# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001099263-26-003048
**Filing Date:** 2026-3
**Character Count:** 240387
**Document Hash:** aa0888d2db42e539aee188d03802a09b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003048.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003048

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 26705860

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

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

## Series and Classes Contracts Data

### PIMCO Low Duration Portfolio (Series ID: S000009673)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026502 | Administrative | VPVLDDV         |
| C000026503 | Institutional  | VPVLDIV         |
| C000030990 | Advisor        | VPVLDVV         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Variable Insurance Trust

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Low Duration Portfolio

- **b. EDGAR series identifier (if any):** S000009673

- **c. LEI of Series:** 2ZJ0UBWM576CNLD1YP86

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1972484925.81

**Total Liabilities:** $644122179.75

**Net Assets:** $1328362746.06

**Delayed Delivery Securities:** $1762799.98

**Cash Not Reported:** $19547786.07

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 85491.856000 | **1-Year:** 71297.322500 | **5-Year:** 85276.838900 | **10-Year:** 15855.384000 | **30-Year:** 25.148800

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

- **3-Month:** 734.214200 | **1-Year:** 620.125600 | **5-Year:** 2466.558900 | **10-Year:** 2.468300 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026502 | 0.36%                | 0.41%                | 0.44%                |
| Class ID C000030990 | 0.35%                | 0.40%                | 0.43%                |
| Class ID C000026503 | 0.37%                | 0.42%                | 0.45%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-657510.84              | $947609.77                                 |
| Month 2  | $294447.05               | $862114.10                                 |
| Month 3  | $1641361.04              | $-579710.93                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| 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        |   5458013 | PA      | $5705918.50   | 0.43%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AL3627 FN 04/32 FIXED VAR                    | CUSIP: 3138ELA52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38040 | PA      | $38269.30     | 0.00%             | 2032-04-01      | Fixed         | 4.50%                 | 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        |   2128754 | PA      | $2150383.87   | 0.16%             | 2055-02-16      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  41100000 | PA      | $38964194.52  | 2.93%             | 2056-02-12      | Fixed         | 4.00%                 | 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        |      1609 | PA      | $1702.37      | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                             | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A     | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4400000 | PA      | $4396711.44   | 0.33%             | 2038-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                        | ALIMENTATION COUCHETARD INC                            | CUSIP: 01626VA86<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    250000 | PA      | $249784.33    | 0.02%             | 2026-01-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                    | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1              | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121896 | PA      | $115024.05    | 0.01%             | 2036-02-20      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1         | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58338 | PA      | $50562.50     | 0.00%             | 2047-01-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A2A1      | CUSIP: 939336X65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146676 | PA      | $143044.88    | 0.01%             | 2045-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-227331.75   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 01/26 0.00000                            | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     64000 | PA      | $63843.36     | 0.00%             | 2026-01-27      | None          | 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        |   1890802 | PA      | $1899021.25   | 0.14%             | 2055-08-25      | Floating      | 5.02%                 | 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        |      2532 | PA      | $2529.00      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 869846 FN 04/36 FIXED 6.5                    | CUSIP: 31409FL30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33184 | PA      | $34448.68     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | 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        |  10708257 | PA      | $10914176.37  | 0.82%             | 2072-11-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| STONEPEAK 2021-1 ABS                                                | STONEPEAK SALTT 2021 1A AA 144A                        | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1432109 | PA      | $1398722.63   | 0.11%             | 2033-02-28      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                | KEURIG DR PEPPER 01/26 ZCP                             | CUSIP: 49271KA79<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    450000 | PA      | $449671.01    | 0.03%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR GBP SONIO/3.93000 01/06/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-1388.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $59.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H21                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H21 FA         | CUSIP: 38384LXQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1759615 | PA      | $1757646.94   | 0.13%             | 2075-10-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SD1710 FR 10/52 FIXED 5              | CUSIP: 3132DN3T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30920 | PA      | $31003.53     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-111.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD GBP BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-75580.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UBBLA1 PIMCO SWAPTION 3.5775 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -700000 | NC      | $-76.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                  | CONAGRA FOODS INC.                                     | CUSIP: 20600HA79<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399691.24    | 0.03%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-270.87      | -0.00%            |  |  |  | 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        |   2200000 | PA      | $2196862.14   | 0.17%             | 2038-05-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                | EDISON INTERNATIONAL                                   | CUSIP: 28103BA77<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249791.50    | 0.02%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-3609.33     | -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        |      3220 | PA      | $3081.95      | 0.00%             | 2034-01-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                           | JABIL INC                                              | CUSIP: 46652MA70<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    550000 | PA      | $549531.57    | 0.04%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-10175.97    | -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        |   5000000 | PA      | $4880538.50   | 0.37%             | 2043-10-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $110050.74    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                             | HCA INC DISC COML PAPER 01/26 ZCP                      | CUSIP: 40412DAM1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $498826.76    | 0.04%             | 2026-01-21      | None          | 0.00%                 | 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      | $-209988.26   | -0.02%            |  |  |  | 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        |  75000000 | NC      | $39022.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1         | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78660 | PA      | $68628.93     | 0.01%             | 2035-09-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                               | WELLS FARGO + COMPANY SR UNSECURED 01/28 VAR           | CUSIP: 95000U3R2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3530209.03   | 0.27%             | 2028-01-24      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QF9642 FR 03/53 FIXED 5              | CUSIP: 3133BXWB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    637958 | PA      | $640374.78    | 0.05%             | 2053-03-01      | Fixed         | 5.00%                 | 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      | $5771.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                             | GOLDMAN SACHS GROUP INC SR UNSECURED 07/30 VAR         | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204967.84    | 0.02%             | 2030-07-23      | Floating      | 5.05%                 | 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        |   1548169 | PA      | $1553809.33   | 0.12%             | 2027-07-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MYR SOLD USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $137.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AB0259 FN 03/37 FIXED 6                      | CUSIP: 31416VJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    194142 | PA      | $204831.67    | 0.02%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD AUD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-15059.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UBCKA0 PIMCO SWAPTION 3.9275 PUT USD 202601         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-160.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MYR SOLD USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $225.87       | 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        |   3991141 | PA      | $3878964.92   | 0.29%             | 2038-08-15      | Floating      | 4.97%                 | 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        |       268 | PA      | $266.16       | 0.00%             | 2034-09-01      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-372.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                                         | SWEDBANK AB 144A 09/27 5.337                           | CUSIP: 87020PAT4<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |   4100000 | PA      | $4195226.97   | 0.32%             | 2027-09-20      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1593.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  44900000 | PA      | $46084277.91  | 3.47%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032625<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -34500000 | PA      | $-31789863.20 | -2.39%            | 2056-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD EUR BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-407355.27   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB6                                    | COUNTRYWIDE HOME LOANS CWHL 2004 HYB6 A2               | CUSIP: 12669GBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172504 | PA      | $166280.29    | 0.01%             | 2034-11-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| DRYDEN 86 CLO LTD 2020-86A                                          | DRYDEN SENIOR LOAN FUND DRSLF 2020 86A A1R2 144A       | CUSIP: 26245XAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500095.64    | 0.04%             | 2034-07-17      | Floating      | 5.01%                 | 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        |    778154 | PA      | $779111.53    | 0.06%             | 2030-10-24      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5557                                             | FREDDIE MAC FHR 5557 FM                                | CUSIP: 3137HLZ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2364652 | PA      | $2373481.67   | 0.18%             | 2055-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-12                                           | FANNIE MAE FNR 2025 12 FG                              | CUSIP: 3136BVFH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    793227 | PA      | $797114.52    | 0.06%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GPMT LLC 2021-FL3                                                   | GPMT LTD. GPMT 2021 FL3 A 144A                         | CUSIP: 36264BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    328638 | PA      | $328612.18    | 0.02%             | 2035-07-16      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                     | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1              | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61478 | PA      | $58539.11     | 0.00%             | 2034-02-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| STRYKER CORPORATION                                                 | STRYKER CORP SR UNSECURED 09/29 4.25                   | CUSIP: 863667BE0<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    300000 | PA      | $301724.73    | 0.02%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                               | AIR LEASE CORP DISC COML 01/26 ZCP                     | CUSIP: 00913XA86<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499551.90    | 0.04%             | 2026-01-08      | 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        |   3600000 | PA      | $3679809.34   | 0.28%             | 2028-01-13      | Fixed         | 5.12%                 | 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        |   1746211 | PA      | $1791824.22   | 0.13%             | 2071-08-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.67900 08/13/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $395.