.00000              | CUSIP: ACI2Q7PM2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  521500000 | PA      | $94318779.85   | 2.10%             | 2026-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -176500000 | PA      | $-161456732.03 | -3.60%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $29993.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                       | NEWGATE FUNDING PLC NGATE 2007 3X A2B REGS              | CUSIP: B2NDQDII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     505057 | PA      | $580851.40     | 0.01%             | 2050-12-15      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVI LTD 2021-16A                                    | JAMESTOWN CLO LTD JTWN 2021 16A AR 144A                 | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1201019.87    | 0.03%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2004-1                               | SAXON ASSET SECURITIES TRUST SAST 2004 1 M1             | CUSIP: 805564PN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107314 | PA      | $91785.21      | 0.00%             | 2035-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $1728.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 258338 FN 04/35 FIXED 5                       | CUSIP: 31371P4X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8671 | PA      | $8639.77       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.56500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $50545.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                              | ERAC USA FINANCE LLC                                    | CUSIP: 26882SDA1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     950000 | PA      | $948934.39     | 0.02%             | 2026-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $21417.29      | 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      | $-7760.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080015 G2 11/26 FLOATING VAR               | CUSIP: 36225CAR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        273 | PA      | $273.27        | 0.00%             | 2026-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24960613 | PA      | $23558569.88   | 0.53%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                   | DANSKE BANK A/S 144A 03/29 VAR                          | CUSIP: 23636ABM2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    6800000 | PA      | $6816128.58    | 0.15%             | 2029-03-27      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1165370.91   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A          | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119891 | PA      | $113941.82     | 0.00%             | 2042-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-35                                                | FANNIE MAE FNR 2003 35 UN                               | CUSIP: 31393BM69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64777 | PA      | $64538.21      | 0.00%             | 2033-05-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                       | PHILLIPS 66                                             | CUSIP: 71855BEV0<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1738324.18    | 0.04%             | 2026-05-29      | None          | 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      | $835.37        | 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      | $-1331.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2135                                                  | FREDDIE MAC FHR 2135 KZ                                 | CUSIP: 3133TJWR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55963 | PA      | $56619.21      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                       | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1                 | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12658 | PA      | $13019.57      | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797TU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6394000 | PA      | $6354283.80    | 0.14%             | 2026-06-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4123                                           | FREDDIE MAC FHR 4123 AH                                 | CUSIP: 3137AUXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1865724 | PA      | $1833684.00    | 0.04%             | 2027-10-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080428 G2 07/30 FLOATING VAR               | CUSIP: 36225CPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        746 | PA      | $746.12        | 0.00%             | 2030-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-3988.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0383 FN 04/30 FIXED 4.5                     | CUSIP: 31417YM95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8633 | PA      | $8644.64       | 0.00%             | 2030-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2958.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   75000000 | PA      | $73821803.25   | 1.65%             | 2056-06-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-106                                               | FANNIE MAE FNR 2009 106 FA                              | CUSIP: 31398GUJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6654 | PA      | $6681.43       | 0.00%             | 2040-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2002-2                         | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 A            | CUSIP: 759950AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39700 | PA      | $38488.94      | 0.00%             | 2032-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO II LTD 2021-2A                                    | SILVER ROCK CLO LTD SLVRK 2021 2A AR 144A               | CUSIP: 82812LAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1200400.57    | 0.03%             | 2035-01-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                       | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A            | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11720667 | PA      | $11750910.93   | 0.26%             | 2039-02-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                       | PHILLIPS 66                                             | CUSIP: 71855BD25<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    4450000 | PA      | $4449015.22    | 0.10%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                  | FIRSTENERGY CORP SR UNSECURED 07/27 3.9                 | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     300000 | PA      | $297630.95     | 0.01%             | 2027-07-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $21229.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                              | GENERAL MOTORS FINL CO SR UNSECURED 05/27 5.4           | CUSIP: 37045XEQ5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   14700000 | PA      | $14832955.47   | 0.33%             | 2027-05-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                   | DANSKE BANK A/S 144A 03/28 VAR                          | CUSIP: 23636ABG5<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    8000000 | PA      | $8077030.32    | 0.18%             | 2028-03-01      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $498.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                | ORACLE CORP SR UNSECURED 08/28 VAR                      | CUSIP: 68389XCX1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3350773.75    | 0.07%             | 2028-08-03      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $78394.34      | 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      | $18399.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| APIDOS CLO XI 2012-11A                                            | APIDOS CLO APID 2012 11A AR4 144A                       | CUSIP: 03763YBY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001303.56    | 0.02%             | 2034-04-17      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-1 DAC 25-1A              | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 1A A 144A     | CUSIP: ACI2TS750<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     917937 | PA      | $1060190.25    | 0.02%             | 2034-10-15      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2724 FN 08/46 FIXED 4.5                     | CUSIP: 31418CA20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7249 | PA      | $7155.72       | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 900883 FN 01/37 FIXED 6                       | CUSIP: 31410X2Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5912 | PA      | $6132.60       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995069 FN 10/38 FIXED VAR                     | CUSIP: 31416BMS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        430 | PA      | $451.43        | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-117                                               | FANNIE MAE FNR 2010 117 FE                              | CUSIP: 31398NQ80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2426 | PA      | $2405.17       | 0.00%             | 2040-10-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $13196.96      | 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        |     261300 | PA      | $260503.85     | 0.01%             | 2045-08-15      | Fixed         | 4.88%                 | 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      | $32454.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G61040 FG 06/47 FIXED 3.5             | CUSIP: 31335BEM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1549790 | PA      | $1452451.60    | 0.03%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-16062.41     | -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      | $38858.28      | 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        |       1971 | PA      | $2061.19       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008913 G2 07/26 FLOATING VAR               | CUSIP: 36202K3W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $18.75         | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-4188.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5                            | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 5 1APT        | CUSIP: 68383NCU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1221453 | PA      | $1215719.35    | 0.03%             | 2035-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  153000000 | PA      | $155676285.18  | 3.47%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 3MO EURO EURIBOR  DEC26 IFLL 20261214                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        934 | NC      | $-856365.87    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                            | EXTRA SPACE STORAGE LP                                  | CUSIP: 30227QDN3<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     950000 | PA      | $947647.71     | 0.02%             | 2026-04-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                   | AES CORP DISC COML PAPER                                | CUSIP: 00809KD21<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1349698.55    | 0.03%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.52500 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4356.32       | 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      | $-9719.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A              | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A     | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $693587.67     | 0.02%             | 2035-07-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                 | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A          | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1100243.12    | 0.02%             | 2034-08-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)              | FREDDIE MAC NOTES 10/26 0.8                             | CUSIP: 3134GW6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   83100000 | PA      | $81679501.07   | 1.82%             | 2026-10-28      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797TS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   68734000 | PA      | $68401785.89   | 1.53%             | 2026-05-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 10/29 VAR          | CUSIP: 38141GD27<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3566838.96    | 0.08%             | 2029-10-21      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-494.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-29160.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2594 FN 03/46 FIXED 4.5                     | CUSIP: 31418B3C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3494 | PA      | $3449.38       | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040651<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -22685000 | PA      | $-21390541.72  | -0.48%            | 2056-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08793 FG 12/47 FIXED 4               | CUSIP: 3128MJ3B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1227962 | PA      | $1178196.12    | 0.03%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $40100.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 992141 FN 10/38 FIXED 6                       | CUSIP: 31415XEN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14005 | PA      | $14701.24      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 1A1              | CUSIP: 46630PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95865 | PA      | $50710.78      | 0.00%             | 2037-04-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ9169 FN 05/48 FIXED 4                       | CUSIP: 3140HBFK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        681 | PA      | $653.04        | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AW7006 FN 06/44 FIXED 4.5                     | CUSIP: 3138XWYC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37341 | PA      | $36940.32      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.51400 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $56597.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 06/28 4.9     | CUSIP: 44891ADV6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3314880.56    | 0.07%             | 2028-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | KEURIG DR PEPPER                                        | CUSIP: 49271KDF8<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    3850000 | PA      | $3843264.04    | 0.09%             | 2026-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H12                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H12 DF          | CUSIP: 38382YAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8171839 | PA      | $8397700.00    | 0.19%             | 2071-08-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                     | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV4 A9 144A      | CUSIP: 918307AM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16713319 | PA      | $15601649.56   | 0.35%             | 2051-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP CBK                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-252.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 559821 FN 11/39 FLOATING VAR                  | CUSIP: 31386C4E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21346 | PA      | $21493.65      | 0.00%             | 2039-11-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $13104.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                           | FREDDIE MAC FHR 5508 AF                                 | CUSIP: 3137HJFR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5165307 | PA      | $5211784.13    | 0.12%             | 2055-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-3 LTD                                | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 3A A1R 144A     | CUSIP: 05684NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1700000 | PA      | $1700338.73    | 0.04%             | 2035-07-17      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-4                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 3A1         | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1156244 | PA      | $869217.80     | 0.02%             | 2035-07-19      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8360 FR 09/53 FIXED 4.5             | CUSIP: 3132DWJD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     864082 | PA      | $836117.97     | 0.02%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI9163 FN 11/30 FIXED 4.5                     | CUSIP: 3138APFD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17094 | PA      | $17062.92      | 0.00%             | 2030-11-01      | 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      | $151068.