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $17061.98     | 0.00%             |  |  |  | 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        |     13325 | PA      | $13240.42     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TSY INFL IX N/B 07/32 0.625                            | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10309980 | PA      | $9675760.24   | 0.73%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $433.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                    | BANK OF MONTREAL SR UNSECURED 09/27 VAR                | CUSIP: 06368L8K5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   2100000 | PA      | $2108424.47   | 0.16%             | 2027-09-10      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H17 FL         | CUSIP: 38376REV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    201622 | PA      | $201630.81    | 0.02%             | 2065-06-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                           | FANNIE MAE FNR 2024 38 AF                              | CUSIP: 3136BR5A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1031443 | PA      | $1032218.84   | 0.08%             | 2047-12-25      | Floating      | 4.99%                 | 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        |   2800000 | PA      | $2845861.45   | 0.21%             | 2028-03-31      | Fixed         | 4.75%                 | 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      | $-18699.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                    | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2             | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10397 | PA      | $4547.43      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | 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        |   1137776 | PA      | $1140148.68   | 0.09%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                          | HARDWOOD FUNDING LLC CORP0HRE5                         | CUSIP: 955NUFII1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1016799.11   | 0.08%             | 2030-06-07      | Fixed         | 4.98%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $298.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BY3411 FN 06/53 FIXED 5                      | CUSIP: 3140NKYH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22409 | PA      | $22469.16     | 0.00%             | 2053-06-01      | 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        |      8681 | PA      | $8639.99      | 0.00%             | 2042-07-01      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL CB3278 FN 04/52 FIXED 3                      | CUSIP: 3140QNUC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7126192 | PA      | $6314406.53   | 0.48%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PHHMC MTG PASS THRU CERTIFICATES 2005-4                             | PHHMC MORTGAGE PASS THROUGH CE PHHMC 2005 4 A7         | CUSIP: 69336RBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44300 | PA      | $44438.34     | 0.00%             | 2035-07-18      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.30000 09/25/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1228.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UBBKA2 PIMCO SWAPTION 3.8775 PUT USD 202601         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -700000 | NC      | $-694.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UB8QA3 PIMCO SWAPTION 3.798 PUT USD 2026010         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1900000 | NC      | $-2835.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MTGE SEC 2004-G                                     | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 G 2A7        | CUSIP: 05949ALH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64518 | PA      | $64621.18     | 0.00%             | 2034-08-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                               | AIR LEASE CORP DISC COML 01/26 ZCP                     | CUSIP: 00913XA78<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    700000 | PA      | $699451.48    | 0.05%             | 2026-01-07      | None          | 0.00%                 | 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        |      2084 | PA      | $2103.94      | 0.00%             | 2042-12-25      | Variable      | 6.50%                 | 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        |   2231241 | PA      | $2228500.68   | 0.17%             | 2037-01-20      | Floating      | 5.19%                 | 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        |   4663641 | PA      | $4683592.99   | 0.35%             | 2054-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $138.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 33 LTD 33A                                                  | KKR FINANCIAL CLO LTD KKR 33A AR 144A                  | CUSIP: 48254QAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500122.08    | 0.04%             | 2034-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BL1942 FN 03/26 FIXED 3.15                   | CUSIP: 3140HTEQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2800000 | PA      | $2789382.71   | 0.21%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | CDX IG45 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $11474.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/2.00000 12/21/22-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1217175.66   | 0.09%             |  |  |  | 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        |    900000 | PA      | $886692.44    | 0.07%             | 2026-10-01      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| WHETSTONE PARK CLO LTD 2021-1A                                      | WHETSTONE PARK CLO LTD WHTPK 2021 1A A1R 144A          | CUSIP: 96329YAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1200002.10   | 0.09%             | 2035-01-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H15 FE         | CUSIP: 38376R6F8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1977142 | PA      | $2004101.65   | 0.15%             | 2067-07-20      | Floating      | 5.58%                 | 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        |   3200000 | PA      | $3214999.74   | 0.24%             | 2028-04-28      | Fixed         | 4.12%                 | 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        |    356857 | PA      | $355239.16    | 0.03%             | 2036-05-25      | Floating      | 4.17%                 | 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        |       346 | PA      | $350.08       | 0.00%             | 2036-12-01      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260123                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $739.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                  | ORACLE CORPORATION 01/26 ZCP                           | CUSIP: 6840C3AG8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1148042.70   | 0.09%             | 2026-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                          | ABBVIE INC SR UNSECURED 03/27 4.8                      | CUSIP: 00287YDR7<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   4100000 | PA      | $4144334.08   | 0.31%             | 2027-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-32589.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | CITIGROUP REPO REPO                     5807           | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  42100000 | PA      | $42100000.00  | 3.17%             |  |  |  | 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        |   1400000 | PA      | $1405291.10   | 0.11%             | 2028-02-04      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                     | SANTANDER UK GROUP HLDGS SR UNSECURED 09/30 VAR        | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   2200000 | PA      | $2228230.38   | 0.17%             | 2030-09-11      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $202.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BM2003 FN 10/47 FIXED VAR                    | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    140852 | PA      | $136258.73    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | 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        |      2609 | PA      | $2586.59      | 0.00%             | 2035-01-25      | Floating      | 4.13%                 | 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        |   1798992 | PA      | $1821015.79   | 0.14%             | 2036-05-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $1539.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-SD1                                        | ACE SECURITIES CORP. ACE 2006 SD1 M1                   | CUSIP: 004421XW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1893659 | PA      | $1803216.47   | 0.14%             | 2036-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL Q58083 FG 08/48 FIXED 4              | CUSIP: 3132Y16V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1512643 | PA      | $1464257.73   | 0.11%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UBC4A8 PIMCO SWAPTION 3.639 CALL USD 202601         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1800000 | NC      | $-564.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | EURO-BUND OPTION  FEB26C 130.5 EXP 01/23/2026          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -3 | NC      | $-141.02      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1783.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1466.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                    | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1              | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10912 | PA      | $10887.37     | 0.00%             | 2035-02-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.70000 08/13/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-8950.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BC9261 FN 04/46 FIXED 4                      | CUSIP: 3140F5JF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43996 | PA      | $42259.81     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                             | HCA INC DISC COML PAPER 02/26 ZCP                      | CUSIP: 40412DBC2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $497560.75    | 0.04%             | 2026-02-12      | None          | 0.00%                 | 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        |    700000 | PA      | $713312.78    | 0.05%             | 2027-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                  | FANNIE MAE FNR 2007 73 A1                              | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35340 | PA      | $34705.04     | 0.00%             | 2037-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-674.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  50000000 | PA      | $51314889.00  | 3.86%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                  | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A       | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23775 | PA      | $23201.37     | 0.00%             | 2035-05-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2B        | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30979 | PA      | $27779.39     | 0.00%             | 2035-08-25      | Floating      | 5.40%                 | 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      | $-7997.02     | -0.00%            |  |  |  | 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        |   4158677 | PA      | $4891518.33   | 0.37%             | 2032-07-15      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1        | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124758 | PA      | $99200.24     | 0.01%             | 2046-12-26      | Floating      | 3.94%                 | 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        |   3461455 | PA      | $3175719.07   | 0.24%             | 2037-05-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1488.47     | -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        |   1662558 | PA      | $1618475.09   | 0.12%             | 2054-07-25      | Floating      | 2.90%                 | 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      | $-595926.10   | -0.04%            |  |  |  | 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      | $19214.24     | 0.00%             |  |  |  | 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        |   3100000 | PA      | $3271014.51   | 0.25%             | 2029-04-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | COLOMBIA LA SP BPS                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-619.70      | -0.00%            |  |  |  | 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        |      7921 | PA      | $8184.33      | 0.00%             | 2035-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UB9VA5 PIMCO SWAPTION 3.58 CALL USD 2026010         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1300000 | NC      | $-0.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POST CLO 2021-1 LTD                                                 | POST CLO LTD POST 2021 1A AR 144A                      | CUSIP: 73742FAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1050000 | PA      | $1050091.60   | 0.08%             | 2034-10-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                    | DEUTSCHE BANK NY 09/30 VAR                             | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2000000 | PA      | $2031442.46   | 0.15%             | 2030-09-11      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-134.48      | -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      | $-900203.15   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                         | REPUBLIC OF POLAND SR UNSECURED 03/29 4.625            | CUSIP: 731011AX0<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |   3850000 | PA      | $3934346.49   | 0.30%             | 2029-03-18      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260123                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $791.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UBA4A2 PIMCO SWAPTION 3.625 CALL USD 202601         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1200000 | NC      | $-108.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | EURO-BUND OPTION  FEB26P 127.5 EXP 01/23/2026          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -3 | NC      | $-2115.36     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL CB5278 FN 11/52 FIXED 5                      | CUSIP: 3140QQ2L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200889 | PA      | $201742.78    | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | 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        |     87381 | PA      | $84599.73     | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | 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        |   4540021 | PA      | $4561862.59   | 0.34%             | 2055-08-25      | Floating      | 5.07%                 | 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        |   3200000 | PA      | $3242941.98   | 0.24%             | 2029-05-09      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AN7957 FN 01/28 FIXED 3.22                   | CUSIP: 3138LLZX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $991932.19    | 0.07%             | 2028-01-01      | Fixed         | 3.22%                 | 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        |    692101 | PA      | $725019.62    | 0.05%             | 2044-08-15      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                  | SOUTHERN CAL EDISON 1ST MORTGAGE 03/26 5.35            | CUSIP: 842400JB0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1202233.80   | 0.09%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AS3891 FN 11/44 FIXED 4                      | CUSIP: 3138WDKD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7828 | PA      | $7548.89      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $567.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD CREDIT CANADA CO/CANADA                                        | FORD CREDIT CANADA CO/CA COMPANY GUAR 02/26 7          | CUSIP: 34527ACL2<br>LEI: 2549003B8W74KJLQJA63 | Long             | DBT              | CORP              | CA        |    600000 | PA      | $438832.86    | 0.03%             | 2026-02-10      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $816.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20260213                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-1064.74     | -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        |    400000 | NC      | $208.12       | 0.00%             |  |  |  | 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      | $1902.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AL0300 FN 06/26 FIXED VAR                    | CUSIP: 3138EGKN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       157 | PA      | $156.77       | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | 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      | $44823.07     | 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        |     30253 | PA      | $25927.90     | 0.00%             | 2036-02-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                 | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/26 5.464      | CUSIP: 86562MCT5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   3000000 | PA      | $3001317.84   | 0.23%             | 2026-01-13      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AL7206 FN 08/45 FIXED VAR                    | CUSIP: 3138EQAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11677 | PA      | $11311.85     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                  | SO. CALIF EDISON                                       | CUSIP: 8424C1A57<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    900000 | PA      | $899498.08    | 0.07%             | 2026-01-05      | None          | 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      | $-13518.77    | -0.00%            |  |  |  | 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        |   2900000 | PA      | $2920533.42   | 0.22%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                     | AES CORP/THE SR UNSECURED 01/26 1.375                  | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   5100000 | PA      | $5094182.94   | 0.38%             | 2026-01-15      | Fixed         | 1.38%                 | 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        |   1500000 | PA      | $1553353.47   | 0.12%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL BUSINESS MACHINES CORPORATION (IBM)                   | IBM CORP SR UNSECURED 02/28 4.65                       | CUSIP: 459200LF6<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2842541.94   | 0.21%             | 2028-02-10      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.53000 04/23/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $3204.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JABIL INC                                                           | JABIL INC                                              | CUSIP: 46652MAE5<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    950000 | PA      | $948383.67    | 0.07%             | 2026-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                             | FREDDIE MAC FHR 5508 DF                                | CUSIP: 3137HJG84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1942012 | PA      | $1953267.96   | 0.15%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A        | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2359 | PA      | $2395.86      | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | 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        |     27297 | PA      | $27482.04     | 0.00%             | 2041-09-01      | Floating      | 5.28%                 | 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        |       652 | PA      | $620.78       | 0.00%             | 2034-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1307.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $338.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4            | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A   | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1881699 | PA      | $1894078.02   | 0.14%             | 2036-11-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.59000 08/19/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $4252.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1344.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                | JPMORGAN CHASE + CO SR UNSECURED 10/27 VAR             | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3047980.05   | 0.23%             | 2027-10-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-NC1                                  | STRUCTURED ASSET SECURITIES CO SASC 2006 NC1 A5        | CUSIP: 86360PAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2559881 | PA      | $2541017.92   | 0.19%             | 2036-05-25      | Floating      | 4.47%                 | 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        |   2400000 | PA      | $2437740.00   | 0.18%             | 2028-03-01      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $234.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AI2507 FN 05/26 FIXED 4.5                    | CUSIP: 3138AFYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38 | PA      | $38.48        | 0.00%             | 2026-05-01      | Fixed         | 4.50%                 | 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      | $-20054.78    | -0.00%            |  |  |  | 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        |   2877462 | PA      | $2904604.50   | 0.22%             | 2054-12-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-298.56      | -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      | $-67881.07    | -0.01%            |  |  |  | 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        |  12995102 | PA      | $13057232.50  | 0.98%             | 2055-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL 1B2315 FH 09/35 FLOATING VAR         | CUSIP: 3128JMN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13206 | PA      | $13646.89     | 0.00%             | 2035-09-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL VII LTD 2019-1A                                 | FORTRESS CREDIT BSL LIMITED FCBSL 2019 1A A1R 144A     | CUSIP: 34956NAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    318837 | PA      | $319200.68    | 0.02%             | 2032-07-23      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UBA6A0 PIMCO SWAPTION 3.625 CALL USD 202601         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | LU        |   -200000 | NC      | $-18.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CEDAR FUNDING VI CLO LTD 2016-6A                                    | CEDAR FUNDING LTD CEDF 2016 6A AR3 144A                | CUSIP: 15032DAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1200367.70   | 0.09%             | 2034-04-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-4729.11     | -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        |   9168710 | PA      | $8557677.81   | 0.64%             | 2047-10-01      | Fixed         | 3.50%                 | 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        |   3300000 | PA      | $3361356.97   | 0.25%             | 2029-01-12      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $8.69         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FE         | CUSIP: 38383KDE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000433 | PA      | $2019873.56   | 0.15%             | 2073-08-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                 | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 14A1      | CUSIP: 07384M4F6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    768475 | PA      | $750471.01    | 0.06%             | 2035-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UB7ZA5 PIMCO SWAPTION 3.5475 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-0.06        | 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      | $-26558.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1     | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19354 | PA      | $19507.17     | 0.00%             | 2045-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $200101.56    | 0.02%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $226.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UB7YA6 PIMCO SWAPTION 3.8475 PUT USD 202601         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-52.80       | -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        |   1200000 | PA      | $1222530.65   | 0.09%             | 2029-04-23      | Floating      | 4.97%                 | 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      | $-3723.57     | -0.00%            |  |  |  | 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        |       246 | PA      | $247.57       | 0.00%             | 2033-04-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $18082.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA5387 FN 06/54 FIXED 5                      | CUSIP: 31418E6Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  69017845 | PA      | $68919843.59  | 5.19%             | 2054-06-01      | Fixed         | 5.00%                 | 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        |   4802686 | PA      | $4255199.34   | 0.32%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A1        | CUSIP: 07384MQ70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43840 | PA      | $41216.71     | 0.00%             | 2034-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-41754.