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                | ORACLE CORP SR UNSECURED 02/29 VAR                      | CUSIP: 68389XDV4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3667709.69    | 0.08%             | 2029-02-04      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $4212.45       | 0.00%             |  |  |  | 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        |      37995 | PA      | $37695.26      | 0.00%             | 2035-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-90                                         | FANNIE MAE FNR 2024 90 FA                               | CUSIP: 3136BTXB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11623483 | PA      | $11704446.12   | 0.26%             | 2054-12-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3968 FN 12/26 FIXED 3                       | CUSIP: 31417AMS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     730491 | PA      | $726604.42     | 0.02%             | 2026-12-01      | Fixed         | 3.00%                 | 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        |       7750 | PA      | $7532.05       | 0.00%             | 2034-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-2032.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5515                                           | FREDDIE MAC FHR 5515 F                                  | CUSIP: 3137HKJ54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24704845 | PA      | $24326006.07   | 0.54%             | 2051-02-15      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-5364.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735362 FN 03/35 FLOATING VAR                  | CUSIP: 31402Q5X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     443256 | PA      | $451137.19     | 0.01%             | 2035-03-01      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                               | FANNIE MAE FNR 2006 118 A1                              | CUSIP: 31396L4R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     146349 | PA      | $143103.38     | 0.00%             | 2036-12-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797SN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2500000 | PA      | $2492700.33    | 0.06%             | 2026-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8054000 | PA      | $8032100.13    | 0.18%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                          | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                  | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     236803 | PA      | $237037.74     | 0.01%             | 2030-10-24      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-62                                         | FANNIE MAE FNR 2016 62 AF                               | CUSIP: 3136ATVF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1699359 | PA      | $1686101.97    | 0.04%             | 2046-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SEC TRUST 2005-4                               | THORNBURG MORTGAGE SECURITIES TMST 2005 4 A1            | CUSIP: 885220JN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     381691 | PA      | $345731.45     | 0.01%             | 2045-12-25      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |   77878258 | PA      | $764375107.19  | 17.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $21731.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $934806.84     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 2A1         | CUSIP: 07384MXB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82979 | PA      | $82211.30      | 0.00%             | 2033-08-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8290 FR 01/53 FIXED 6               | CUSIP: 3132DWF73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61885 | PA      | $63559.92      | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257132 FN 03/28 FIXED 5                       | CUSIP: 31371NSV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4963 | PA      | $4978.03       | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-1A                             | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A A1 144A    | CUSIP: 16678RAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39587 | PA      | $39298.52      | 0.00%             | 2035-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-171181.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 815195 FN 05/35 FLOATING VAR                  | CUSIP: 31406NUU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18892 | PA      | $19208.36      | 0.00%             | 2035-05-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 559797 FN 10/30 FLOATING VAR                  | CUSIP: 31386C3E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8849 | PA      | $8907.16       | 0.00%             | 2030-10-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 890653 FN 01/32 FIXED VAR                     | CUSIP: 31410LQE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79945 | PA      | $79939.17      | 0.00%             | 2032-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1J1219 FH 10/35 FLOATING VAR          | CUSIP: 3128NHK85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84462 | PA      | $86433.06      | 0.00%             | 2035-10-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST REF MORT 03/28 3.65             | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     700000 | PA      | $689168.14     | 0.02%             | 2028-03-01      | Fixed         | 3.65%                 | 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        |      28042 | PA      | $28698.38      | 0.00%             | 2033-12-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5563                                           | FREDDIE MAC FHR 5563 FV                                 | CUSIP: 3137HMNV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   40885518 | PA      | $41237051.82   | 0.92%             | 2055-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3004 FN 02/52 FIXED 3                       | CUSIP: 3140QNKS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   53665972 | PA      | $47230692.84   | 1.05%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323115 FN 11/27 FLOATING VAR                  | CUSIP: 31374S3Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1220 | PA      | $1225.05       | 0.00%             | 2027-11-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0096 FN 06/29 FIXED 4.5                     | CUSIP: 31417YDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        190 | PA      | $190.57        | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84200 03/04/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-95013.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-9910.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 941341 FN 08/37 FIXED 6                       | CUSIP: 31413CHS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43225 | PA      | $44909.96      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-111                                               | FANNIE MAE FNR 2009 111 FC                              | CUSIP: 31398GQS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122289 | PA      | $122806.71     | 0.00%             | 2038-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-20386.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2103                                                  | FREDDIE MAC FHR 2103 TE                                 | CUSIP: 3133THKP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        117 | PA      | $118.61        | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORPORATION                                           | BLACK HILLS CORP                                        | CUSIP: 09212FDD0<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |     300000 | PA      | $299567.88     | 0.01%             | 2026-04-13      | None          | 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      | $2215.41       | 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      | $260.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                   | AES CORP DISC COML PAPER                                | CUSIP: 00809KDH8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1247546.25    | 0.03%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2019-2 DAC 19-2A                                 | CARLYLE EURO CLO CGMSE 2019 2A A1R 144A                 | CUSIP: ACI1ZPM05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3115060 | PA      | $3604279.29    | 0.08%             | 2032-08-15      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BW7013 FN 08/52 FIXED 5                       | CUSIP: 3140MYYK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1650320 | PA      | $1636777.91    | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOUTH AFRICA EM SP CBK                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $21026.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735503 FN 04/35 FIXED VAR                     | CUSIP: 31402RDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        583 | PA      | $604.91        | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 07/26 0.00000                             | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39100000 | PA      | $38666592.92   | 0.86%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                               | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1             | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     756560 | PA      | $738795.78     | 0.02%             | 2044-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 04/26 4.55                    | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2100000 | PA      | $2100001.43    | 0.05%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01183 FG 02/31 FIXED 7               | CUSIP: 31283HJ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.42         | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 544861 FN 12/36 FLOATING VAR                  | CUSIP: 31385HJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1380 | PA      | $1397.53       | 0.00%             | 2036-12-01      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-44897.89     | -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        |    5000000 | PA      | $5016584.25    | 0.11%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $23352.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                               | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A         | CUSIP: 04410RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     283963 | PA      | $283980.72     | 0.01%             | 2035-04-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2010-H02                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H02 FA          | CUSIP: 38375BAM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     259588 | PA      | $260325.39     | 0.01%             | 2060-02-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.42145 07/06/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3119.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257536 FN 01/29 FIXED 5                       | CUSIP: 31371PBD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        645 | PA      | $647.66        | 0.00%             | 2029-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                               | CONSTELLATION ENERGY                                    | CUSIP: 21038QD19<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    6850000 | PA      | $6849171.84    | 0.15%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-13826.58     | -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      | $34875.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2304                                                  | FREDDIE MAC FHR 2304 PZ                                 | CUSIP: 3133TSMD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47276 | PA      | $48899.64      | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AN1346 FN 04/26 FIXED 2.77                    | CUSIP: 3138LDP80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1961382 | PA      | $1956272.16    | 0.04%             | 2026-04-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS-246                                            | FREDDIEMAC STRIP FHS 246 F14                            | CUSIP: 3128HWUY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4215 | PA      | $4182.06       | 0.00%             | 2037-05-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080484 G2 01/31 FLOATING VAR               | CUSIP: 36225CRE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1101 | PA      | $1104.54       | 0.00%             | 2031-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                              | BOSTON PPTYS LTD PARTNERSHIP D                          | CUSIP: 10113CDT0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249237.38     | 0.01%             | 2026-04-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/28 6.8         | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $206068.05     | 0.00%             | 2028-05-12      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                               | CONSTELLATION EN GEN LLC SR UNSECURED 01/28 3.9         | CUSIP: 210385AP5<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     900000 | PA      | $893189.13     | 0.02%             | 2028-01-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3439                                                  | FREDDIE MAC FHR 3439 FN                                 | CUSIP: 31397TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15765 | PA      | $15605.07      | 0.00%             | 2037-02-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $41196.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-D                                         | CENTEX HOME EQUITY CXHE 2004 D MV1                      | CUSIP: 152314LQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     773851 | PA      | $765846.64     | 0.02%             | 2034-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.28000 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $40726.16      | 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      | $18.44         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 09/27 VAR              | CUSIP: 46647PCQ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   19100000 | PA      | $19111247.99   | 0.43%             | 2027-09-22      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 7A1              | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     749839 | PA      | $670542.09     | 0.01%             | 2035-08-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 05/26 ZCP                       | CUSIP: 40412DED7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1143980.79    | 0.03%             | 2026-05-13      | None          | 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      | $-16817.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1         | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3777 | PA      | $3626.31       | 0.00%             | 2034-01-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008847 G2 04/26 FLOATING VAR               | CUSIP: 36202KZL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $4.58          | 0.00%             | 2026-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                               | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1              | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     194949 | PA      | $195503.39     | 0.00%             | 2031-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-100902.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2271.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-39                                         | FANNIE MAE FNR 2013 39 MI                               | CUSIP: 3136AEEH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     858535 | PA      | $15779.87      | 0.00%             | 2028-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030660<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -265050000 | PA      | $-232450859.08 | -5.18%            | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1          | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1772554 | PA      | $1776064.50    | 0.04%             | 2037-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                              | VASA TRUST VASA 2021 VASA A 144A                        | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4913476.50    | 0.11%             | 2039-07-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                          | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P A 144A     | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10200000 | PA      | $10151564.28   | 0.23%             | 2034-09-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $15917.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA/NEW YORK BRANCH                          | COOPERAT RABOBANK UA/NY 08/26 VAR                       | CUSIP: 21688ABG6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    6800000 | PA      | $6807127.01    | 0.15%             | 2026-08-28      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080031 G2 01/27 FLOATING VAR               | CUSIP: 36225CA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13682 | PA      | $13645.71      | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7197 FN 07/53 FIXED 5.5                     | CUSIP: 3140QS7K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4735339 | PA      | $4773992.71    | 0.11%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080046 G2 02/27 FLOATING VAR               | CUSIP: 36225CBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18670 | PA      | $18621.78      | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $12898.32      | 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      | $14711.