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                    | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A     | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3246568 | PA      | $3247272.31   | 0.24%             | 2037-02-19      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5505                                             | FREDDIE MAC FHR 5505 AF                                | CUSIP: 3137HJ6H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2045429 | PA      | $2022736.67   | 0.15%             | 2050-03-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                         | CITIBANK NA SR UNSECURED 04/26 5.438                   | CUSIP: 17325FBF4<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2509696.15   | 0.19%             | 2026-04-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                               | CROWN CASTLE 01/26 ZCP                                 | CUSIP: 22823QAM3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299267.82    | 0.02%             | 2026-01-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                                          | AMETEK INC DISC COML 01/26 ZCP                         | CUSIP: 03111CA60<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249841.50    | 0.02%             | 2026-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                             | NTT FINANCE CORP SR UNSECURED 144A 07/27 4.567         | CUSIP: 62954WAP0<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $403637.46    | 0.03%             | 2027-07-16      | Fixed         | 4.57%                 | 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        |   1300000 | PA      | $1314714.73   | 0.10%             | 2027-06-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                      | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                 | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75852 | PA      | $72935.65     | 0.01%             | 2034-11-25      | Floating      | 4.80%                 | 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        |   3900000 | PA      | $3934737.96   | 0.30%             | 2027-01-22      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                  | SOUTHERN CAL EDISON 1ST MORTGAGE 09/26 4.4             | CUSIP: 842400JF1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    115000 | PA      | $115223.13    | 0.01%             | 2026-09-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260318                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $481.69       | 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      | $-17304.00    | -0.00%            |  |  |  | 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        |   1856330 | PA      | $1908027.32   | 0.14%             | 2052-11-15      | Fixed         | 5.67%                 | 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      | $4974.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                | LAS VEGAS SANDS CORP SR UNSECURED 06/27 5.9            | CUSIP: 517834AJ6<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3469561.48   | 0.26%             | 2027-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                           | HA SUSTAINABLE INFRASTRUCTURE 01/26 ZCP                | CUSIP: 40460KA87<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249760.95    | 0.02%             | 2026-01-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                  | SOUTHERN CAL EDISON 1ST MORTGAGE 02/27 4.875           | CUSIP: 842400JA2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302044.42    | 0.02%             | 2027-02-01      | Fixed         | 4.88%                 | 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        |      5859 | PA      | $5843.96      | 0.00%             | 2044-03-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                                          | AMETEK INC DISC COML 01/26 ZCP                         | CUSIP: 03111CAC7<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |    950000 | PA      | $948790.08    | 0.07%             | 2026-01-12      | None          | 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        |    174055 | PA      | $174772.27    | 0.01%             | 2066-05-20      | Floating      | 4.91%                 | 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        |   1415379 | PA      | $1416642.63   | 0.11%             | 2036-12-16      | Floating      | 5.20%                 | 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      | $1917.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                 | GLOBAL PAYMENTS INC SR UNSECURED 11/28 4.5             | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    900000 | PA      | $901844.92    | 0.07%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                 | ELEVATION CLO LTD AWPT 2018 3A A1R2 144A               | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1201683.22   | 0.09%             | 2035-01-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| KOREA HOUSING FINANCE CORP (KHFC)                                   | KOREA HOUSING FINANCE CO SR UNSECURED 144A 08/27 4.875 | CUSIP: 50065RAP2<br>LEI: 9884002AAOBT56QW9B80 | Long             | DBT              | CORP              | KR        |   1300000 | PA      | $1321948.50   | 0.10%             | 2027-08-27      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UBC0A2 PIMCO SWAPTION 3.919 PUT USD 2026011         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1100000 | NC      | $-539.11      | -0.00%            |  |  |  | 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        |    500000 | PA      | $502162.01    | 0.04%             | 2026-08-07      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UB9UA6 PIMCO SWAPTION 3.86 PUT USD 20260105         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1300000 | NC      | $-246.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                       | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A   | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1214175 | PA      | $1215735.68   | 0.09%             | 2037-01-17      | Floating      | 5.49%                 | 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      | $11339.93     | 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        |    824612 | PA      | $842566.29    | 0.06%             | 2053-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                           | JABIL INC                                              | CUSIP: 46652MAC9<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    350000 | PA      | $349489.42    | 0.03%             | 2026-01-12      | None          | 0.00%                 | 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      | $3894.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-26333.03    | -0.00%            |  |  |  | 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        |      2980 | PA      | $2823.75      | 0.00%             | 2042-06-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-7004.04     | -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        |       223 | PA      | $219.42       | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5601                                             | FREDDIE MAC FHR 5601 F                                 | CUSIP: 3137HNQX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1234152 | PA      | $1239604.76   | 0.09%             | 2055-11-25      | Floating      | 4.77%                 | 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        |   1030384 | PA      | $1032256.48   | 0.08%             | 2051-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                               | CROWN CASTLE 01/26 ZCP                                 | CUSIP: 22823QAL5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   2450000 | PA      | $2444304.73   | 0.18%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                               | AIR LEASE CORP DISC COML 01/26 ZCP                     | CUSIP: 00913XAC7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249662.90    | 0.02%             | 2026-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1        | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44461 | PA      | $38476.97     | 0.00%             | 2035-08-25      | Floating      | 4.47%                 | 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        |   8600000 | PA      | $8635610.45   | 0.65%             | 2026-04-30      | Fixed         | 4.88%                 | 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        |   2475967 | PA      | $2481377.91   | 0.19%             | 2072-04-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                         | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |  12794768 | PA      | $125606241.03 | 9.46%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                             | FREDDIE MAC FHR 5426 CF                                | CUSIP: 3137HCY22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    764630 | PA      | $763211.82    | 0.06%             | 2050-12-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                          | FIDELITY NATL INFORMATION SVCS                         | CUSIP: 31622GAE7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249628.10    | 0.02%             | 2026-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                                  | BACARDI MARTINI B V                                    | CUSIP: 05634FAV1<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249161.18    | 0.02%             | 2026-01-29      | None          | 0.00%                 | 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        |   1412205 | PA      | $1903509.54   | 0.14%             | 2045-06-13      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $9245.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-54                                           | FANNIE MAE FNR 2024 54 FC                              | CUSIP: 3136BSSC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    521793 | PA      | $524345.66    | 0.04%             | 2054-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-120                                          | FANNIE MAE FNR 2012 120 WE                             | CUSIP: 3136A9N53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    968290 | PA      | $950274.82    | 0.07%             | 2027-11-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $6208.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H12                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H12 FA         | CUSIP: 38382Y5K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2743674 | PA      | $2781397.63   | 0.21%             | 2073-05-20      | Floating      | 4.92%                 | 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      | $-45721.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDIGO CREDIT MANAGEMENT II DAC 2A                                  | INDIGO CREDIT MANAGEMENT INDI 2A A 144A                | CUSIP: ACI2RZY31<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1200000 | PA      | $1411282.30   | 0.11%             | 2038-07-15      | Floating      | 3.21%                 | 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        |    100000 | PA      | $100842.51    | 0.01%             | 2027-06-01      | Fixed         | 4.70%                 | 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        |   2724382 | PA      | $2719663.00   | 0.20%             | 2039-02-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| SHACKLETON CLO LTD 2019-14A                                         | SHACKLETON CLO LTD SHACK 2019 14A A1RR 144A            | CUSIP: 81880XAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1501304.78   | 0.11%             | 2034-07-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 732218 FN 06/43 FLOATING VAR                 | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22977 | PA      | $23220.56     | 0.00%             | 2043-06-01      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BJ5736 FN 04/48 FIXED 4                      | CUSIP: 3140H7LS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1460482 | PA      | $1411259.99   | 0.11%             | 2048-04-01      | Fixed         | 4.00%                 | 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        |    400000 | PA      | $407938.35    | 0.03%             | 2028-03-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR6                              | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 1A1      | CUSIP: 36185MBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18923 | PA      | $15499.99     | 0.00%             | 2035-11-19      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-25                                                  | FANNIE MAE FNR 2003 25 KP                              | CUSIP: 31393APU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1633 | PA      | $1637.55      | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 FJ         | CUSIP: 38375UWU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1380791 | PA      | $1387601.23   | 0.10%             | 2066-04-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-104840.37   | -0.01%            |  |  |  | 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      | $-8591.82     | -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        |    383239 | PA      | $385543.55    | 0.03%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                   | ENBRIDGE (US) INC                                      | CUSIP: 29251VA71<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |    600000 | PA      | $599555.52    | 0.05%             | 2026-01-07      | None          | 0.00%                 | 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        |     66186 | PA      | $65331.41     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260303                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1361.41      | 0.00%             |  |  |  | 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        |      5098 | PA      | $5137.95      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | 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      | $-6068.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-69                                           | FANNIE MAE FNR 2025 69 FB                              | CUSIP: 3136BWC38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12976919 | PA      | $13038946.06  | 0.98%             | 2055-08-25      | Floating      | 5.07%                 | 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        |  12208178 | PA      | $12453820.74  | 0.94%             | 2072-11-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QF9880 FR 04/53 FIXED 5              | CUSIP: 3133BX6R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    536726 | PA      | $538151.41    | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                         | LETRA TESOURO NACIONAL BILLS 04/26 0.00000             | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        | 163400000 | PA      | $28845074.24  | 2.17%             | 2026-04-01      | None          | 0.00%                 | 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        |   2128754 | PA      | $2086348.17   | 0.16%             | 2055-02-16      | Fixed         | 3.94%                 | 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      | $6938.58      | 0.00%             |  |  |  | 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        |   3875351 | PA      | $3398457.97   | 0.26%             | 2052-09-25      | Variable      | 3.00%                 | 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        |   4400000 | PA      | $4464431.84   | 0.34%             | 2029-10-15      | Fixed         | 5.74%                 | 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        |   7009595 | PA      | $6541455.54   | 0.49%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 05/26 3.625                            | CUSIP: 91282CHB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 151600000 | PA      | $151654904.97 | 11.42%            | 2026-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $24789.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-690.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-D                                  | MLCC MORTGAGE INVESTORS INC MLCC 2004 D A1             | CUSIP: 59020UGF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14593 | PA      | $14829.50     | 0.00%             | 2029-09-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.55000 04/16/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $4946.57      | 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      | $5020.57      | 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        |   1900000 | PA      | $2243774.38   | 0.17%             | 2027-02-23      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                               | AIR LEASE CORP DISC COML 01/26 ZCP                     | CUSIP: 00913XA94<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249747.75    | 0.02%             | 2026-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                           | JABIL INC                                              | CUSIP: 46652MAD7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249604.98    | 0.02%             | 2026-01-13      | None          | 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      | $-7948.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL CB3242 FN 04/52 FIXED 3                      | CUSIP: 3140QNS86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7401149 | PA      | $6556662.56   | 0.49%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260219                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-94.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS CLO VI LTD 2017-6A                                         | TRINITAS CLO LTD TRNTS 2017 6A AR4 144A                | CUSIP: 89640YBQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1300586.79   | 0.10%             | 2034-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UBCLA9 PIMCO SWAPTION 3.6475 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-138.24      | -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        |   4000000 | PA      | $4031992.60   | 0.30%             | 2027-01-08      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CRNCL-2019-11A                                                      | CAIRN CLO BV CRNCL 2019 11A AR 144A                    | CUSIP: ACI34RX33<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1764615.32   | 0.13%             | 2040-01-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q029   | FHLMC MULTIFAMILY STRUCTURED P FHMS Q029 A             | CUSIP: 3137HHH38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    580606 | PA      | $580575.19    | 0.04%             | 2027-08-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA/NEW YORK BRANCH                              | GOLDMAN SACHS BANK USA SR UNSECURED 05/27 VAR          | CUSIP: 38151LAH3<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1402236.09   | 0.11%             | 2027-05-21      | Floating      | 4.60%                 | 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        |     92634 | PA      | $92514.56     | 0.01%             | 2046-08-01      | Fixed         | 4.50%                 | 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        |   2346046 | PA      | $2326949.07   | 0.18%             | 2029-04-10      | Fixed         | 2.82%                 | 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        |    961901 | PA      | $971166.82    | 0.07%             | 2073-08-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                             | HCA INC DISC COML PAPER 01/26 ZCP                      | CUSIP: 40412DAD1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249639.05    | 0.02%             | 2026-01-13      | None          | 0.00%                 | 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        |   2603178 | PA      | $2613975.71   | 0.20%             | 2055-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 05/32 2.875                            | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2100000 | PA      | $1980439.46   | 0.15%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                               | AIR LEASE CORP DISC COML 01/26 ZCP                     | CUSIP: 00913XAE3<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249606.13    | 0.02%             | 2026-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BW7921 FN 08/52 FIXED 5                      | CUSIP: 3140N0YT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98928 | PA      | $99123.74     | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050627<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6400000 | PA      | $-6376749.95  | -0.48%            | 2056-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $153.07       | 0.00%             |  |  |  | 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        |     45618 | PA      | $45285.10     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-662.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL MA2569 G2 02/30 FIXED 3                   | CUSIP: 36179Q2A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53843 | PA      | $53023.31     | 0.00%             | 2030-02-20      | Fixed         | 3.00%                 | 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        |   4600000 | PA      | $4620810.58   | 0.35%             | 2027-11-16      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                         | CITIBANK NA SR UNSECURED 11/27 VAR                     | CUSIP: 17325FBL1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1611798.16   | 0.12%             | 2027-11-19      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-25122.30    | -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      | $9768.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UBA5A1 PIMCO SWAPTION 3.925 PUT USD 2026010         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | LU        |   -200000 | NC      | $-39.70       | -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      | $616998.98    | 0.05%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 844532 FN 11/35 FLOATING VAR                 | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8558 | PA      | $8703.21      | 0.00%             | 2035-11-01      | Floating      | 5.72%                 | 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        |   3768406 | PA      | $3837007.98   | 0.29%             | 2070-08-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                    | PROJECT CASHMERE CLASS A1 144A                         | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |  20300000 | PA      | $13547205.67  | 1.02%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | 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        |     39932 | PA      | $40040.27     | 0.00%             | 2038-04-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 5YR NOTE (CBT) MAR26 XCBT 20260331                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      1723 | NC      | $-370614.19   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-3A                       | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 3A A2A 144A  | CUSIP: 96043CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    522290 | PA      | $522965.00    | 0.04%             | 2027-09-15      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XII DAC 12A                                  | CORDATUS CLO PLC CORDA 12A ARR 144A                    | CUSIP: ACI378M42<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $587599.99    | 0.04%             | 2039-01-23      | Floating      | 3.31%                 | 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      | $-1201.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                              | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1            | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49127 | PA      | $47923.19     | 0.00%             | 2045-02-25      | Floating      | 5.23%                 | 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        |   2036358 | PA      | $2046251.05   | 0.15%             | 2054-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                  | CONAGRA FOODS INC.                                     | CUSIP: 20600HA53<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249862.55    | 0.02%             | 2026-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $0.41         | 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        |   8155722 | PA      | $7619570.34   | 0.57%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | ORACLE CORPORATION SNR S* ICE                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-14452.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR FUT OPTN  FEB26P 112 EXP 01/23/2026            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -18 | NC      | $-5704.06     | -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        |    750000 | PA      | $740337.64    | 0.06%             | 2028-08-03      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                | KEURIG DR PEPPER                                       | CUSIP: 49271KA95<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    700000 | PA      | $699341.23    | 0.05%             | 2026-01-09      | None          | 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        |   1800000 | PA      | $1867208.24   | 0.14%             | 2029-05-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS II LLC 2025-1A                                       | QTS ISSUER ABS II LLC QTSII 2025 1A A2 144A            | CUSIP: 74690FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2482048.75   | 0.19%             | 2055-10-05      | Fixed         | 5.04%                 | 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      | $-27305.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G08809 FG 04/48 FIXED 4              | CUSIP: 3128MJ3T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    301375 | PA      | $291735.44    | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-774.00      | -0.00%            |  |  |  | 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        |   1743440 | PA      | $1706424.19   | 0.13%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HEWLETT PACKARD ENTERPRISE COMPANY                                  | HP ENTERPRISE CO SR UNSECURED 09/26 4.45               | CUSIP: 42824CBR9<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2256996.89   | 0.17%             | 2026-09-25      | Fixed         | 4.45%                 | 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      | $-895.01      | -0.00%            |  |  |  | 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        |        24 | PA      | $24.96        | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $1572.69      | 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        |       230 | PA      | $222.84       | 0.00%             | 2032-03-25      | Floating      | 4.87%                 | 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        |     22281 | PA      | $20014.88     | 0.00%             | 2035-01-25      | Floating      | 5.12%                 | 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      | $2660.41      | 0.00%             |  |  |  | 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        |  87500000 | NC      | $45526.