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.15000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5071055.98   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 FD          | CUSIP: 38382YC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   72766146 | PA      | $74417195.58   | 1.66%             | 2072-11-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| 1211 AVENUE OF THE AMERICAS TRUST 2015-1211                       | 1211 AVENUE OF THE AMERICAS TR AOTA 2015 1211 A1A2 144A | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6950000 | PA      | $6662443.75    | 0.15%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     220000 | PA      | $219867.63     | 0.00%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO 2022 XXA LTD                                         | TRINITAS CLO LTD TRNTS 2022 20A A1R 144A                | CUSIP: 89640EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    2000000 | PA      | $2000395.24    | 0.04%             | 2035-07-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD 2024-2A                                        | NAVESINK CLO, LIMITED NAVS 2024 2A A1R 144A             | CUSIP: 63942YAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $700032.23     | 0.02%             | 2036-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 060679 FN 01/28 FLOATING VAR                  | CUSIP: 31362GM40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        482 | PA      | $479.04        | 0.00%             | 2028-01-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1314.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS3421 FN 12/52 FIXED VAR                     | CUSIP: 3140XJYT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38009 | PA      | $37662.08      | 0.00%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $21538.53      | 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      | $4928.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H08 FD          | CUSIP: 38375UVD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2273505 | PA      | $2275441.70    | 0.05%             | 2065-03-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-66                                         | FANNIE MAE FNR 2025 66 FL                               | CUSIP: 3136BWZV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   47614345 | PA      | $48088227.25   | 1.07%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5442                                           | FREDDIE MAC FHR 5442 FB                                 | CUSIP: 3137HF4U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6505541 | PA      | $6550025.30    | 0.15%             | 2054-08-25      | Floating      | 4.63%                 | 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      | $44065.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87000 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5519.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY SR UNSECURED 04/29 VAR            | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   16300000 | PA      | $16443089.88   | 0.37%             | 2029-04-23      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX              | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX A 144A    | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4100000 | PA      | $3950304.08    | 0.09%             | 2038-09-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER                                 | CUSIP: 40412DDP1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2450000 | PA      | $2443303.42    | 0.05%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                              | ERAC USA FINANCE LLC                                    | CUSIP: 26882SDL7<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1346918.36    | 0.03%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $46342.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                      | ALIMENTATION COUCHETARD INC                             | CUSIP: 01626VDM2<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    2850000 | PA      | $2843230.11    | 0.06%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SECURED REGS 02/27 VAR            | CUSIP: ACI2MZXR4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    8200000 | PA      | $9488711.86    | 0.21%             | 2027-02-23      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5697.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG9295 FR 08/53 FIXED 5.5             | CUSIP: 3133CAKG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1934044 | PA      | $1950261.20    | 0.04%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080579 G2 02/32 FLOATING VAR               | CUSIP: 36225CUD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     147478 | PA      | $149150.54     | 0.00%             | 2032-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-17390.12     | -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        |    9100000 | PA      | $9363267.10    | 0.21%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                         | BANCO BILBAO VIZCAYA ARG 03/29 4.15                     | CUSIP: 05946KAT8<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |     800000 | PA      | $790870.21     | 0.02%             | 2029-03-03      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 686323 FN 03/33 FIXED 6                       | CUSIP: 31400FPG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        128 | PA      | $130.33        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $11956.01      | 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      | $-4444.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080023 G2 12/26 FLOATING VAR               | CUSIP: 36225CAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        139 | PA      | $139.86        | 0.00%             | 2026-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-12504.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 07/26 0.00000                             | CUSIP: 912797RF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2100000 | PA      | $2079210.00    | 0.05%             | 2026-07-09      | None          | 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      | $57635.88      | 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        |      -3836 | NC      | $10035922.80   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080408 G2 05/30 FLOATING VAR               | CUSIP: 36225CN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4878 | PA      | $4879.39       | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1232.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH9044 FN 11/47 FIXED 4                       | CUSIP: 3140GYBN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     533667 | PA      | $511395.22     | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 190371 FN 07/36 FIXED VAR                     | CUSIP: 31368HMU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        930 | PA      | $985.25        | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD DKK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-4965.66      | -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      | $623.02        | 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      | $-17972.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 536330 FN 04/30 FIXED 8                       | CUSIP: 31384WY38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1833 | PA      | $1872.34       | 0.00%             | 2030-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TRNTS-2021-17A                                                    | TRINITAS CLO LTD TRNTS 2021 17A AR 144A                 | CUSIP: 89642JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1900000 | PA      | $1902317.60    | 0.04%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                                    | PROTECTIVE LIFE GLOBAL SECURED 144A 07/26 VAR           | CUSIP: 743672AG2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9002307.42    | 0.20%             | 2026-07-22      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 10/27 VAR              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    8300000 | PA      | $8379863.02    | 0.19%             | 2027-10-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO VI DAC 6A                                      | HAYFIN EMERALD CLO HAYEM 6A AR 144A                     | CUSIP: ACI30X675<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     900000 | PA      | $1039673.08    | 0.02%             | 2038-10-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                        | ABBVIE INC SR UNSECURED 03/27 4.8                       | CUSIP: 00287YDR7<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   16100000 | PA      | $16185465.88   | 0.36%             | 2027-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                     | JONES LANG LASALLE FIN BV                               | CUSIP: 48002BD82<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |    2000000 | PA      | $1998226.21    | 0.04%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q46244 FG 02/47 FIXED 3.5             | CUSIP: 3132WK5E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     651111 | PA      | $609948.92     | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3029 FN 06/32 FIXED 3                       | CUSIP: 31418CLK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6365279 | PA      | $6196001.64    | 0.14%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $15029.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 6 LP 2025-1                                 | PK ALIFT LOAN FUNDING PKAIR 2025 1 A 144A               | CUSIP: 69291YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1327267 | PA      | $1338685.74    | 0.03%             | 2042-11-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                 | HSBC HOLDINGS PLC SR UNSECURED 03/30 VAR                | CUSIP: 404280FK0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3600000 | PA      | $3574027.19    | 0.08%             | 2030-03-10      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 835288 FN 09/35 FIXED 5                       | CUSIP: 31407M6Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60175 | PA      | $60558.21      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TIKEHAU CLO IX DAC 9A                                             | TIKEHAU CLO IX DAC TIKEH 9A AR 144A                     | CUSIP: ACI2S1SP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4900000 | PA      | $5662941.70    | 0.13%             | 2037-01-20      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2005-2AR                       | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 2AR A           | CUSIP: 61745M4E0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     495029 | PA      | $494699.32     | 0.01%             | 2035-04-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP BPS                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-420.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                       | PHILLIPS 66                                             | CUSIP: 71855BDT6<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2093641.20    | 0.05%             | 2026-04-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080095 G2 07/27 FLOATING VAR               | CUSIP: 36225CC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14286 | PA      | $14344.01      | 0.00%             | 2027-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5569                                           | FREDDIE MAC FHR 5569 FB                                 | CUSIP: 3137HMMD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   42663786 | PA      | $43072035.67   | 0.96%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | KEURIG DR PEPPER                                        | CUSIP: 49271KD76<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     300000 | PA      | $299758.50     | 0.01%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080147 G2 12/27 FLOATING VAR               | CUSIP: 36225CEV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11891 | PA      | $11908.09      | 0.00%             | 2027-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G0198 FH 04/35 FLOATING VAR          | CUSIP: 3128NCGF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     139933 | PA      | $142801.77     | 0.00%             | 2035-04-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-5                               | BANC OF AMERICA FUNDING CORPOR BAFC 2005 5 1A11         | CUSIP: 05946XE58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148495 | PA      | $149941.21     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | 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      | $-66484.26     | -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      | $188.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                              | GSAMP TRUST GSAMP 2007 FM1 A2A                          | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1219578 | PA      | $602890.80     | 0.01%             | 2036-12-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-8442.87      | -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      | $-209260.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-6                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 6 1A1         | CUSIP: 07387ADG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     378539 | PA      | $330829.60     | 0.01%             | 2035-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 984845 FN 07/38 FIXED 6                       | CUSIP: 31415PBN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11804 | PA      | $12316.53      | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD8810 FR 03/52 FIXED 3               | CUSIP: 3133B6YF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6645032 | PA      | $5851620.52    | 0.13%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG2414 FR 04/53 FIXED 4.5             | CUSIP: 3133C2VF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     289315 | PA      | $280041.53     | 0.01%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C55740 FG 01/30 FIXED 7               | CUSIP: 31298SLV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        561 | PA      | $590.49        | 0.00%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $266161.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RRE 3 LOAN MANAGEMENT DAC 3A                                      | RRE LOAN MANAGEMENT RRME 3A A1R 144A                    | CUSIP: ACI38FGW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $576637.44     | 0.01%             | 2039-12-15      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-3339.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-139662.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                          | NATIONAL FOOTBAL LEAGUE 4.5YR                           | CUSIP: 902EZU906<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1214331.20    | 0.03%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5399 G2 08/48 FIXED 4.5                  | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     651744 | PA      | $641853.88     | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2276.92       | 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      | $-85019.22     | -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      | $-121311.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  165090000 | PA      | $162625529.88  | 3.63%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.40694 07/06/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6452.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008927 G2 07/26 FLOATING VAR               | CUSIP: 36202K4L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $66.59         | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 09/27 VAR              | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2663261.61    | 0.06%             | 2027-09-22      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H22                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H22 F           | CUSIP: 38384LA58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14869659 | PA      | $14993550.46   | 0.33%             | 2075-10-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 190317 FN 08/31 FIXED VAR                     | CUSIP: 31368HK69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70773 | PA      | $73217.54      | 0.00%             | 2031-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                        | FIDELITY NATL INFORMATION SVCS                          | CUSIP: 31622GDP9<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     600000 | PA      | $598465.14     | 0.01%             | 2026-04-23      | None          | 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      | $8231.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                  | MORGAN STANLEY PVT BANK SR UNSECURED 11/28 VAR          | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    9500000 | PA      | $9470247.62    | 0.21%             | 2028-11-17      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $15553.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS8865 FN 02/35 FIXED VAR                     | CUSIP: 3140XQZ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1083178 | PA      | $1047416.37    | 0.02%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                   | AMERICAN MONEY MANAGEMENT CORP AMMC 2021 24A AR 144A    | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1300426.22    | 0.03%             | 2035-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL 25 LTD                                         | NORTHWOODS CAPITAL LTD WOODS 2021 25A AR 144A           | CUSIP: 668468AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $800689.56     | 0.02%             | 2034-07-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-11201.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                       | PHILLIPS 66                                             | CUSIP: 71855BD82<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    5050000 | PA      | $5045487.83    | 0.11%             | 2026-04-08      | None          | 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      | $3119.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BX6392 FN 02/53 FIXED 5                       | CUSIP: 3140NBC66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1173291 | PA      | $1163633.95    | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                              | GENERAL MOTORS FINL CO SR UNSECURED 04/28 2.4           | CUSIP: 37045XDH6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     350000 | PA      | $335763.01     | 0.01%             | 2028-04-10      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                      | BEAR STEARNS ALT A TRUST BALTA 2005 3 4A3               | CUSIP: 07386HSN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     690220 | PA      | $678343.45     | 0.02%             | 2035-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 JF          | CUSIP: 38383KFR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4242226 | PA      | $4307917.28    | 0.10%             | 2073-09-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4039                                           | FREDDIE MAC FHR 4039 QI                                 | CUSIP: 3137AQQL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     393131 | PA      | $3784.36       | 0.00%             | 2027-05-15      | 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      | $2179.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.93000 03/24/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-48758.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT DKK SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $4959.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080054 G2 03/27 FLOATING VAR               | CUSIP: 36225CBY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1770 | PA      | $1768.71       | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-43664.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                            | MORGAN STANLEY BANK NA SR UNSECURED 01/29 VAR           | CUSIP: 61690DK72<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1617389.63    | 0.04%             | 2029-01-12      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-36191.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2025-1                                | CAPITAL STREET MASTER TRUST CAPST 2025 1 A 144A         | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $999020.20     | 0.02%             | 2029-08-16      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080059 G2 04/27 FLOATING VAR               | CUSIP: 36225CB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         87 | PA      | $87.14         | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALTERNATIVE LOAN TRUST 2003-8                     | BANC OF AMERICA ALTERNATIVE LO BOAA 2003 8 1CB1         | CUSIP: 05948XTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1326719 | PA      | $1336294.27    | 0.03%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1                      | GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A    | CUSIP: 36265LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20085580 | PA      | $17442140.72   | 0.39%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $97.16         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-33723.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 992144 FN 10/38 FIXED 6                       | CUSIP: 31415XER8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7960 | PA      | $8222.41       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-80136.28     | -0.00%            |  |  |  | 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      | $-22309.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                    | FREMONT HOME LOAN TRUST FHLT 2006 E 2A1                 | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     158372 | PA      | $72579.43      | 0.00%             | 2037-01-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-47878.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-155330.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                   | AES CORP DISC COML PAPER                                | CUSIP: 00809KDD7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     300000 | PA      | $299554.77     | 0.01%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR18                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR18 1A1       | CUSIP: 92922F8K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50883 | PA      | $49302.90      | 0.00%             | 2036-01-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-28285.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXXII LTD                                            | SYMPHONY CLO LTD SYMP 2022 32A AR 144A                  | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    2400000 | PA      | $2400205.15    | 0.05%             | 2035-10-23      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                               | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1             | CUSIP: 31394JD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4871433 | PA      | $5028075.96    | 0.11%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2024-2A LTD                            | PALMER SQUARE LOAN FUNDING LTD PSTAT 2024 2A A1R 144A   | CUSIP: 69702WAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4300000 | PA      | $4295080.54    | 0.10%             | 2033-01-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC LTD                                              | ADNOC MURBAN RSC LTD SR UNSECURED 144A 09/29 4.25       | CUSIP: 00723L2A6<br>LEI: 213800OWGH7RAYG61M70 | Long             | DBT              | CORP              | AE        |   14700000 | PA      | $14486473.09   | 0.32%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2540000 | PA      | $2534887.54    | 0.06%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZM5146 FR 12/47 FIXED 4               | CUSIP: 3131XYWF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1033037 | PA      | $989928.77     | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2456.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                 | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1          | CUSIP: 07384YGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87363 | PA      | $87375.32      | 0.00%             | 2042-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $36118.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-18.49        | -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      | $-1365923.69   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4024                                           | FREDDIE MAC FHR 4024 IO                                 | CUSIP: 3137ANKV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     271769 | PA      | $2465.65       | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOUTH AFRICA EM SP MYC                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $106960.11     | 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      | $346395.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-147205.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-87                                                | FANNIE MAE FNR 2009 87 FX                               | CUSIP: 31398FM57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20832 | PA      | $20903.19      | 0.00%             | 2039-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   44400000 | PA      | $44400000.00   | 0.99%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                       | LETRA TESOURO NACIONAL BILLS 04/26 0.00000              | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    4000000 | PA      | $771803.14     | 0.02%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EMF-NL BV 2008-APRX                                               | EMF NL BV EMFNL 2008 APRX A3 REGS                       | CUSIP: B39M0QII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |    3000000 | PA      | $3296238.40    | 0.07%             | 2041-04-17      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H08                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H08 KF          | CUSIP: 38383KYE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     477594 | PA      | $483315.47     | 0.01%             | 2074-05-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 878095 FN 04/36 FIXED 6                       | CUSIP: 31409TRQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18285 | PA      | $19066.92      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                     | PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 06/26 1.7    | CUSIP: 709599BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11100000 | PA      | $11038493.24   | 0.25%             | 2026-06-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $2595.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 04/26 ZCP                       | CUSIP: 40412DDG1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1247651.88    | 0.03%             | 2026-04-16      | None          | 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      | $-6750.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2           | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8760372 | PA      | $8511399.20    | 0.19%             | 2054-07-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                            | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A       | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3496406.55    | 0.08%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                      | DBGS MORTGAGE TRUST DBGS 2021 W52 A 144A                | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1220000 | PA      | $1217582.45    | 0.03%             | 2039-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $14182.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 7.35        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     300000 | PA      | $309721.51     | 0.01%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47360983 | PA      | $45631115.61   | 1.02%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-21664.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VNDO TRUST 2016-350P                                              | VNO MORTGAGE TRUST VNDO 2016 350P B 144A                | CUSIP: 91831UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1497621.90    | 0.03%             | 2035-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER CLO LTD 2017-3A                             | WIND RIVER CLO LTD WINDR 2017 3A AR2 144A               | CUSIP: 97316LAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2400000 | PA      | $2403177.67    | 0.05%             | 2035-04-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER                                 | CUSIP: 40412DDH9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249500.18     | 0.01%             | 2026-04-17      | None          | 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      | $-882325.75    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2003-7X                                    | SLM STUDENT LOAN TR 03 7 SLM STUDENT LOAN TR 03 7 REGS  | CUSIP: 763369II8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     359023 | PA      | $391675.66     | 0.01%             | 2033-12-15      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 797807 FN 04/35 FIXED 5                       | CUSIP: 31405SKU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2936 | PA      | $2961.79       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B3413 FH 05/37 FLOATING VAR          | CUSIP: 3128JNVF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6247 | PA      | $6450.86       | 0.00%             | 2037-05-01      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-1                                           | MORTGAGEIT TRUST MHL 2005 1 1A1                         | CUSIP: 61913PAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63443 | PA      | $63298.41      | 0.00%             | 2035-02-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 878476 FN 02/36 FIXED 6                       | CUSIP: 31409T6M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4141 | PA      | $4263.56       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797TE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   89000000 | PA      | $88247177.48   | 1.97%             | 2026-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $601.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                    | ELECTRICITE DE FRANCE SA                                | CUSIP: 28504HD19<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    2550000 | PA      | $2549722.05    | 0.06%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 981307 FN 06/38 FIXED 6                       | CUSIP: 31415AU82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25491 | PA      | $26401.95      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1A                 | SFS AUTO RECEIVABLES SECURITIZ SFAST 2023 1A A3 144A    | CUSIP: 78398AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     797212 | PA      | $800819.01     | 0.02%             | 2028-10-20      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-31204.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 FA          | CUSIP: 38383KGD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11712383 | PA      | $11903685.27   | 0.27%             | 2073-08-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $86366.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 546990 FN 07/30 FIXED 8                       | CUSIP: 31385KUP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $145.68        | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $1581.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | AIR LEASE CORP DISC COML                                | CUSIP: 00913XDG5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     450000 | PA      | $449162.01     | 0.01%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC COMPANY GUAR 144A 08/28 5.05         | CUSIP: 05565ECE3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    9996000 | PA      | $10131090.64   | 0.23%             | 2028-08-11      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8314 FR 04/53 FIXED 4.5             | CUSIP: 3132DWGX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     366750 | PA      | $354542.04     | 0.01%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $12834.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 21 LTD                                      | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 21A AR 144A        | CUSIP: 03331KAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1100446.74    | 0.02%             | 2034-10-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A        | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     743185 | PA      | $691873.06     | 0.02%             | 2046-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-22610.81     | -0.00%            |  |  |  | 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      | $35963.36      | 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      | $9861.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4116                                           | FREDDIE MAC FHR 4116 EA                                 | CUSIP: 3137AVL96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     772359 | PA      | $759533.44     | 0.02%             | 2027-10-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-52                                         | FANNIE MAE FNR 2025 52 FB                               | CUSIP: 3136BWUZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5584907 | PA      | $5634998.71    | 0.13%             | 2055-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-8282.