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                          | SANDSTONE PEAK LTD. SAND 2021 1A A1R 144A              | CUSIP: 800130AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2200000 | PA      | $2204001.95   | 0.17%             | 2034-10-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $2380.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL ZS7743 FR 01/29 FIXED 2.5            | CUSIP: 3132A8S83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33052 | PA      | $32575.58     | 0.00%             | 2029-01-01      | Fixed         | 2.50%                 | 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        |    125992 | PA      | $133961.99    | 0.01%             | 2034-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CRSNT TRUST 2021-MOON                                               | CRSNT TRUST CRSNT 2021 MOON A 144A                     | CUSIP: 22877LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5961199.20   | 0.45%             | 2036-04-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT EUR SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $9391.95      | 0.00%             |  |  |  | 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        |   1900000 | PA      | $1924457.45   | 0.14%             | 2027-03-05      | Fixed         | 5.80%                 | 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        |     20721 | PA      | $18164.30     | 0.00%             | 2043-01-25      | Fixed         | 1.00%                 | 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        |   2110000 | PA      | $2231132.23   | 0.17%             | 2049-05-30      | Fixed         | 6.58%                 | 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      | $-1895.63     | -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        |   2904986 | PA      | $2747874.51   | 0.21%             | 2047-07-01      | Fixed         | 3.50%                 | 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        |  11551536 | PA      | $11599061.15  | 0.87%             | 2055-08-25      | Floating      | 5.07%                 | 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        |    149820 | PA      | $105839.29    | 0.01%             | 2036-01-26      | Floating      | 5.00%                 | 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        |      4272 | PA      | $4277.88      | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QF1432 FR 10/52 FIXED 5              | CUSIP: 3133BNSV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    157969 | PA      | $158219.18    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $781.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                | ROYAL BANK OF CANADA SR UNSECURED 01/29 VAR            | CUSIP: 78017DAA6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1000000 | PA      | $1019087.28   | 0.08%             | 2029-01-24      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-HE4                                        | ACE SECURITIES CORP. ACE 2004 HE4 M1                   | CUSIP: 004421JH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    690662 | PA      | $636146.54    | 0.05%             | 2034-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2220.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                             | HCA INC DISC COML PAPER 01/26 ZCP                      | CUSIP: 40412DAL3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    750000 | PA      | $748325.18    | 0.06%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H26                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H26 FA         | CUSIP: 38376RJR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1671957 | PA      | $1673250.95   | 0.13%             | 2065-10-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H11                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H11 FD         | CUSIP: 38383KZS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2159330 | PA      | $2181315.05   | 0.16%             | 2074-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR NOTE (CBT)MAR26 XCBT 20260320                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -94 | NC      | $86632.66     | 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        |   2414168 | PA      | $2271449.85   | 0.17%             | 2046-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                   | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A      | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500559.83    | 0.04%             | 2033-04-20      | Floating      | 5.01%                 | 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        |    500000 | PA      | $507098.42    | 0.04%             | 2028-07-14      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $48.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO 2025-1 DAC 25-1A                                   | BARINGS EURO CLO DAC BABSE 2025 1A A 144A              | CUSIP: ACI379GS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1175199.99   | 0.09%             | 2039-08-15      | Floating      | 3.33%                 | 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      | $-27859.57    | -0.00%            |  |  |  | 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        |     11352 | PA      | $11101.88     | 0.00%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FA         | CUSIP: 38383KCV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1809037 | PA      | $1825998.04   | 0.14%             | 2073-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260123                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $924.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                               | CROWN CASTLE 01/26 ZCP                                 | CUSIP: 22823QAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    650000 | PA      | $648337.82    | 0.05%             | 2026-01-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA4841 FN 12/52 FIXED 5                      | CUSIP: 31418ELX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    289471 | PA      | $290044.65    | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                                                         | EQUIFAX INC SR UNSECURED 12/27 5.1                     | CUSIP: 294429AV7<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4077837.20   | 0.31%             | 2027-12-15      | Fixed         | 5.10%                 | 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      | $-2794.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                               | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A        | CUSIP: 36829JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6217 | PA      | $2643.60      | 0.00%             | 2036-08-25      | Floating      | 3.93%                 | 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        |   2565752 | PA      | $3018966.08   | 0.23%             | 2032-08-15      | Floating      | 2.95%                 | 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        |   6681597 | PA      | $6764150.40   | 0.51%             | 2073-09-20      | Floating      | 4.87%                 | 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        |   9529003 | PA      | $9588180.02   | 0.72%             | 2055-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-6820.21     | -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        |     46894 | PA      | $44976.92     | 0.00%             | 2035-09-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST 2025-1                                        | CCG RECEIVABLES TRUST CCG 2025 1 A2 144A               | CUSIP: 12515XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2502910 | PA      | $2518058.39   | 0.19%             | 2032-10-14      | Fixed         | 4.48%                 | 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      | $-1750.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AL4510 FN 01/27 FIXED VAR                    | CUSIP: 3138EMAL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       450 | PA      | $450.82       | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNR-2019-51                                                         | FANNIE MAE FNR 2019 51 AF                              | CUSIP: 3136B5P58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    203764 | PA      | $202830.51    | 0.02%             | 2049-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SD8267 FR 11/52 FIXED 5              | CUSIP: 3132DWFG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    517132 | PA      | $518688.08    | 0.04%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UBA3A3 PIMCO SWAPTION 3.925 PUT USD 2026010         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1200000 | NC      | $-238.20      | -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        |   3557545 | PA      | $3559473.04   | 0.27%             | 2037-06-19      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-3105.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                     | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 05/30 5.375 | CUSIP: 05401AAZ4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1100000 | PA      | $1130604.17   | 0.09%             | 2030-05-30      | 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      | $-18517.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $153.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $249.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H16                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H16 FA         | CUSIP: 38375B4Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    165832 | PA      | $166041.77    | 0.01%             | 2063-07-20      | Floating      | 4.65%                 | 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      | $8344.66      | 0.00%             |  |  |  | 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        |   1400000 | PA      | $1432150.26   | 0.11%             | 2028-02-16      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-2025.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                  | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A             | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14751 | PA      | $14238.90     | 0.00%             | 2035-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $3557.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                             | BPCE SA 144A 01/27 VAR                                 | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2100000 | PA      | $2101300.47   | 0.16%             | 2027-01-18      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | COLOMBIA LA SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-4757.82     | -0.00%            |  |  |  | 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      | $4987.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD AUD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-1690.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2019-4A                                              | PIKES PEAK CLO PIPK 2019 4A ARR 144A                   | CUSIP: 72132WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1100969.89   | 0.08%             | 2034-07-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                | EDISON INTERNATIONAL 01/26 ZCP                         | CUSIP: 28103BA69<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249826.98    | 0.02%             | 2026-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P2                              | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P2 A3 144A   | CUSIP: 14686TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1164132 | PA      | $1167880.55   | 0.09%             | 2028-04-10      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $7361.77      | 0.00%             |  |  |  | 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        |   1739093 | PA      | $1745780.45   | 0.13%             | 2055-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | REPO BANK AMERICA REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        | 244600000 | PA      | $244600000.00 | 18.41%            |  |  |  | No            |                  2 | On Loan: No      |