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13613183 | PA      | $13617585.53   | 0.30%             | 2037-06-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 144A 08/27 4.703              | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    5000000 | PA      | $5001653.35    | 0.11%             | 2027-08-05      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-47.14        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 253516 FN 11/30 FIXED 8                       | CUSIP: 31371JSD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        618 | PA      | $640.96        | 0.00%             | 2030-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2241                                                  | FREDDIE MAC FHR 2241 PH                                 | CUSIP: 3133TPF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10157 | PA      | $10526.62      | 0.00%             | 2030-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1           | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4344 | PA      | $4433.75       | 0.00%             | 2035-09-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER                                 | CUSIP: 40412DEJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3678273.60    | 0.08%             | 2026-05-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 896541 FN 09/36 FIXED 6                       | CUSIP: 31410TBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56031 | PA      | $58646.53      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 828982 FN 08/35 FLOATING VAR                  | CUSIP: 31407E6T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     295092 | PA      | $301808.00     | 0.01%             | 2035-08-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 937937 FN 06/37 FIXED 6                       | CUSIP: 31412XPW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21761 | PA      | $22429.26      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-103711.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XIV LLC 2022-1A                                  | OSCAR US FUNDING TRUST OSCAR 2022 1A A4 144A            | CUSIP: 68784HAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JP        |    8518050 | PA      | $8453592.04    | 0.19%             | 2029-04-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-15509.85     | -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      | $7639.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                  | PROJECT CASHMERE CLASS A1 144A                          | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   88700000 | PA      | $61198581.46   | 1.36%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                           | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A      | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4700000 | PA      | $4692793.49    | 0.10%             | 2038-11-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                     | COMM MORTGAGE TRUST COMM 2021 2400 A 144A               | CUSIP: 20048FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19378759 | PA      | $19205336.62   | 0.43%             | 2038-12-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-529.22       | -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      | $19671.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $18156.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A      | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10219305 | PA      | $10321744.62   | 0.23%             | 2055-02-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                        | SANTANDER HOLDINGS USA SR UNSECURED 10/26 3.244         | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3082662.13    | 0.07%             | 2026-10-05      | Fixed         | 3.24%                 | 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      | $-25488.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-H                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 H 2A5         | CUSIP: 05949CGA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     757743 | PA      | $682569.26     | 0.02%             | 2035-09-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM2003 FN 10/47 FIXED VAR                     | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     199552 | PA      | $191348.79     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT DKK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-21267.93     | -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      | $-31104.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                           | FREDDIE MAC FHR 5511 FG                                 | CUSIP: 3137HKKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5320369 | PA      | $5358739.73    | 0.12%             | 2055-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC 2024-1A                                 | CHESAPEAKE FUNDING II LLC CFII 2024 1A A1 144A          | CUSIP: 165183DE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     538915 | PA      | $544448.22     | 0.01%             | 2036-05-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                              | ERAC USA FINANCE LLC                                    | CUSIP: 26882SDQ6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1745176.30    | 0.04%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                              | ERAC USA FINANCE LLC                                    | CUSIP: 26882SDH6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1097878.32    | 0.02%             | 2026-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                       | CITIBANK NA SR UNSECURED 11/27 VAR                      | CUSIP: 17325FBL1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    6550000 | PA      | $6571937.33    | 0.15%             | 2027-11-19      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256713 FN 05/27 FIXED 5                       | CUSIP: 31371NDS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2072 | PA      | $2071.66       | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 10/28 5.65             | CUSIP: 842400HY2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102515.22     | 0.00%             | 2028-10-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 04/28 VAR              | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2834728.20    | 0.06%             | 2028-04-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                              | GLENCORE FUNDING LLC                                    | CUSIP: 37790BE49<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4084456.90    | 0.09%             | 2026-05-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 01/27 VAR     | CUSIP: 44891ACW5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   17300000 | PA      | $17419588.50   | 0.39%             | 2027-01-08      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-3812.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $37226.21      | 0.00%             |  |  |  | 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        |   -7300000 | NC      | $-20989.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-5575.53      | -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      | $215752.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                       | PHILLIPS 66                                             | CUSIP: 71855BDE9<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     400000 | PA      | $399373.72     | 0.01%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $386.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUND FUTURE  JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -4 | NC      | $3325.84       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $14615.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 839109 FN 11/35 FLOATING VAR                  | CUSIP: 31407SGS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5613 | PA      | $5770.83       | 0.00%             | 2035-11-01      | Floating      | 6.29%                 | 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        |  213190000 | PA      | $217002408.55  | 4.84%             | 2056-06-11      | 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      | $-10669.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-15032.29     | -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        |   50300000 | PA      | $50020529.68   | 1.12%             | 2026-05-26      | None          | 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      | $-18848.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                           | FREDDIE MAC FHR 5565 FA                                 | CUSIP: 3137HMGJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1523923 | PA      | $1535594.59    | 0.03%             | 2055-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $6113.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0575 FN 11/30 FIXED 4.5                     | CUSIP: 31417YT98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5964 | PA      | $5976.46       | 0.00%             | 2030-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                  | SOCIETE GENERALE REGS 01/28 VAR                         | CUSIP: 83368TBH0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     800000 | PA      | $788633.98     | 0.02%             | 2028-01-19      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA3                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA3 A1        | CUSIP: 32051D6B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14359 | PA      | $14433.24      | 0.00%             | 2034-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL4182 FN 05/26 FIXED VAR                     | CUSIP: 3138ELUG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $3.73          | 0.00%             | 2026-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2266                                                  | FREDDIE MAC FHR 2266 F                                  | CUSIP: 3133TQFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $11.77         | 0.00%             | 2030-11-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS COMPANY                                             | GENUINE PTS CO DISC COML PAPER                          | CUSIP: 37255GDU9<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |     550000 | PA      | $548162.62     | 0.01%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $9822.02       | 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      | $-120.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF7609 FR 01/53 FIXED 5               | CUSIP: 3133BVN27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1052392 | PA      | $1041488.07    | 0.02%             | 2053-01-01      | 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      | $6429.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                           | 83208D990 SMB 2026 B D 144A                             | CUSIP: 990ACZUZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1939000 | PA      | $1922908.43    | 0.04%             | 2054-03-11      | Fixed         | 6.27%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 753275 FN 12/33 FIXED 5                       | CUSIP: 31403M2G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92310 | PA      | $92004.59      | 0.00%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                       | EUROSAIL PLC ESAIL 2007 4X A3 REGS                      | CUSIP: BTGD2JII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1020640 | PA      | $1349032.47    | 0.03%             | 2045-06-13      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H09                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H09 FB          | CUSIP: 38376RTJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     815881 | PA      | $819182.53     | 0.02%             | 2066-04-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP BPS                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1873.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3004 FN 01/46 FIXED VAR                     | CUSIP: 3140X6KS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38610088 | PA      | $37173974.29   | 0.83%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H26                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H26 DF          | CUSIP: 38383KKA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1286104 | PA      | $1281247.12    | 0.03%             | 2073-09-20      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ              | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA          | CUSIP: 38376RC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110159 | PA      | $110523.69     | 0.00%             | 2066-10-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY0234 FN 04/53 FIXED 5                       | CUSIP: 3140NGHL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1153544 | PA      | $1147774.54    | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                         | JABIL INC                                               | CUSIP: 46652MED3<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    4150000 | PA      | $4127217.75    | 0.09%             | 2026-05-13      | None          | 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      | $19381.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 05/26 ZCP                       | CUSIP: 40412DE13<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3150000 | PA      | $3138243.89    | 0.07%             | 2026-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/28 4.375                             | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31200000 | PA      | $31636312.66   | 0.71%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS4264 FN 03/53 FIXED VAR                     | CUSIP: 3140XKW22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1142475 | PA      | $1132748.34    | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0706 FN 04/31 FIXED 4.5                     | CUSIP: 31417YYC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6336 | PA      | $6353.24       | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BW9008 FN 10/52 FIXED 5                       | CUSIP: 3140N2AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     378970 | PA      | $375485.63     | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2010-H28                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H28 FE          | CUSIP: 38375BJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     112778 | PA      | $112628.62     | 0.00%             | 2060-12-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G1727 FH 07/35 FLOATING VAR          | CUSIP: 3128QJ4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1907 | PA      | $1962.98       | 0.00%             | 2035-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3247.96      | -0.00%            |  |  |  | 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        |   -1700000 | NC      | $-2124.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                           | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13756253 | PA      | $13846519.68   | 0.31%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1873.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2021-2 DAC                              | ROCKFORD TOWER EUROPE CLO RFTE 2021 2A A 144A           | CUSIP: ACI2PTDF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $576220.23     | 0.01%             | 2035-01-24      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3984                                           | FREDDIE MAC FHR 3984 DF                                 | CUSIP: 3137AKEE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8532 | PA      | $8490.37       | 0.00%             | 2042-01-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 788586 FN 07/34 FIXED 6.5                     | CUSIP: 31405GCX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         85 | PA      | $87.84         | 0.00%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2891.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902486 FN 11/36 FIXED 6                       | CUSIP: 31411AUK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1501 | PA      | $1547.70       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORPORATION                                   | TOYOTA MOTOR CREDIT CORP SR UNSECURED 08/26 4.55        | CUSIP: 89236TMJ1<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4906605.25    | 0.11%             | 2026-08-07      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-224567.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-11235.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-35                               | FHLMC STRUCTURED PASS THROUGH FSPC T 35 A               | CUSIP: 313398VT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     231101 | PA      | $232034.45     | 0.01%             | 2031-09-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/26 5.125       | CUSIP: 345397F81<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2004506.52    | 0.04%             | 2026-11-05      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $92696.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                           | NTT FINANCE CORP SR UNSECURED 144A 07/28 VAR            | CUSIP: 62954WAR6<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    1100000 | PA      | $1108812.84    | 0.02%             | 2028-07-16      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17884 FG 01/27 FIXED 3               | CUSIP: 3128PXXM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37121 | PA      | $36929.94      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1                           | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 1A        | CUSIP: 939336PL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1940 | PA      | $1964.50       | 0.00%             | 2033-02-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 786190 FH 07/27 FLOATING VAR          | CUSIP: 31348S2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        378 | PA      | $379.31        | 0.00%             | 2027-07-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-AA    | STELLANTIS FINANCIAL UNDERWRIT SFUEL 2025 AA A2 144A    | CUSIP: 858928AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5524078 | PA      | $5533662.63    | 0.12%             | 2027-07-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS4439 FN 04/53 FIXED VAR                     | CUSIP: 3140XK4Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1155505 | PA      | $1145904.81    | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                              | ERAC USA FINANCE LLC                                    | CUSIP: 26882SDD5<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249633.83     | 0.01%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-262818.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-286841.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1500000 | PA      | $1500467.93    | 0.03%             | 2035-04-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-3917.81      | -0.00%            |  |  |  | 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      | $-7139.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINANCIAL SERVICES INC                            | HARLEY DAVIDSON FND CP                                  | CUSIP: 41282KD70<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |     350000 | PA      | $349723.71     | 0.01%             | 2026-04-07      | None          | 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      | $6368.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                           | FREDDIE MAC FHR 5508 QF                                 | CUSIP: 3137HJVX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3604022 | PA      | $3626919.98    | 0.08%             | 2055-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-CB1                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 CB1 6A         | CUSIP: 92922FRL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     299812 | PA      | $307273.37     | 0.01%             | 2034-06-25      | Fixed         | 6.00%                 | 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        |   24000000 | PA      | $22600504.80   | 0.50%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                          | NATIONAL FOOTBAL LEAGUE 4.5YR                           | CUSIP: 902EYJ902<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1210420.72    | 0.03%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                               | 31750SFF7 PIMCO FXVAN CALL USD JPY 157.7000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -50001 | NC      | $-581.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 783403 FN 11/34 FIXED 6.5                     | CUSIP: 31405AKQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63524 | PA      | $67107.65      | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545998 FN 11/32 FIXED VAR                     | CUSIP: 31385JRT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2389 | PA      | $2457.20       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008911 G2 07/26 FLOATING VAR               | CUSIP: 36202K3U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $57.44         | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257101 FN 02/28 FIXED 5                       | CUSIP: 31371NRW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2484 | PA      | $2494.92       | 0.00%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8042 FR 12/49 FIXED 5               | CUSIP: 3132DV5B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4489 | PA      | $4480.95       | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-20Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $212171.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H19                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H19 FA          | CUSIP: 38383KCS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4199551 | PA      | $4259452.92    | 0.09%             | 2073-08-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2023-AA                                    | CHASE AUTO OWNER TRUST CHAOT 2023 AA A3 144A            | CUSIP: 16144KAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1078684 | PA      | $1088112.48    | 0.02%             | 2029-01-25      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918       | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3545684.49    | 0.08%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $77496.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD9151 FN 08/40 FIXED 5                       | CUSIP: 31418XEZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28567 | PA      | $28934.97      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A      | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10219305 | PA      | $9911795.14    | 0.22%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2352.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 905783 FN 11/36 FIXED 6                       | CUSIP: 31411EJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22678 | PA      | $23526.87      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1892968.98   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                               | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 1A1          | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147624 | PA      | $141961.35     | 0.00%             | 2036-02-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  250000000 | PA      | $249999999.99  | 5.58%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $120354.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 05/26 ZCP                       | CUSIP: 40412DEB1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    9950000 | PA      | $9900434.08    | 0.22%             | 2026-05-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995199 FN 05/37 FIXED VAR                     | CUSIP: 31416BRU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6977 | PA      | $7231.24       | 0.00%             | 2037-05-01      | 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      | $95726.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BOBL FUTURE  JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         34 | NC      | $-71561.74     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6               | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22870136 | PA      | $23758646.80   | 0.53%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK8702 FN 07/48 FIXED 4                       | CUSIP: 3140HNU42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1260387 | PA      | $1207528.53    | 0.03%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8347 FR 08/53 FIXED 4.5             | CUSIP: 3132DWHY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3981392 | PA      | $3855622.04    | 0.09%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BV5376 FN 04/52 FIXED 3                       | CUSIP: 3140MJ6N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  111940006 | PA      | $98510529.92   | 2.20%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-3920.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4277 FN 06/53 FIXED 4.5                     | CUSIP: 3140NLXF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     905699 | PA      | $876103.62     | 0.02%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-122235.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAI6A4 PIMCO SWAPTION 3.757 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1400000 | NC      | $3107.86       | 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      | $54424.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080493 G2 02/31 FLOATING VAR               | CUSIP: 36225CRP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2183 | PA      | $2191.01       | 0.00%             | 2031-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $6508.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF0706 FR 09/52 FIXED 5               | CUSIP: 3133BMYB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     427442 | PA      | $424096.75     | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                           | FREDDIE MAC FHR 5508 FC                                 | CUSIP: 3137HJGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3853166 | PA      | $3887630.93    | 0.09%             | 2055-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $27085.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VNDO TRUST 2016-350P                                              | VNO MORTGAGE TRUST VNDO 2016 350P E 144A                | CUSIP: 91831UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1397780.44    | 0.03%             | 2035-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $110343.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H16                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H16 FM          | CUSIP: 38376REA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     163796 | PA      | $163929.87     | 0.00%             | 2065-07-20      | Floating      | 4.38%                 | 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        |     442198 | PA      | $442186.54     | 0.01%             | 2038-04-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                              | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1         | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1187414 | PA      | $849731.61     | 0.02%             | 2036-01-26      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-9                               | PAGAYA AI DEBT SELECTION TRUST PAID 2024 9 A 144A       | CUSIP: 69546QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     141826 | PA      | $142093.49     | 0.00%             | 2032-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                               | NEXTERA ENERGY CAP HLDGS INC                            | CUSIP: 65339ND76<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     700000 | PA      | $699459.67     | 0.02%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG0558 FR 04/53 FIXED 5               | CUSIP: 3133C0TP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1118778 | PA      | $1112954.07    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2021-INV2                          | ONSLOW BAY FINANCIAL LLC OBX 2021 INV2 A11 144A         | CUSIP: 67114KAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4823869 | PA      | $4516690.88    | 0.10%             | 2051-10-25      | Floating      | 4.56%                 | 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        |      39869 | PA      | $40815.74      | 0.00%             | 2035-03-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797TZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1072000 | PA      | $1064629.70    | 0.02%             | 2026-06-09      | None          | 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      | $50246.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-40904.28     | -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      | $-313.53       | -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      | $74.15         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                       | PHILLIPS 66                                             | CUSIP: 71855BD17<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     750000 | PA      | $749917.13     | 0.02%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 670337 FN 09/32 FLOATING VAR                  | CUSIP: 31391LV69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81131 | PA      | $82858.54      | 0.00%             | 2032-09-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 01/28 1.8     | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     200000 | PA      | $190541.07     | 0.00%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 4A2              | CUSIP: 46630GAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9020 | PA      | $9090.43       | 0.00%             | 2035-07-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                                        | AMETEK INC DISC COML 04/26 ZCP                          | CUSIP: 03111CDT7<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |     300000 | PA      | $299098.35     | 0.01%             | 2026-04-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-4                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 4 3A1         | CUSIP: 07387ABR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2305384 | PA      | $2170841.23    | 0.05%             | 2035-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                               | ELEVANCE HEALTH INC                                     | CUSIP: 28621BDD4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    1650000 | PA      | $1647601.40    | 0.04%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255884 FN 08/35 FLOATING VAR                  | CUSIP: 31371MFZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      78958 | PA      | $81568.49      | 0.00%             | 2035-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-134693.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO XI 2021-11A                                      | OCEAN TRAILS CLO OCTR 2021 11A AR 144A                  | CUSIP: 67514VAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3400000 | PA      | $3400554.37    | 0.08%             | 2034-07-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-20                                                | FANNIE MAE FNR 2007 20 FP                               | CUSIP: 31396PZ95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     259849 | PA      | $256578.41     | 0.01%             | 2037-03-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-14481.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88400 03/25/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-18640.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                       | CITIBANK NA SR UNSECURED 08/26 4.929                    | CUSIP: 17325FBJ6<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   12900000 | PA      | $12932637.65   | 0.29%             | 2026-08-06      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $4401.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-1                                                 | FANNIE MAE FNR 2010 1 FT                                | CUSIP: 31398GM97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96360 | PA      | $96956.14      | 0.00%             | 2040-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AR3                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR3 2A5        | CUSIP: 25150VAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5305266 | PA      | $4782533.09    | 0.11%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                        | FIDELITY NATL INFORMATION SVCS                          | CUSIP: 31622GDQ7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1097063.12    | 0.02%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H14 FH          | CUSIP: 38380QGA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16765559 | PA      | $17081988.69   | 0.38%             | 2070-08-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG46 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $35188.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 42A LTD                                                   | KKR FINANCIAL CLO LTD KKR 42A AR 144A                   | CUSIP: 48255EAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1101342.24    | 0.02%             | 2034-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $644516.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 986946 FN 09/38 FIXED 6                       | CUSIP: 31415RL36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        462 | PA      | $478.47        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 906073 FN 01/37 FIXED 6                       | CUSIP: 31411ET64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1463 | PA      | $1505.99       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $100749.48     | 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      | $-32784.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JTI FINANCIAL SERVICES (NORTH AMERICA) LLC                        | JTI FINL SVCS NORTH AMER LLC 05/26 ZCP                  | CUSIP: 48130PEL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3350000 | PA      | $3332443.66    | 0.07%             | 2026-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-18                                         | FANNIE MAE FNR 2025 18 FA                               | CUSIP: 3136BU7K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2440065 | PA      | $2454875.84    | 0.05%             | 2053-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2021-H16                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H16 FG          | CUSIP: 38382YGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     847359 | PA      | $843277.23     | 0.02%             | 2071-09-20      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-95.92        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-69.74        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841978 FN 03/35 FLOATING VAR                  | CUSIP: 31407VM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33858 | PA      | $33357.02      | 0.00%             | 2035-03-01      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8299 FR 02/53 FIXED 5               | CUSIP: 3132DWGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1074481 | PA      | $1065443.54    | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $14555.32      | 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      | $-74176.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                 | NATWEST GROUP PLC SR UNSECURED 03/28 VAR                | CUSIP: 639057AM0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2400000 | PA      | $2410478.71    | 0.05%             | 2028-03-01      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1217177.59   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3000 FN 05/31 FIXED 4.5                     | CUSIP: 31416YKN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19765 | PA      | $19832.70      | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2006-4                                    | HOME EQUITY ASSET TRUST HEAT 2006 4 2A4                 | CUSIP: 437084VN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2475929 | PA      | $2467402.95    | 0.06%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $8159.98       | 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      | $68103.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-1                                  | NOVASTAR HOME EQUITY LOAN NHEL 2006 1 A1A               | CUSIP: 669884AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     382836 | PA      | $380825.18     | 0.01%             | 2036-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 4A5                | CUSIP: 362341SF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8360 | PA      | $7624.29       | 0.00%             | 2035-09-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-383468.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 836795 FN 11/35 FIXED 6.5                     | CUSIP: 31407PUU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13454 | PA      | $14149.51      | 0.00%             | 2035-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LN TR 2004-2                          | STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4           | CUSIP: 86358EGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1277865 | PA      | $1367208.61    | 0.03%             | 2034-03-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       8103 | NC      | $-12176516.87  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                              | GENERAL MOTORS FINL CO SR UNSECURED 04/28 5.05          | CUSIP: 37045XFE1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1563679.43    | 0.03%             | 2028-04-04      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G1744 FH 08/35 FLOATING VAR          | CUSIP: 3128QJ5D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102131 | PA      | $104598.23     | 0.00%             | 2035-08-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-16A                               | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 16A AR 144A       | CUSIP: 04940AAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1100730.61    | 0.02%             | 2034-01-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                   | PHILIP MORRIS INTL INC SR UNSECURED 04/28 4.125         | CUSIP: 718172DR7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $14977301.40   | 0.33%             | 2028-04-28      | Fixed         | 4.12%                 | 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      | $59977.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SFE0 PIMCO FXVAN CALL USD JPY 157.7000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |  -13315799 | NC      | $-154742.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                           | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/28 5.05   | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   23145000 | PA      | $23299075.11   | 0.52%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC SR UNSECURED 05/30 VAR                     | CUSIP: 06738EDG7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2600000 | PA      | $2560801.59    | 0.06%             | 2030-05-24      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1        | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1672 | PA      | $1702.22       | 0.00%             | 2033-02-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-19                                         | FANNIE MAE FNR 2025 19 FC                               | CUSIP: 3136BVBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11716168 | PA      | $11815175.41   | 0.26%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL V83093 FG 04/47 FIXED 3.5             | CUSIP: 3132L8NJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3293385 | PA      | $3084493.74    | 0.07%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008947 G2 08/26 FLOATING VAR               | CUSIP: 36202K5G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        316 | PA      | $315.65        | 0.00%             | 2026-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-1578.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902974 FN 12/36 FIXED 6                       | CUSIP: 31411BFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14402 | PA      | $15116.41      | 0.00%             | 2036-12-01      | 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      | $1056.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOUTH AFRICA EM SP BOA                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $86847.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1828.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                         | FANNIE MAE FNR 2024 38 FA                               | CUSIP: 3136BR4S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     822078 | PA      | $825482.73     | 0.02%             | 2051-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1308.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797SW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  101600000 | PA      | $101015684.18  | 2.25%             | 2026-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021-8                                   | ANGEL OAK MORTGAGE TRUST AOMT 2021 8 A1 144A            | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6263475 | PA      | $5612392.82    | 0.13%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2737.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535401 FN 07/30 FIXED VAR                     | CUSIP: 31384VX64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        124 | PA      | $127.13        | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-2 LTD                                          | WELLFLEET CLO LTD WELF 2021 2A A1R 144A                 | CUSIP: 95023AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     900000 | PA      | $900877.43     | 0.02%             | 2034-07-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-98545.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-21                                                | FANNIE MAE FNR 2007 21 FC                               | CUSIP: 31396P3U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     155298 | PA      | $153700.28     | 0.00%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1318.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-59067.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 BF          | CUSIP: 38382YC27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   85830530 | PA      | $87856147.66   | 1.96%             | 2072-11-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                         | JABIL INC                                               | CUSIP: 46652MDG7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |     800000 | PA      | $798398.24     | 0.02%             | 2026-04-16      | None          | 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      | $13615.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                           | 83208D9E9 SMB 2026 B A1B SOFR30A+120BP                  | CUSIP: 990ACZVB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2749000 | PA      | $2749000.00    | 0.06%             | 2054-03-11      | Floating      | 4.87%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-10576.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF7047 FR 02/53 FIXED 5               | CUSIP: 3133BUZL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1280526 | PA      | $1267100.81    | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-54674.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE3614 FN 05/47 FIXED 3.5                     | CUSIP: 3140FPAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4165266 | PA      | $3898809.46    | 0.09%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.60500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7800.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4918 FN 02/53 FIXED 5                       | CUSIP: 31418EPC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1005136 | PA      | $996733.10     | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | 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      | $-17071.85     | -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      | $51743.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-14261.44     | -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      | $-2944.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-1                            | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 1 A3 144A     | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     206820 | PA      | $207626.33     | 0.00%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535428 FN 08/30 FIXED VAR                     | CUSIP: 31384VYZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $11.47         | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1         | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69307 | PA      | $65750.48      | 0.00%             | 2032-09-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                       | LETRA TESOURO NACIONAL BILLS 07/26 0.00000              | CUSIP: ACI2CRX85<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  318200000 | PA      | $59491545.79   | 1.33%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-282.35       | -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      | $-1023549.76   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-69                                         | FANNIE MAE FNR 2025 69 FA                               | CUSIP: 3136BWB88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   60293909 | PA      | $60904409.00   | 1.36%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-1                              | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 1 1A1           | CUSIP: 29445FAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120528 | PA      | $119522.57     | 0.00%             | 2034-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $52651.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8356 FN 07/34 FIXED VAR                     | CUSIP: 3138ETJA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19662 | PA      | $19656.52      | 0.00%             | 2034-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                  | FREDDIE MAC FHR 2395 FT                                 | CUSIP: 31339LMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9970 | PA      | $9958.20       | 0.00%             | 2031-12-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS8344 FN 06/49 FIXED VAR                     | CUSIP: 3140XQHW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1636945 | PA      | $1568584.66    | 0.03%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                               | GLOBAL PMTS INC                                         | CUSIP: 37961DD23<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3099283.60    | 0.07%             | 2026-04-02      | None          | 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      | $8392.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.36000 10/07/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $62348.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-7384.95      | -0.00%            |  |  |  | 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        |         50 | PA      | $49.00         | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $3129.99       | 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      | $-6613.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-25601.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797QX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63500000 | PA      | $63050176.80   | 1.41%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                   | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2              | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11583 | PA      | $11229.08      | 0.00%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| UBS AG / STAMFORD BRANCH                                          | UBS AG STAMFORD CT SR UNSECURED 03/29 VAR               | CUSIP: 90261AAG7<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    3650000 | PA      | $3646079.13    | 0.08%             | 2029-03-16      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $89520.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANYON CAPITAL CLO 2019-2 LTD                                     | CANYON CAPITAL CLO LTD CANYC 2019 2A AR2 144A           | CUSIP: 13887WAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $998559.70     | 0.02%             | 2034-10-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88000 07/10/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6350.03      | -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      | $1758.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H21                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H21 FA          | CUSIP: 38383KEA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12548287 | PA      | $12762953.19   | 0.28%             | 2073-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIV LTD 2020-24A                                    | SYMPHONY CLO LTD SYMP 2020 24A A1R 144A                 | CUSIP: 87167QAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1198500.08    | 0.03%             | 2035-10-23      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 544860 FN 09/34 FLOATING VAR                  | CUSIP: 31385HJD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1211 | PA      | $1200.55       | 0.00%             | 2034-09-01      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                       | PHILLIPS 66                                             | CUSIP: 71855BE16<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    3850000 | PA      | $3836596.23    | 0.09%             | 2026-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB2                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB2 2A        | CUSIP: 17307GEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     144491 | PA      | $135320.41     | 0.00%             | 2034-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H30                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H30 GA          | CUSIP: 38375BA77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40562 | PA      | $40267.53      | 0.00%             | 2062-12-20      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                      | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                    | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     425927 | PA      | $424551.51     | 0.01%             | 2042-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8362 FR 09/53 FIXED 5.5             | CUSIP: 3132DWJF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1531767 | PA      | $1544690.45    | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                         | STELLANTIS FIN US INC COMPANY GUAR 144A 03/28 5.35      | CUSIP: 85855CAM2<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2014991.24    | 0.04%             | 2028-03-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-2 DAC 25-2A              | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 2A A 144A     | CUSIP: ACI2X1Q61<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1991079 | PA      | $2303852.02    | 0.05%             | 2035-02-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1         | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95398 | PA      | $96539.88      | 0.00%             | 2033-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| GPMT LTD 2021-FL4                                                 | GPMT LTD. GPMT 2021 FL4 A 144A                          | CUSIP: 36262TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11219121 | PA      | $11204838.81   | 0.25%             | 2036-12-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 332                                            | FREDDIEMAC STRIP FHS 332 V1                             | CUSIP: 3132HUCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3721282 | PA      | $3815432.53    | 0.09%             | 2044-08-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD2723 FN 08/46 FIXED 4.5                     | CUSIP: 3140FAAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80802 | PA      | $78961.74      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE                                            | CUSIP: 22823QDM0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    3550000 | PA      | $3541289.72    | 0.08%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257203 FN 05/28 FIXED 5                       | CUSIP: 31371NU45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1403 | PA      | $1409.85       | 0.00%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-6AR                            | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 6AR 5A          | CUSIP: 61748HBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38418 | PA      | $36087.88      | 0.00%             | 2034-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735861 FN 09/33 FIXED VAR                     | CUSIP: 31402RQN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10649 | PA      | $10868.37      | 0.00%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $4262.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89000 03/03/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7224.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-5                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2025 5 A2 144A      | CUSIP: 69548WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     499981 | PA      | $501077.49     | 0.01%             | 2033-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-93218.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-56230.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                               | CONSTELLATION ENERGY                                    | CUSIP: 21038QD27<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4099007.80    | 0.09%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797TD9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16800000 | PA      | $16669278.53   | 0.37%             | 2026-06-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK8835 FN 08/48 FIXED 4                       | CUSIP: 3140HNY97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4589162 | PA      | $4397663.78    | 0.10%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5                 | SECURITIZED ASSET BACKED RECEI SABR 2007 BR5 A2A        | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     297721 | PA      | $233594.39     | 0.01%             | 2037-05-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 865420 FN 02/36 FIXED 6.5                     | CUSIP: 31409APD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2438 | PA      | $2551.80       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ABS CERT 2004-FF3                           | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF3 M1          | CUSIP: 36228FU61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     605387 | PA      | $596969.68     | 0.01%             | 2034-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                           | 83208D909 SMB 2026 B R 144A                             | CUSIP: 990ACZUY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1000 | PA      | $163832.33     | 0.00%             | 2054-03-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   68900000 | PA      | $68649376.25   | 1.53%             | 2026-05-07      | None          | 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        |      17309 | NC      | $-25981269.70  | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5478                                           | FREDDIE MAC FHR 5478 FB                                 | CUSIP: 3137HHS93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27217394 | PA      | $27417378.74   | 0.61%             | 2054-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $368621.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-114                                        | FANNIE MAE FNR 2012 114 SB                              | CUSIP: 3136A9LP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7300856 | PA      | $777326.47     | 0.02%             | 2042-10-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ8540 FN 01/27 FIXED 3                       | CUSIP: 3138E1P27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130868 | PA      | $129982.67     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                           | NTT FINANCE CORP SR UNSECURED 144A 07/28 4.62           | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $501982.47     | 0.01%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.23100 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $44472.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1799000 | PA      | $1796645.06    | 0.04%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                            | MORGAN STANLEY BANK NA SR UNSECURED 07/28 VAR           | CUSIP: 61690U8E3<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     800000 | PA      | $804907.56     | 0.02%             | 2028-07-14      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                           | MERCEDES BENZ FIN NA COMPANY GUAR 144A 03/28 4.75       | CUSIP: 58769JBE6<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   11850000 | PA      | $11933705.44   | 0.27%             | 2028-03-31      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-1                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 1 M1            | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189662 | PA      | $197678.47     | 0.00%             | 2034-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-14495.24     | -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      | $1916.36       | 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      | $47511.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                         | COREBRIDGE GLOB FUNDING SR SECURED 144A 01/31 4.55      | CUSIP: 00138CBM9<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   10300000 | PA      | $10174506.45   | 0.23%             | 2031-01-09      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841772 FN 09/35 FLOATING VAR                  | CUSIP: 31407VFM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76860 | PA      | $78527.51      | 0.00%             | 2035-09-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COMPANY OF COLORADO                                | PUBLIC SERVICE COLORADO 1ST MORTGAGE 06/28 3.7          | CUSIP: 744448CP4<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |     500000 | PA      | $493482.42     | 0.01%             | 2028-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080968 G2 07/34 FLOATING VAR               | CUSIP: 36225DCE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4408 | PA      | $4474.02       | 0.00%             | 2034-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 04/09/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $8374.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-146                                        | FANNIE MAE FNR 2012 146 QA                              | CUSIP: 3136ABFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     219764 | PA      | $190854.63     | 0.00%             | 2043-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-99178.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                        | HARDWOOD FUNDING LLC CORP0HRD7                          | CUSIP: 955NUHII7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1501818.62    | 0.03%             | 2028-06-07      | Fixed         | 4.84%                 | Yes           |                  3 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 2A2         | CUSIP: 05949AH94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32726 | PA      | $32171.61      | 0.00%             | 2035-02-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB5440 FN 05/54 FIXED 5                       | CUSIP: 3140AFBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     416761 | PA      | $411536.58     | 0.01%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1       | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        965 | PA      | $878.89        | 0.00%             | 2035-01-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB1240 FR 12/32 FIXED 2.5             | CUSIP: 3132CXLV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1300059 | PA      | $1257407.13    | 0.03%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-OPT                                              | GSAMP TRUST GSAMP 2004 OPT M1                           | CUSIP: 36242DNU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     678218 | PA      | $663383.30     | 0.01%             | 2034-11-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0883 FR 02/52 FIXED 3               | CUSIP: 3132DM6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1368756 | PA      | $1206180.26    | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2461                                                  | FREDDIE MAC FHR 2461 Z                                  | CUSIP: 31392MK43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110264 | PA      | $114659.21     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | 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      | $-3242930.23   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4889.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $5357.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                     | BGC GROUP INC SR UNSECURED 04/30 6.15                   | CUSIP: 05555LAD3<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3256434.02    | 0.07%             | 2030-04-02      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                                       | SWEDBANK AB 144A 09/27 5.337                            | CUSIP: 87020PAT4<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |   20000000 | PA      | $20284679.40   | 0.45%             | 2027-09-20      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080076 G2 05/27 FLOATING VAR               | CUSIP: 36225CCN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1087 | PA      | $1087.42       | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5560                                           | FREDDIE MAC FHR 5560 FB                                 | CUSIP: 3137HLZD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6377705 | PA      | $6436307.46    | 0.14%             | 2055-06-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                               | GLOBAL PMTS INC 04/26 ZCP                               | CUSIP: 37961DD15<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1149867.06    | 0.03%             | 2026-04-01      | None          | 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      | $105907.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-142655.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3200                                                  | FREDDIE MAC FHR 3200 SB                                 | CUSIP: 31397AJC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1537398 | PA      | $165583.93     | 0.00%             | 2036-08-15      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-349564.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5832.04       | 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      | $32135.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B2800 FH 03/35 FLOATING VAR          | CUSIP: 3128JNAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66539 | PA      | $68165.04      | 0.00%             | 2035-03-01      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 2A1                | CUSIP: 362341FH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     471472 | PA      | $237757.06     | 0.01%             | 2035-07-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2340                                                  | FREDDIE MAC FHR 2340 PZ                                 | CUSIP: 313398EE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66195 | PA      | $68577.46      | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/28 4.4      | CUSIP: 873923AA4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    5100000 | PA      | $5074431.41    | 0.11%             | 2028-03-24      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-530460.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 144A 04/30 VAR                | CUSIP: 225401BR8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    8600000 | PA      | $8492618.42    | 0.19%             | 2030-04-10      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A      | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8622577 | PA      | $8631507.21    | 0.19%             | 2037-02-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-1 LTD                                          | WELLFLEET CLO LTD WELF 2021 1A A1R 144A                 | CUSIP: 94950CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $700786.86     | 0.02%             | 2034-04-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $51123.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $2126.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8452 FR 08/54 FIXED 5               | CUSIP: 3132DWL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     525228 | PA      | $518748.50     | 0.01%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $471561.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0844 FN 08/31 FIXED 4.5                     | CUSIP: 31417Y5E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2493 | PA      | $2499.28       | 0.00%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-8846.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA7                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA7 2A1       | CUSIP: 32051GSQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83954 | PA      | $74923.60      | 0.00%             | 2035-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $44114.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                           | 83208D9Y5 SMB 2026 B C 144A                             | CUSIP: 990ACZVD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     242000 | PA      | $239839.31     | 0.01%             | 2054-03-11      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 591219 FN 08/31 FIXED 8                       | CUSIP: 31387QYQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        550 | PA      | $555.11        | 0.00%             | 2031-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-12226.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-S1                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 S1 1A         | CUSIP: 855541AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     396035 | PA      | $222775.35     | 0.00%             | 2037-01-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.68700 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6499.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-57686.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC (AKA: MCGRAW HILL FINANCIAL INC)                   | S+P GLOBAL INC                                          | CUSIP: 78513LD63<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1798812.90    | 0.04%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27896 | PA      | $27826.43      | 0.00%             | 2034-11-21      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $18703.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 966879 FN 12/37 FIXED 6                       | CUSIP: 31414HUC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36944 | PA      | $38075.87      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | GOLDMAN SACHS GROUP INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $4383.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0541 FN 10/47 FIXED 3.5                     | CUSIP: 3140Q7S73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   36000966 | PA      | $33281705.07   | 0.74%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAHOA6 PIMCO SWAPTION 3.757 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  210000000 | NC      | $466179.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4061                                           | FREDDIE MAC FHR 4061 FA                                 | CUSIP: 3137ARBZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3847767 | PA      | $3810198.99    | 0.08%             | 2042-06-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                        | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A               | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3300000 | PA      | $3303388.80    | 0.07%             | 2034-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| DATABANK ISSUER II LLC 2025-1A                                    | DATABANK ISSUER II, LLC HYPER 2025 1A A2 144A           | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4800000 | PA      | $4665552.96    | 0.10%             | 2055-09-27      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-709996.23    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 144A 12/27 VAR                | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     700000 | PA      | $709370.45     | 0.02%             | 2027-12-22      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | KEURIG DR PEPPER                                        | CUSIP: 49271KDP6<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1495919.10    | 0.03%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042442<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50000 | PA      | $49647.67      | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $10145.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-523.52       | -0.00%            |  |  |  | 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