| VW CREDIT INC                                                       | VW CR INC                                              | CUSIP: 91842KAD8<br>LEI: 549300UUPJ2NXDB68M19 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249648.30    | 0.02%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| THE CAMPBELLS COMPANY                                               | CAMPBELLS COMPANY/THE SR UNSECURED 03/26 5.3           | CUSIP: 134429BL2<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1704072.69   | 0.13%             | 2026-03-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5345                                             | FREDDIE MAC FHR 5345 A                                 | CUSIP: 3137HAQS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    884613 | PA      | $885150.79    | 0.07%             | 2047-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD AUD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-478.67      | -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      | $11780.86     | 0.00%             |  |  |  | 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        |  11800000 | PA      | $11535032.18  | 0.87%             | 2026-10-28      | Fixed         | 0.80%                 | 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        |   9619192 | PA      | $9232988.17   | 0.70%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5564                                             | FREDDIE MAC FHR 5564 PF                                | CUSIP: 3137HMDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    983166 | PA      | $988180.82    | 0.07%             | 2055-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA5352 FN 05/54 FIXED 5                      | CUSIP: 31418E5N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    531933 | PA      | $530942.08    | 0.04%             | 2054-05-01      | Fixed         | 5.00%                 | 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        |     41781 | PA      | $42497.26     | 0.00%             | 2034-09-25      | Floating      | 5.04%                 | 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        |    864207 | PA      | $867201.99    | 0.07%             | 2055-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10300000 | PA      | $10435169.17  | 0.79%             | 2056-02-15      | Fixed         | 5.50%                 | 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        |      1270 | PA      | $1307.53      | 0.00%             | 2035-07-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1        | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69819 | PA      | $64964.11     | 0.00%             | 2035-01-25      | Floating      | 5.43%                 | 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        |   3613927 | PA      | $3570107.93   | 0.27%             | 2036-12-15      | Floating      | 4.98%                 | 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      | $160108.54    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL ZT2003 FR 09/30 FIXED 3.5            | CUSIP: 3132AEGL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    190564 | PA      | $189461.69    | 0.01%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                             | FREDDIE MAC FHR 5517 FE                                | CUSIP: 3137HKGJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1985724 | PA      | $2002816.54   | 0.15%             | 2055-03-25      | Floating      | 4.82%                 | 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        |   2670000 | PA      | $2709280.72   | 0.20%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                   | ENBRIDGE (US) INC                                      | CUSIP: 29251VA22<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249947.48    | 0.02%             | 2026-01-02      | 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        |   1900000 | PA      | $1908275.24   | 0.14%             | 2028-04-13      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR ULTRA FUT MAR26 XCBT 20260320                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -1064 | NC      | $969620.49    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MTGE SEC 2004-F                                     | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 F 1A1        | CUSIP: 05949AHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68332 | PA      | $65944.96     | 0.00%             | 2034-07-25      | Floating      | 5.82%                 | 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        |   1186274 | PA      | $1146846.39   | 0.09%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $889.02       | 0.00%             |  |  |  | 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        |    130541 | PA      | $97108.92     | 0.01%             | 2035-07-19      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                         | CITIBANK NA SR UNSECURED 08/26 4.929                   | CUSIP: 17325FBJ6<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1508069.24   | 0.11%             | 2026-08-06      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                        | BROADCOM INC SR UNSECURED 07/27 5.05                   | CUSIP: 11135FBZ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    700000 | PA      | $712902.26    | 0.05%             | 2027-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $792.93       | 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        |   1930000 | PA      | $1979242.95   | 0.15%             | 2028-08-11      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                              | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A2 144A    | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396243 | PA      | $398163.43    | 0.03%             | 2050-06-21      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | EURO-BOBL FUTURE  MAR26 XEUR 20260306                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        10 | NC      | $-9765.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $717.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | EURO-BUND FUTURE  MAR26 XEUR 20260306                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         9 | NC      | $-18707.59    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SAN DIEGO GAS & ELECTRIC COMPANY                                    | SAN DIEGO GAS + ELEC                                   | CUSIP: 79744KAL4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249431.10    | 0.02%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UB9IA0 PIMCO SWAPTION 3.831 PUT USD 2026010         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-220.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 692042 FN 02/33 FIXED 6                      | CUSIP: 31400MZF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       460 | PA      | $471.82       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | 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        |   3700000 | PA      | $3705930.62   | 0.28%             | 2026-07-16      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H20                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H20 FA         | CUSIP: 38384LB73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7773587 | PA      | $7799607.20   | 0.59%             | 2075-09-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| PENTA CLO 9 DAC                                                     | PENTA CLO S.A. PENTA 2021 9A A 144A                    | CUSIP: ACI1Y3GV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $587575.96    | 0.04%             | 2036-07-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                | EDISON INTERNATIONAL 01/26 ZCP                         | CUSIP: 28103BA28<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249942.73    | 0.02%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QG2593 FR 04/53 FIXED 5              | CUSIP: 3133C23A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    838363 | PA      | $841719.79    | 0.06%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 FC         | CUSIP: 38383KVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    743928 | PA      | $743979.17    | 0.06%             | 2074-02-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20260303                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-34.04       | -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      | $-94742.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QG2167 FR 04/53 FIXED 5              | CUSIP: 3133C2MQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    630053 | PA      | $634101.81    | 0.05%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                             | BPCE SA 144A 10/27 VAR                                 | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   5000000 | PA      | $5095847.40   | 0.38%             | 2027-10-19      | Floating      | 6.61%                 | 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      | $-15405.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-4 LTD                                  | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A A1R 144A    | CUSIP: 05685AAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1401280.31   | 0.11%             | 2034-10-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1203.05      | 0.00%             |  |  |  | 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      | $-3132.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CAD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-63479.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $1777.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTGE SEC VII 2003-UP2                              | SALOMON BROTHERS MORTGAGE SECU SBM7 2003 UP2 A1        | CUSIP: 79549AXP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       247 | PA      | $247.33       | 0.00%             | 2033-06-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UBC3A9 PIMCO SWAPTION 3.919 PUT USD 2026011         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1800000 | NC      | $-882.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20260126                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $8967.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20260115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $98.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UB9JA9 PIMCO SWAPTION 3.551 CALL USD 202601         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-0.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                        | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                     | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    143527 | PA      | $142974.64    | 0.01%             | 2042-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                   | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                 | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2160524 | PA      | $2163669.21   | 0.16%             | 2039-02-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-41753.54    | -0.00%            |  |  |  | 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        |   6543331 | PA      | $5800258.56   | 0.44%             | 2052-04-01      | Fixed         | 3.00%                 | 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        |   2017411 | PA      | $1989577.79   | 0.15%             | 2038-11-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD AUD BOUGHT USD 20260114                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-9711.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                        | ACE SECURITIES CORP. ACE 2006 HE4 A2A                  | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41320 | PA      | $16199.41     | 0.00%             | 2036-10-25      | Floating      | 3.97%                 | 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        |   3600000 | PA      | $3660212.59   | 0.28%             | 2027-05-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                            | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1      | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37435 | PA      | $24779.87     | 0.00%             | 2035-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                             | FREDDIE MAC FHR 5511 FB                                | CUSIP: 3137HKKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2499122 | PA      | $2522203.17   | 0.19%             | 2055-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AX1955 FN 08/44 FIXED 4                      | CUSIP: 3138Y3E56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3725 | PA      | $3608.51      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $201.29       | 0.00%             |  |  |  | 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        |    281037 | PA      | $279272.75    | 0.02%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                             | HCA INC DISC COML PAPER 02/26 ZCP                      | CUSIP: 40412DB24<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    400000 | PA      | $398503.64    | 0.03%             | 2026-02-02      | 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        |    500000 | PA      | $499953.65    | 0.04%             | 2029-10-21      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR FUT OPTN  FEB26P 111.5 EXP 01/23/2026          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -42 | NC      | $-6565.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | MORGAN STANLEY SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $11796.32     | 0.00%             |  |  |  | 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        |   1291473 | PA      | $1264760.16   | 0.10%             | 2032-01-01      | Fixed         | 3.00%                 | 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        |   3758719 | PA      | $3289423.52   | 0.25%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                           | AMGEN INC SR UNSECURED 03/28 5.15                      | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    283000 | PA      | $289678.88    | 0.02%             | 2028-03-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | COLOMBIA LA SP BPS                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-559.74      | -0.00%            |  |  |  | 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        |       145 | PA      | $138.30       | 0.00%             | 2032-09-19      | Floating      | 4.51%                 | 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        |    100000 | PA      | $99987.03     | 0.01%             | 2039-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                  | CREDIT AGRICOLE SA 144A 09/28 VAR                      | CUSIP: 22535WAM9<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1600000 | PA      | $1608859.15   | 0.12%             | 2028-09-11      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2025-1 DAC 25-1A                                   | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2025 1A A1 144A   | CUSIP: ACI2XJFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   4500000 | PA      | $5292847.50   | 0.40%             | 2038-08-15      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 841775 FN 09/35 FLOATING VAR                 | CUSIP: 31407VFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16052 | PA      | $16622.35     | 0.00%             | 2035-09-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20260219                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-43.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20260130                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $97.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXIV LTD                                          | BLUEMOUNTAIN CLO LTD BLUEM 2022 34A AR 144A            | CUSIP: 09631JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1200600.00   | 0.09%             | 2035-04-20      | Floating      | 5.03%                 | 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        |   3000000 | PA      | $3006933.69   | 0.23%             | 2027-08-13      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 7 DAC 7A                                          | TORO EUROPEAN CLO TCLO 7A ARE 144A                     | CUSIP: ACI227LV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   4345775 | PA      | $5112167.30   | 0.38%             | 2034-02-15      | Floating      | 2.87%                 | 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        |     17471 | PA      | $17434.96     | 0.00%             | 2031-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-11                                     | GSR MORTGAGE LOAN TRUST GSR 2004 11 1A1                | CUSIP: 36242DFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17010 | PA      | $17183.10     | 0.00%             | 2034-09-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2002-HE1                            | ASSET BACKED SECURITIES CORP H ABSHE 2002 HE1 M1       | CUSIP: 04541GCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4910 | PA      | $5468.30      | 0.00%             | 2032-03-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4400000 | PA      | $3719718.77   | 0.28%             | 2056-02-12      | Fixed         | 2.50%                 | 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        |    500000 | PA      | $512752.07    | 0.04%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20260121                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-634.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                              | PIKES PEAK CLO PIPK 2018 2A ARR 144A                   | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001145.79   | 0.08%             | 2034-10-11      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2003-BC5                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2003 BC5 2A2        | CUSIP: 126671K62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220151 | PA      | $223096.44    | 0.02%             | 2033-12-25      | Floating      | 4.55%                 | 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        |    108318 | PA      | $107693.24    | 0.01%             | 2035-12-25      | Floating      | 4.41%                 | 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      | $-5619.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-G97-4                                                    | FANNIE MAE FNR G97 4 FB                                | CUSIP: 31359PK39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1034 | PA      | $1035.85      | 0.00%             | 2027-06-17      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UBC2A0 PIMCO SWAPTION 3.639 CALL USD 202601         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1100000 | NC      | $-344.85      | -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      | $-697.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD MXN BOUGHT USD 20260129                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-2109.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL MA2273 G2 10/29 FIXED 3.5                 | CUSIP: 36179QQ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    601360 | PA      | $597226.27    | 0.04%             | 2029-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2016-1KRA                                        | WIND RIVER CLO LTD WINDR 2016 1KRA A1R3 144A           | CUSIP: 97314DAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    895169 | PA      | $893073.99    | 0.07%             | 2034-10-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR FUT OPTN  FEB26C 113.5 EXP 01/23/2026          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -60 | NC      | $-4642.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 2YR NOTE (CBT) MAR26 XCBT 20260331                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      5167 | NC      | $-79771.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                   | HSBC HOLDINGS PLC SR UNSECURED 03/29 VAR               | CUSIP: 404280DU0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4500000 | PA      | $4685975.28   | 0.35%             | 2029-03-09      | Floating      | 6.16%                 | 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        |   2000000 | PA      | $2003179.76   | 0.15%             | 2026-07-22      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260116                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $256.70       | 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        |   5000000 | PA      | $5013166.10   | 0.38%             | 2027-09-22      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G07793 FG 06/31 FIXED 5              | CUSIP: 3128M97E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32806 | PA      | $33261.37     | 0.00%             | 2031-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL SERVICES US CORP                               | STELLANTIS FINANCIAL SER SR UNSECURED 144A 09/28 4.95  | CUSIP: 85855FAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1622356.72   | 0.12%             | 2028-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                  | RGA GLOBAL FUNDING SECURED 144A 11/30 4.6              | CUSIP: 76209PAK9<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1001029.51   | 0.08%             | 2030-11-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2024-3A                               | ROMARK CREDIT FUNDING I, LTD. RCF 2024 3A A 144A       | CUSIP: 77587BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $702485.00    | 0.05%             | 2042-09-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL CB2894 FN 02/52 FIXED 3                      | CUSIP: 3140QNGC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10283687 | PA      | $9123081.77   | 0.69%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO III LTD                                                  | CARVAL CLO LTD CARVL 2019 2A AR2 144A                  | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    928629 | PA      | $929265.40    | 0.07%             | 2032-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                | EDISON INTERNATIONAL 01/26 ZCP                         | CUSIP: 28103BA51<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499712.10    | 0.04%             | 2026-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KOREA EXPRESSWAY CORPORATION                                        | KOREA EXPRESSWAY CORP SR UNSECURED 144A 05/27 5        | CUSIP: 50066HAD0<br>LEI: 988400EZO9DR1OFL5772 | Long             | DBT              | CORP              | KR        |   2000000 | PA      | $2030973.90   | 0.15%             | 2027-05-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-66                                           | FANNIE MAE FNR 2025 66 FK                              | CUSIP: 3136BWYL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1734096 | PA      | $1740917.10   | 0.13%             | 2055-08-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | COLOMBIA LA SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1084.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AL5548 FN 05/38 FLOATING VAR                 | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    416930 | PA      | $435004.85    | 0.03%             | 2038-05-01      | Floating      | 6.47%                 | 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        |   1700000 | PA      | $1704410.23   | 0.13%             | 2026-08-28      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA4                               | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A21      | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323643 | PA      | $201818.16    | 0.02%             | 2035-09-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20260108                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $959.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-65763.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                         | KUWAIT INTL BOND SR UNSECURED 144A 10/28 4.016         | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |   2800000 | PA      | $2807250.15   | 0.21%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2023-REV1                              | FORD CREDIT AUTO OWNER TRUST/F FORDR 2023 1 A 144A     | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1275785.63   | 0.10%             | 2035-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA5071 FN 07/53 FIXED 5                      | CUSIP: 31418ET59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14823156 | PA      | $14845673.55  | 1.12%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MYR SOLD USD 20260122                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $33.38        | 0.00%             |  |  |  | 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        |   2700000 | PA      | $2731298.10   | 0.21%             | 2028-04-23      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | COLOMBIA LA SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $3096.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20260123                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $632.83       | 0.00%             |  |  |  | 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      | $-477796.52   | -0.04%            |  |  |  | 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        |   5200000 | PA      | $5281980.86   | 0.40%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                             | HCA INC DISC COML PAPER 01/26 ZCP                      | CUSIP: 40412DAS8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249267.95    | 0.02%             | 2026-01-26      | None          | 0.00%                 | 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      | $468894.65    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1       | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1266 | PA      | $1258.42      | 0.00%             | 2032-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030629<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -63100000 | PA      | $-55776949.69 | -4.20%            | 2056-02-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FG         | CUSIP: 38383KDF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1532664 | PA      | $1550416.43   | 0.12%             | 2073-08-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317UB8RA2 PIMCO SWAPTION 3.498 CALL USD 202601         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1900000 | NC      | $-0.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.40000 02/12/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $3055.87      | 0.00%             |  |  |  | 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        |   1200000 | PA      | $1224204.96   | 0.09%             | 2028-04-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-H11                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 H11 VA         | CUSIP: 38375UKC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1049129 | PA      | $1049682.77   | 0.08%             | 2064-06-20      | Floating      | 4.61%                 | 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        |     19416 | PA      | $20279.58     | 0.00%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2003-J2                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2003 J2 A1        | CUSIP: 12669E4A1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3646 | PA      | $3731.17      | 0.00%             | 2033-10-25      | 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      | $-60333.76    | -0.00%            |  |  |  | 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        |     24557 | PA      | $23763.89     | 0.00%             | 2034-02-25      | Floating      | 6.30%                 | 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        |  13816710 | PA      | $12240881.25  | 0.92%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2023-BA ASSET-BACKED NOTES | FORD AUTO SECURITIZATION TRUST FASTR 2023 BA A2 144A   | CUSIP: 345214AY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    978016 | PA      | $725019.55    | 0.05%             | 2028-07-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer