# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-25-000536
**Filing Date:** 2025-8
**Character Count:** 293416
**Document Hash:** ecd05519d952b16dfb33fe02a28dee01
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-25-000536.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001047304-25-000536

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 251277446

**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 International Bond Portfolio (Unhedged) (Series ID: S000010206)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000028252 | Administrative | VPVFBDV         |
| C000030991 | Advisor        | VPFBHEV         |
| C000109754 | Institutional  | PVFUHBI         |

## 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 International Bond Portfolio (Unhedged)

- **b. EDGAR series identifier (if any):** S000010206

- **c. LEI of Series:** 5SNYVOTWV66DO2KG5H16

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $57635189.50

**Total Liabilities:** $33517417.71

**Net Assets:** $24117771.79

**Cash Not Reported:** $533414.52

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1143.385800 | **1-Year:** 2552.369400 | **5-Year:** 8188.042900 | **10-Year:** 3608.513200 | **30-Year:** 348.298700

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

- **3-Month:** 23.385800 | **1-Year:** 61.005500 | **5-Year:** 212.159000 | **10-Year:** 98.626100 | **30-Year:** 3.785300

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000028252 | 4.31%                | 0.18%                | 2.87%                |
| Class ID C000030991 | 4.30%                | 0.17%                | 2.86%                |
| Class ID C000109754 | 4.33%                | 0.19%                | 2.88%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $209395.14               | $270687.70                                 |
| Month 2  | $-32672.51               | $-86694.55                                 |
| Month 3  | $66893.85                | $349158.58                                 |

**Designated Index Information**

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

- **Index Identifier:** LG38TRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| NIGERIA GOVT                                             | NIGERIA OMO BILL OMO260629                              | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  56426000 | PA      | $29587.14     | 0.12%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.25000 03/19/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10176.20     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2           | CUSIP: 17307GXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       563 | PA      | $550.53       | 0.00%             | 2035-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/2.25000 09/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $319.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI             | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 05/26 5.75   | CUSIP: 147918AB2<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |    200000 | PA      | $202053.48    | 0.84%             | 2026-05-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $279.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/0.75000 03/19/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-1841.43     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CAN 10YR BOND FUT SEP25 XMOD 20250918                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         9 | NC      | $6554.68      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $13.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042681<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -100000 | PA      | $-95618.71    | -0.40%            | 2054-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.83603 12/02/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1509.47     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS MYR P 3.75000 03/19/25-10Y JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $-1476.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $14733.66     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA SR UNSECURED REGS 09/33 6.375                   | CUSIP: ACI2JSG28<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     92000 | PA      | $111707.13    | 0.46%             | 2033-09-18      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2525.23      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250808                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $79.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                          | QUEENSLAND TREASURY CORP LOCAL GOVT G 08/33 2           | CUSIP: BMXC0WII0<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     18000 | PA      | $9757.08      | 0.04%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (20 YEAR ISSUE) BONDS 09/43 1.5                   | CUSIP: ACI2KL3P4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  10000000 | PA      | $61557.58     | 0.26%             | 2043-09-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-1454.88     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                             | NIGERIA OMO BILL BILLS 11/25 0.00000                    | CUSIP: ACI2S28H1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  50000000 | PA      | $29912.22     | 0.12%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                       | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A        | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147717 | PA      | $125928.88    | 0.52%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.1800 11/25/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-11090.50    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                     | JYSKE REALKREDIT A/S COVERED 10/50 1                    | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |      1963 | PA      | $236.68       | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $171.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1182.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $345.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $275.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A2          | CUSIP: 59020USJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1981 | PA      | $1885.08      | 0.01%             | 2035-02-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.56500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1510.32      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.75000 12/18/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7304.62      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/1.00000 03/19/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $1006.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.92500 06/19/25-1Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $6088.64      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $132.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2440000 | PA      | $2390003.28   | 9.91%             | 2054-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC                     | CHARTER COMM OPETING LLC 2024 TERM LOAN B5              | CUSIP: 16117LCE7<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |     91478 | PA      | $91723.85     | 0.38%             | 2031-12-15      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040685<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -60000 | PA      | $-55785.95    | -0.23%            | 2054-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CZK SOLD USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $1153.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE6                            | LOANCORE 2021 CRE6 ISSUER, LTD LNCR 2021 CRE6 A 144A    | CUSIP: 53948HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     42018 | PA      | $42096.62     | 0.17%             | 2038-11-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD GBP BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-1720.86     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3427.10      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR1                        | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR1 1A1       | CUSIP: 32053EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9308 | PA      | $3896.35      | 0.02%             | 2037-05-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (20 YEAR ISSUE) BONDS 06/44 1.9                   | CUSIP: ACI2Q1L80<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  21800000 | PA      | $141793.48    | 0.59%             | 2044-06-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $279.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | BROADCOM INC SR UNSECURED 144A 11/35 3.137              | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42192.00     | 0.17%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | US 10YR FUT OPTN  AUG25C 112.5 EXP 07/25/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $-531.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-32.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | TSY INFL IX N/B 07/33 1.375                             | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     33902 | PA      | $32939.50     | 0.14%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1538.32     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $5.19         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 02/55 4.625                             | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    544100 | PA      | $529817.38    | 2.20%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250729                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $54.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.76527 03/04/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2816.97      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 08/44 4.125                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $229111.33    | 0.95%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-953.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1216.12     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.25000 09/21/22-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-12636.57    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD DKK BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-1840.74     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20251103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-628.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250725                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $85.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $101.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT DKK SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $538.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250814                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $84.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $153.11       | 0.00%             |  |  |  | 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        |    445304 | PA      | $439748.44    | 1.82%             | 2050-03-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.40000 03/14/24-9Y* LC                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-3008.57     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-207.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $5.39         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $48.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | TRS SOFRINDX/IBOXIG INDX 12/22/25 BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-9846.45     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-326.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |        67 | PA      | $7.84         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 3A1        | CUSIP: 021482AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104561 | PA      | $48417.23     | 0.20%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN CAPITAL TERRITORY                             | AUST CAPITAL TERRITORY SR UNSECURED REGS 10/30 4.75     | CUSIP: ACI2S54M7<br>LEI: 549300DFQM5A0MPGF178 | Long             | DBT              | MUN               | AU        |    200000 | PA      | $136599.99    | 0.57%             | 2030-10-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-22.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U7MZA7 PIMCO SWAPTION 4.7 PUT USD 20250820           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   3900000 | NC      | $2.73         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1554.88     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                   | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  36550000 | PA      | $228160.53    | 0.95%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $95.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $40.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-10.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.75000 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-300.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                    | TORONTO DOMINION BANK TORONTO DOMINION BANK             | CUSIP: 891160TE3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $101655.93    | 0.42%             | 2027-07-16      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250808                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $100.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/4.00000 03/20/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1792.15     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-89.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KRW BOUGHT USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-85.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $9.85         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-976.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE GOVT                                           | SINGAPORE GOVERNMENT SR UNSECURED REGS 06/54 3.25       | CUSIP: ACI2P78N0<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     80000 | PA      | $74898.16     | 0.31%             | 2054-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5             | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6141 | PA      | $5898.84      | 0.02%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $158.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.82761 12/30/22-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1802.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                         | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A           | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24683 | PA      | $23715.44     | 0.10%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $568.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $96.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U9M4A9 PIMCO SWAPTION 3.637 CALL USD 202507          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-501.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                       | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A        | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147893 | PA      | $126448.80    | 0.52%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     57323 | PA      | $57437.69     | 0.24%             | 2037-01-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                       | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A    | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10210 | PA      | $8504.83      | 0.04%             | 2036-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-973.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-91.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-5.61        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1363.07      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                     | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     90535 | PA      | $11625.51     | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB1                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB1 M2          | CUSIP: 126673XT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40163 | PA      | $39593.58     | 0.16%             | 2035-08-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT HUF SOLD USD 20250822                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $1689.26      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.25000 03/19/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10401.78     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE               | TERWIN MORTGAGE TRUST TMTS 2003 6HE A1                  | CUSIP: 881561CE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1069 | PA      | $962.77       | 0.00%             | 2033-11-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.25000 12/18/24-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $2093.61      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $31.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CNY 1.50000 03/18/26-4Y* LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |         1 | NC      | $4891.24      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-30063.68    | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 09/53 1.8                   | CUSIP: ACI2KC0L6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   7800000 | PA      | $43829.06     | 0.18%             | 2053-09-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KZT SOLD USD 20250912                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-285.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1217.81     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.85092 12/02/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9801.13     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $417.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 2A4          | CUSIP: 12667TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136014 | PA      | $131251.12    | 0.54%             | 2047-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | TSY INFL IX N/B 01/28 0.5                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    247074 | PA      | $242518.27    | 1.01%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT HUF SOLD USD 20250822                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $80.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-7CB                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 7CB 1A11      | CUSIP: 12668BYC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172691 | PA      | $71165.36     | 0.30%             | 2036-05-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1304.51     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KZT BOUGHT USD 20250911                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-69.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD DKK BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-7453.66     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CHF SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $6585.03      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (2 YEAR ISSUE) BONDS 01/26 0.1                    | CUSIP: ACI2M7VN7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  10000000 | PA      | $69312.18     | 0.29%             | 2026-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A2         | CUSIP: 939336Z48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11841 | PA      | $11910.19     | 0.05%             | 2035-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT AUD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $2649.15      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-SCHATZ FUT   SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         7 | NC      | $-1551.03     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC                         | PNC FINANCIAL SERVICES SR UNSECURED 01/36 VAR           | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103107.00    | 0.43%             | 2036-01-29      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CZK 1.91250 01/30/19-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |         1 | NC      | $-2413.59     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | AUST 10Y BOND FUT SEP25 XSFE 20250915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |       -14 | NC      | $-7796.26     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-31.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $4232.03      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20250827                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $139.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.23         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250806                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $30.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.83993 12/02/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5967.34     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                   | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  29500000 | PA      | $164727.20    | 0.68%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1344.09     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-953.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT AS COVERED REGS 10/52 1.5           | CUSIP: ACI1NN643<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.25         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | 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        |    200000 | PA      | $203386.52    | 0.84%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750R396 PIMCO FXVAN CALL USD TRY 53.50000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -37000 | NC      | $-1003.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/1.00000 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-831.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-301.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/1.50000 03/19/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $9927.66      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NOK SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-12.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KZT SOLD USD 20250911                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-55.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS SGD SIBSORA/2.50000 09/17/25-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $-2975.17     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.5000 03/22/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-7317.13     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020471<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -600000 | PA      | $-548414.71   | -2.27%            | 2039-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | US ULTRA BOND CBT SEP25 XCBT 20250919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -3 | NC      | $-14770.28    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                             | CAIXABANK SA REGS 11/30 VAR                             | CUSIP: ACI2B0ZZ3<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    100000 | PA      | $129044.20    | 0.54%             | 2030-11-14      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP            | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/35 FIXED 5.102  | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     44134 | PA      | $45164.77     | 0.19%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U9M3A0 PIMCO SWAPTION 4.037 PUT USD 2025071          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-43.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7       | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    400000 | PA      | $123211.29    | 0.51%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U9MNA8 PIMCO SWAPTION 3.955 PUT USD 2025072          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-118.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A      | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53283 | PA      | $53716.26     | 0.22%             | 2055-02-16      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2685.38      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-124.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.34250 01/10/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1647.48      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1863.71      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                              | REPUBLIC OF POLAND BONDS 02/30 4.875                    | CUSIP: 857524AF9<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     50000 | PA      | $51037.55     | 0.21%             | 2030-02-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $6.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NOK SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $23.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1            | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33319 | PA      | $31947.92     | 0.13%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CLP BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-131.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SEK SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $-9.13        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $4704.89      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR EUR ESTRON/2.02754 12/10/24-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-758.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $58.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 3.00000 03/15/28-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-7452.98     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-4160.16     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $4.75         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CZK SOLD USD 20250822                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $326.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.22000 01/08/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-3766.51     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1894.44     | -0.01%            |  |  |  | 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        |     81849 | PA      | $82058.16     | 0.34%             | 2037-01-17      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/2.96478 10/05/22-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $12815.71     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL SD8464 FR 09/54 FIXED 6.5             | CUSIP: 3132DWMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    999900 | PA      | $1033451.41   | 4.29%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $61.70        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1340.74     | -0.01%            |  |  |  | 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        |     82947 | PA      | $70712.88     | 0.29%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/2.8500 12/19/24-8Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-108.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-9.91        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 3.00000 03/19/25-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $21539.50     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $256.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1659.13      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-5.14        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA SR UNSECURED REGS 09/34 6.25                    | CUSIP: ACI2TMW89<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      8000 | PA      | $9518.88      | 0.04%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.60000 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1207.61      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                              | NEWGATE FUNDING PLC NGATE 2007 3X A3 REGS               | CUSIP: B2NDQFII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     66654 | PA      | $89701.79     | 0.37%             | 2050-12-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                               | CHINA GOVERNMENT BOND BONDS 04/53 3.19                  | CUSIP: ACI2FG9Z3<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   1000000 | PA      | $176816.54    | 0.73%             | 2053-04-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NOK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $279.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/4.00500 09/29/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-786.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-273.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-1178.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                     | JPMORGAN CHASE + CO SR UNSECURED 01/31 VAR              | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102572.98    | 0.43%             | 2031-01-24      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/1.7500 12/16/16-30Y CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-26055.16    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $39.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-11.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/3.75000 03/19/25-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $133.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-5.52        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-249.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $1839.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $518.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) JAPAN (30 YEAR ISSUE)             | CUSIP: ACI2NMK96<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   6200000 | PA      | $34576.72     | 0.14%             | 2054-03-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CAD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-95.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                     | JPMORGAN CHASE + CO SR UNSECURED 01/35 VAR              | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102402.51    | 0.42%             | 2035-01-23      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SEK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $1943.38      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2007-19                  | COUNTRYWIDE HOME LOANS CWHL 2007 19 2A1                 | CUSIP: 12544PAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45969 | PA      | $21910.92     | 0.09%             | 2047-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/3.00000 06/17/25-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-11706.80    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL RA6652 FR 01/52 FIXED 2.5             | CUSIP: 3133KNL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     81989 | PA      | $68202.43     | 0.28%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                            | THAILAND GOVERNMENT BOND SR UNSECURED 03/35 2.41        | CUSIP: ACI2TGV26<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    650000 | PA      | $21436.59     | 0.09%             | 2035-03-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-17.41       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | US 10YR FUT OPTN  AUG25P 109.5 EXP 07/25/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $-62.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $136.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $14.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                  | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1           | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1849 | PA      | $1637.33      | 0.01%             | 2047-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $206.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                     | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                  | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     99106 | PA      | $90320.03     | 0.37%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-1592.28     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS MYR R 3.50000 03/19/25-5Y GST                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $3930.73      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A      | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6725 | PA      | $6198.00      | 0.03%             | 2035-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL CA4346 FN 10/49 FIXED 3                       | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     62451 | PA      | $54218.98     | 0.22%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $4683.59      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MANSARD MORTGAGES PLC 2007-2X                            | MANSARD MORTGAGES PLC MANSD 2007 2X A1 REGS             | CUSIP: B29VVWII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     20195 | PA      | $27521.58     | 0.11%             | 2049-12-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CAD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-1019.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA ROMANIA                                         | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     90000 | PA      | $104474.09    | 0.43%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/0.2500 09/14/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-11563.97    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MXN SOLD USD 20250818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $182.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KRW SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $118.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT GBP SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $15425.02     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/4.00000 03/17/26-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $19815.78     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD HUF BOUGHT USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-107.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $87.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | US 5YR NOTE (CBT) SEP25 XCBT 20250930                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        19 | NC      | $22612.01     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $223.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                              | REPUBLIC OF POLAND BONDS 02/35 5.375                    | CUSIP: 857524AH5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     26000 | PA      | $26535.31     | 0.11%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250806                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $17.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PEN SOLD USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $4820.68      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 11/54 4.5                               | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $476640.63    | 1.98%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20250709                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $76.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.33507 12/30/22-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1266.96      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CAD BOUGHT USD 20250908                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-2442.17     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                            | THAILAND GOVERNMENT BOND SR UNSECURED 11/29 2.5         | CUSIP: ACI2Q20Z1<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   6580000 | PA      | $211675.41    | 0.88%             | 2029-11-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 01/30 2.7         | CUSIP: ACI2S1GW1<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    200000 | PA      | $238139.21    | 0.99%             | 2030-01-31      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 4.50000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $2424.43      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.86166 12/02/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8643.84     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750R5C7 PIMCO FXVAN PUT EUR USD 1.11000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    150000 | NC      | $426.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD DKK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-635.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT DKK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $9660.80      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | WELLS FARGO + COMPANY SR UNSECURED 07/34 VAR            | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51620.25     | 0.21%             | 2034-07-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-1207.17     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-30.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PEN SOLD USD 20250707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $101.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.77147 03/12/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2690.25      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.99801 02/13/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1271.69     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MYR BOUGHT USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-179.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1777.64      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         3 | PA      | $0.33         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD DKK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-5631.98     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | AUST 3YR BOND FUT SEP25 XSFE 20250915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        -4 | NC      | $-980.89      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $206.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | WELLS FARGO + COMPANY SR UNSECURED 12/35 VAR            | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50212.15     | 0.21%             | 2035-12-03      | Floating      | 5.21%                 | 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        |     48244 | PA      | $48309.37     | 0.20%             | 2036-12-16      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1929.08     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1939.64      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $332.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 4.00000 06/18/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $1195.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | GOLDMAN SACHS GROUP INC SR UNSECURED 10/35 VAR          | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98832.90     | 0.41%             | 2035-10-23      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3397                                         | FREDDIE MAC FHR 3397 FC                                 | CUSIP: 31397PLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       969 | PA      | $969.02       | 0.00%             | 2037-12-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                        | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/32 3.375  | CUSIP: ACI2V6L67<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    100000 | PA      | $117413.41    | 0.49%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOUTH KOREA GOVT AS BP MYC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-2382.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-49.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR CHF SRFXON3/0.28250 02/14/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |         1 | NC      | $920.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022683<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -250000 | PA      | $-207359.85   | -0.86%            | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250729                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $41.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | ISRAEL GOVT EM SP CBK                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1574.96      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS KRW 2.50000 09/17/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |         1 | NC      | $-4105.43     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750QG94 PIMCO FXVAN PUT EUR CZK 24.65000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     22000 | NC      | $156.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                           | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                   | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      5000 | PA      | $3354.83      | 0.01%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $3.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-14725.80    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | CITIGROUP INC CITIGROUP INC                             | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102184.41    | 0.42%             | 2035-06-11      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                              | FRANCE (GOVT OF) BONDS 144A REGS 02/30 2.75             | CUSIP: ACI2NSRJ4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    400000 | PA      | $476085.25    | 1.97%             | 2030-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                            | MALAYSIA GOVERNMENT BONDS 04/31 2.632                   | CUSIP: ACI1S5B09<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    200000 | PA      | $45798.88     | 0.19%             | 2031-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.50000 12/18/24-1Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $985.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 3.37000 10/09/23-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $6665.81      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD DKK BOUGHT USD 20260102                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-4867.42     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-158.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A     | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     46018 | PA      | $45878.25     | 0.19%             | 2038-04-18      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $425.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/3.50000 03/19/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-7409.66     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/4.11647 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2030.94     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                               | SANTANDER HOLDINGS USA SANTANDER HOLDINGS USA           | CUSIP: 80282KBK1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101143.51    | 0.42%             | 2027-05-31      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS MYR R 3.50000 03/19/25-5Y BPS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $632.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQ LN TRUST 2002-3                      | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 3 M2           | CUSIP: 75970NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14922 | PA      | $12695.22     | 0.05%             | 2032-12-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $2402.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $4173.78      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1043.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $632.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NZD SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $881.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                            | RMAC SECURITIES PLC RMACS 2007 NS1X A2C REGS            | CUSIP: B231LHII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     42243 | PA      | $48284.04     | 0.20%             | 2044-06-12      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1045.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032682<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -100000 | PA      | $-90016.63    | -0.37%            | 2054-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GPMT LTD 2021-FL4                                        | GPMT LTD. GPMT 2021 FL4 A 144A                          | CUSIP: 36262TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     58949 | PA      | $57684.73     | 0.24%             | 2036-12-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CLP SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $225.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1333.19     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CAD SOLD USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $1022.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 1.00000 05/13/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-2311.67     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-2860.76     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062671<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -300000 | PA      | $-309789.86   | -1.28%            | 2054-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.75000 06/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1753.34     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-66.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $340.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (5 YEAR ISSUE) BONDS 06/29 0.4                    | CUSIP: ACI2QPV94<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  20000000 | PA      | $136168.88    | 0.56%             | 2029-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.25000 06/18/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3668.69      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PEN SOLD USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $146.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                               | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 10/31 4 | CUSIP: ACI2F5599<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    100000 | PA      | $125656.71    | 0.52%             | 2031-10-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/4.06500 06/26/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-955.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-107.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                     | NORDEA KREDIT REALKREDIT COVERED 10/50 1                | CUSIP: BKDSHHII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        15 | PA      | $1.81         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $141.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $561.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                         | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A      | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     39817 | PA      | $39820.46     | 0.17%             | 2036-10-16      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.25000 09/17/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-4638.65     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                              | BANK OF AMERICA CORP SR UNSECURED 01/36 VAR             | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     75000 | PA      | $77144.64     | 0.32%             | 2036-01-24      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                     | GNMA II POOL MA7988 G2 04/52 FIXED 3                    | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    138700 | PA      | $122814.13    | 0.51%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                     | JYSKE REALKREDIT A/S COVERED REGS 10/50 1               | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.26         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U9MOA7 PIMCO SWAPTION 3.605 CALL USD 202507          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-470.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KRW SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $1415.86      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-35.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | US 2YR NOTE (CBT) SEP25 XCBT 20250930                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         3 | NC      | $2375.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.00000 09/17/25-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-134.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SHORT EURO-BTP FU SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -9 | NC      | $1986.45      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.89207 03/17/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $531.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                              | REPUBLIC OF SERBIA SR UNSECURED 144A 09/28 1            | CUSIP: ACI20JHB7<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    100000 | PA      | $108832.04    | 0.45%             | 2028-09-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250709                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $210.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $5.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                         | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A           | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87982 | PA      | $84541.74     | 0.35%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20250710                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1578.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250721                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2.37         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $169.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                     | JPMORGAN CHASE + CO SR UNSECURED 01/29 VAR              | CUSIP: 46647PET9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50005.59     | 0.21%             | 2029-01-24      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/1.00000 12/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-8608.73     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TR 2005-A2                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 A2 2A1        | CUSIP: 46627MBS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23412 | PA      | $16261.31     | 0.07%             | 2035-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                           | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                   | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      6160 | PA      | $4192.91      | 0.02%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-29.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $2068.07      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-781.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2612.68      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KZT SOLD USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-214.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20250814                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $49.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                              | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    186557 | PA      | $1816507.73   | 7.53%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $44.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SEK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $6.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-345.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 02/33 3.5                               | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     63100 | PA      | $60847.13     | 0.25%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $845.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20250724                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $206.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $232.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $23.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 09/45 1.4                   | CUSIP: ACI0GTQ55<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   4250000 | PA      | $24901.48     | 0.10%             | 2045-09-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL SD8455 FR 08/54 FIXED 6.5             | CUSIP: 3132DWMC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    399961 | PA      | $413381.12    | 1.71%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-77.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.90500 08/15/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-369.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $417.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                         | T MOBILE USA INC COMPANY GUAR 04/34 5.15                | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75989.39     | 0.32%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD DKK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-6315.98     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PEN SOLD USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $249.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                              | LETRA TESOURO NACIONAL BILLS 10/25 0.00000              | CUSIP: ACI2HDVK6<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   2800000 | PA      | $497102.52    | 2.06%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-38.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20250729                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $268.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/35 3 | CUSIP: ACI2TFSN6<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    140000 | PA      | $164688.81    | 0.68%             | 2035-04-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-BUND OPTION  AUG25P 129 EXP 07/25/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -1 | NC      | $-400.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $14.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                     | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H032670<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $727414.30    | 3.02%             | 2054-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                      | UNITED KINGDOM GILT BONDS REGS 07/51 1.25               | CUSIP: BLH381II0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     80000 | PA      | $48040.54     | 0.20%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-61.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                              | BANK OF AMERICA CORP SR UNSECURED 01/29 VAR             | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50725.73     | 0.21%             | 2029-01-24      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $149.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CAD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $70.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $322.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $781.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/0.0500 12/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-9299.06     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-5489.43     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20250717                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $246.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS4X                            | RMAC SECURITIES PLC RMACS 2006 NS4X A3A REGS            | CUSIP: 991ZHMII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     48661 | PA      | $65262.53     | 0.27%             | 2044-06-12      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $4.24         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-397.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                              | BNP PARIBAS 144A 01/33 VAR                              | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    150000 | PA      | $156136.53    | 0.65%             | 2033-01-13      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/4.02000 05/15/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-32.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.90000 09/02/25-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-22030.36    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750R5R4 PIMCO FXVAN CALL USD SEK 10.20000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     48000 | NC      | $250.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PEN SOLD USD 20250825                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $176.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 06/46 0.3                   | CUSIP: ACI0MYW19<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  26100000 | PA      | $118634.88    | 0.49%             | 2046-06-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KZT SOLD USD 20250911                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-106.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD GBP BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-17.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT GBP SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $9015.60      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR EUR ESTRON/1.79544 03/10/25-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-2226.46     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250721                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $183.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/71 1 | CUSIP: BLH1ZLII0<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     50000 | PA      | $27270.74     | 0.11%             | 2071-10-31      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-9            | STRUCTURED ASSET INVESTMENT LO SAIL 2004 9 M3           | CUSIP: 86358EMV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116162 | PA      | $122953.19    | 0.51%             | 2034-10-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-OAT FUTURE   SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -6 | NC      | $1231.65      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | SOLD CZK BOUGHT USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $-1200.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | WELLS FARGO + COMPANY SR UNSECURED 01/31 VAR            | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51305.74     | 0.21%             | 2031-01-24      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA4                   | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA4 3A1        | CUSIP: 25151XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68327 | PA      | $58618.72     | 0.24%             | 2047-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.50000 12/18/24-2Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $11459.61     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | MORGAN STANLEY SR UNSECURED 03/30 VAR                   | CUSIP: ACI2NCY77<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $121348.16    | 0.50%             | 2030-03-21      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT ILS SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $273.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $21.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT ILS SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $90.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/35 3 | CUSIP: ACI2XHL53<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     45000 | PA      | $52875.26     | 0.22%             | 2035-10-31      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BRSP 2021-FL1 LTD                                        | BRIGHTSPIRE CAPITAL, INC BRSP 2021 FL1 A 144A           | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     37975 | PA      | $37878.68     | 0.16%             | 2038-08-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                   | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  30328560 | PA      | $218084.26    | 0.90%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CZK SOLD USD 20250822                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $3167.51      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (20 YEAR ISSUE) BONDS 09/44 1.8                   | CUSIP: ACI2RXB31<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  10000000 | PA      | $63793.62     | 0.26%             | 2044-09-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                            | THAILAND GOVERNMENT BOND SR UNSECURED 06/32 3.775       | CUSIP: B75489II5<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   1340000 | PA      | $47396.91     | 0.20%             | 2032-06-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $61.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1314.78     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SEK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $-133.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                            | MALAYSIA GOVERNMENT BONDS 07/32 3.582                   | CUSIP: ACI22Y4J9<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     50000 | PA      | $12042.28     | 0.05%             | 2032-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20250821                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-2722.91     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2022-INV1              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 INV1 A3B 144A  | CUSIP: 17290FBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77422 | PA      | $66002.77     | 0.27%             | 2051-11-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1788.85      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $52.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | TRS SOFRINDX/IBOXIG INDX 09/22/25 JPM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-7480.72     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                               | CHINA GOVERNMENT BOND BONDS 01/55 1.92                  | CUSIP: ACI2T8432<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    900000 | PA      | $125655.42    | 0.52%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $171.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A      | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25477 | PA      | $24014.28     | 0.10%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-13                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 13 2A11       | CUSIP: 41161PWB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114625 | PA      | $50233.65     | 0.21%             | 2036-02-19      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                         | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25     | CUSIP: BKVDQPII1<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    500000 | PA      | $276039.57    | 1.14%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | CDX ITRAXX MAIN43 5Y ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $-15280.14    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-609.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                     | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H062685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $614839.63    | 2.55%             | 2054-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $118.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CNY R 1.50000 03/18/26-5Y BPS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |         1 | NC      | $1287.67      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 3.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-12084.58    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $37.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1330.75     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $48.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | MORGAN STANLEY MORGAN STANLEY                           | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102114.40    | 0.42%             | 2030-01-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD NOK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-23.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-60.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD NZD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-883.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-2045.94     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PSP CAPITAL INC                                          | PSP CAPITAL INC PSP CAPITAL INC                         | CUSIP: ACI2QY2T3<br>LEI: 549300B456N0WEIC5249 | Long             | DBT              | MUN               | CA        |    100000 | PA      | $66563.80     | 0.28%             | 2031-09-05      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $179.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                               | ITALY GOV T INT BOND SR UNSECURED REGS 08/28 6          | CUSIP: 551287II8<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    100000 | PA      | $142789.88    | 0.59%             | 2028-08-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.80611 03/03/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2089.71      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $174.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-301.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-333.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.2500 12/18/24-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $656.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-1534.16     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KZT SOLD USD 20250911                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-239.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-OPT2                   | SG MORTGAGE SECURITIES TRUST SGMS 2006 OPT2 A3C         | CUSIP: 78420MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83063 | PA      | $77961.06     | 0.32%             | 2036-10-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT ILS SOLD USD 20250709                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $22.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                        | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875       | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   4100000 | PA      | $216255.82    | 0.90%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.85961 12/02/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1691.65     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS COMPANY                                | KRAFT HEINZ FOODS CO KRAFT HEINZ FOODS CO               | CUSIP: ACI2N2H37<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    150000 | PA      | $180317.05    | 0.75%             | 2029-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $160.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                            | MALAYSIA GOVERNMENT BONDS 04/28 3.519                   | CUSIP: ACI2FJPF3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    740000 | PA      | $177627.61    | 0.74%             | 2028-04-20      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1262.07     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CDX IG43 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $29672.63     | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                       | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A        | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80188 | PA      | $68560.28     | 0.28%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    480000 | PA      | $147335.95    | 0.61%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 2A1       | CUSIP: 93363EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4611 | PA      | $3940.94      | 0.02%             | 2036-09-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $236.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-311.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD GBP BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-9004.38     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/33 3 | CUSIP: ACI2GLWB8<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    300000 | PA      | $367888.12    | 1.53%             | 2033-10-31      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $32803.80     | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF BRITISH COLUMBIA CANADA                      | BRITISH COLUMBIA PROV OF UNSECURED 06/34 4.15           | CUSIP: 110709AK8<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |    100000 | PA      | $75752.01     | 0.31%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 4.25000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $4127.41      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                       | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A         | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12684 | PA      | $12992.04     | 0.05%             | 2058-05-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-238.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT DKK SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $635.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PEN SOLD USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $109.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.00000 12/15/21-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $11189.86     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1033.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CCS USD R USSOFR/JPYMUTKCALM-41 CBK                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |         1 | NC      | $1467.93      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $3439.11      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750R6I3 PIMCO FXVAN PUT EUR HUF 395.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |     37000 | NC      | $154.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | TSY INFL IX N/B 04/32 3.375                             | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    180711 | PA      | $201235.76    | 0.83%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-22.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-BTP FUTURE   SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        16 | NC      | $7498.17      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | CDX IG44 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $74095.43     | 0.31%             |  |  |  | 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      | $-1713.75     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-1570.75     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20250910                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-944.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT BRL SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $254.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-34.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-790.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.55000 08/21/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1666.33      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PEN SOLD USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $4.33         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 01/41 3 | CUSIP: ACI2V6FB3<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    100000 | PA      | $115337.86    | 0.48%             | 2041-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 01/28 0.00000     | CUSIP: ACI1WLC57<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    150000 | PA      | $167601.76    | 0.69%             | 2028-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3649.19      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.93000 06/25/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-168.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $235.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.75000 09/17/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $384.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 12/48 0.7                   | CUSIP: BJB9V0II4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  12750000 | PA      | $59953.91     | 0.25%             | 2048-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-2585.21     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EGP SOLD USD 20250826                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |         1 | NC      | $875.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                      | UNITED KINGDOM GILT BONDS REGS 07/54 4.375              | CUSIP: ACI2MLPN3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    130000 | PA      | $154673.87    | 0.64%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $56.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750QI27 PIMCO FXVAN PUT EUR CZK 24.70000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |     40000 | NC      | $263.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT BRL SOLD USD 20250903                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $12608.01     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                      | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85    | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95439.91     | 0.40%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-9.90        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                 | LLOYDS BANKING GROUP PLC LLOYDS BANKING GROUP PLC       | CUSIP: ACI2P15D8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $121052.49    | 0.50%             | 2032-05-14      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20250710                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $2379.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TRY BOUGHT USD 20250729                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $-13.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                | MAN GLG EURO CLO GLGE 5A A1R 144A                       | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    108699 | PA      | $127697.74    | 0.53%             | 2031-12-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U6EFA8 PIMCO SWAPTION 4.35 PUT USD 20250925          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-114.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 0.65000 05/11/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-3124.46     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                      | SAXON ASSET SECURITIES TRUST SAST 2007 4 A2 144A        | CUSIP: 80557CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43017 | PA      | $37556.52     | 0.16%             | 2037-12-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.69116 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-745.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 1.75000 03/16/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-6840.51     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS MYR P 3.75000 09/20/23-10Y GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $-2849.45     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $0.44         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-6123.08     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/0.40000 12/18/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-5137.26     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-65.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS SEK 2.47375 02/03/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |         1 | NC      | $3094.20      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-600.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.25000 09/17/25-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $14693.73     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.50000 12/18/24-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $828.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT GBP SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $850.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                              | FRANCE (GOVT OF) BONDS 144A REGS 05/72 0.5              | CUSIP: ACI1V7HH8<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     29477 | PA      | $9547.29      | 0.04%             | 2072-05-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-23.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                     | GNMA II TBA 30 YR 2.5 JUMBOS                            | CUSIP: 21H022689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $84975.19     | 0.35%             | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $92409.63     | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT GBP SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $17.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                               | ONTARIO (PROVINCE OF) SR UNSECURED 06/33 3.65           | CUSIP: 68333ZAY3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    600000 | PA      | $443072.80    | 1.84%             | 2033-06-02      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20250724                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $1151.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1749.37     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750R3Y1 PIMCO FXVAN PUT EUR CZK 24.55000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |     62000 | NC      | $263.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS NZD 4.75000 06/19/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $5978.93      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750R3X3 PIMCO FXVAN CALL USD TRY 54.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    -24000 | NC      | $-656.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                     | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 03/34 1.75   | CUSIP: ACI1ZX259<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    300000 | PA      | $156084.07    | 0.65%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.80346 03/03/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2137.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 0.65000 04/12/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-3145.36     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                              | FRANCE (GOVT OF) BONDS REGS 02/28 0.75                  | CUSIP: ACI25TX22<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    250000 | PA      | $284133.48    | 1.18%             | 2028-02-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.75000 09/17/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-829.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $200.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/3.75000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $2801.93      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $452.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.61000 03/24/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $237.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                      | UNITED KINGDOM GILT BONDS REGS 01/44 3.25               | CUSIP: B84Z9VII5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    150000 | PA      | $159815.54    | 0.66%             | 2044-01-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250814                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $174.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE GOVT                                           | SINGAPORE GOVERNMENT BONDS 03/35 2.75                   | CUSIP: ACI2V7HS2<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     50000 | PA      | $41148.39     | 0.17%             | 2035-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NOK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $41.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250731                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $53.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3602.63      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.75000 06/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $9148.13      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2021-FL6 LTD                                         | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL6 A 144A      | CUSIP: 55283TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     19983 | PA      | $19997.27     | 0.08%             | 2036-07-16      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $13.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-36531.61    | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $61.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $0.88         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-242.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/3.75000 03/19/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-11376.68    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-BOBL FUTURE  SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -10 | NC      | $6290.73      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-3049.35     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $15.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-3880.83     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-QH2                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH2 A1 144A     | CUSIP: 12668JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23975 | PA      | $21076.37     | 0.09%             | 2037-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MXN SOLD USD 20250818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $213.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                     | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H030682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    695000 | PA      | $614684.00    | 2.55%             | 2054-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                       | PROVINCE OF QUEBEC SR UNSECURED 09/33 3.6               | CUSIP: 74814ZFS7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    400000 | PA      | $293592.25    | 1.22%             | 2033-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1.5           | CUSIP: BDDX39II4<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.16         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1076.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-2431.71     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                              | FRANCE (GOVT OF) BONDS 144A REGS 05/52 0.75             | CUSIP: ACI1JFLL0<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    270000 | PA      | $151600.13    | 0.63%             | 2052-05-25      | Fixed         | 0.75%                 | 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        |    100000 | PA      | $97134.80     | 0.40%             | 2043-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $65.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20250710                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $208.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1300.65      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $203240.89    | 0.84%             |  |  |  | No            |                  2 | On Loan: No      |
| BIG COMMERCIAL MORTGAGE TRUST 2022-BIG                   | BIG COMMERCIAL MORTGAGE TRUST BIG 2022 BIG A 144A       | CUSIP: 05551UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89516 | PA      | $89347.66     | 0.37%             | 2039-02-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-472.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CCS USD R USSOFR/JPYMUTKCALM-41.4 GST                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |         1 | NC      | $-12247.64    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-490.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL BF0334 FN 01/59 FIXED 3.5                     | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37579 | PA      | $33631.52     | 0.14%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                          | BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1              | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46984 | PA      | $24132.14     | 0.10%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | GOLDMAN SACHS GROUP INC GOLDMAN SACHS GROUP INC         | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    100000 | PA      | $104116.75    | 0.43%             | 2030-04-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.75000 12/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3055.05     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | US 10YR NOTE (CBT)SEP25 XCBT 20250919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         4 | NC      | $7806.90      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $163.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-BUND OPTION  AUG25C 132.5 EXP 07/25/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -1 | NC      | $-164.91      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                | CANADIAN IMPERIAL BANK COVERED 144A 01/30 4.876         | CUSIP: 13607PVU5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $206732.71    | 0.86%             | 2030-01-14      | Fixed         | 4.88%                 | 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        |     88374 | PA      | $88565.08     | 0.37%             | 2039-02-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (20 YEAR ISSUE) BONDS 06/40 0.4                   | CUSIP: ACI1PD3L8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  12000000 | PA      | $65992.71     | 0.27%             | 2040-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $2.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS INR MIBOR/6.00000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $27.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-3365.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS GROUP AG SR UNSECURED REGS 03/29 VAR                | CUSIP: ACI2B33K5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    100000 | PA      | $132756.07    | 0.55%             | 2029-03-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $160.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1421.78     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-42.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $194.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/0.55000 09/14/23-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $1250.67      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $5.49         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CHF SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $1607.96      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750R5B9 PIMCO FXVAN PUT EUR USD 1.10000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      6000 | NC      | $442.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                              | REPUBLIC OF POLAND REPUBLIC OF POLAND                   | CUSIP: ACI2MBSG7<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    104000 | PA      | $125459.28    | 0.52%             | 2034-01-11      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 06/54 2.2                   | CUSIP: ACI2PXFN5<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  18900000 | PA      | $115507.80    | 0.48%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD NOK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $12.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NZD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $1499.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-6.56        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1023.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS KRW 2.75000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |         1 | NC      | $2196.92      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $863.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/4.00000 06/20/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-427.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-60.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-14.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KRW SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $81.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                   | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    180938 | PA      | $23234.62     | 0.10%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1208.48     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CAN 5YR BOND FUT  SEP25 XMOD 20250918                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        -3 | NC      | $-1612.52     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20250814                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-8783.90     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA SR UNSECURED 144A 03/30 5.25                    | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     50000 | PA      | $60209.18     | 0.25%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-12.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS SGD SIBSORA/2.75000 09/18/24-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $-5562.15     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                         | DEUTSCHE BANK AG REGS 11/30 VAR                         | CUSIP: ACI1SQBN3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    100000 | PA      | $110548.84    | 0.46%             | 2030-11-19      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE1                     | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE1 M2           | CUSIP: 65536HCT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81944 | PA      | $76574.29     | 0.32%             | 2036-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $24.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                            | MALAYSIA INVESTMNT ISSUE BONDS 10/32 4.193              | CUSIP: ACI24V7D3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    260000 | PA      | $64791.63     | 0.27%             | 2032-10-07      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA UNSECURED 144A 04/41 2.75                       | CUSIP: ACI1X0DG7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     15000 | PA      | $11032.86     | 0.05%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                          | UNITEDHEALTH GROUP INC UNITEDHEALTH GROUP INC           | CUSIP: 91324PFB3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75003.95     | 0.31%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                     | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85773 | PA      | $85848.33     | 0.36%             | 2038-07-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $2020.62      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-395.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.00000 03/19/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4363.53      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MYR BOUGHT USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-131.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-3494.79     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                              | STATE OF ISRAEL STATE OF ISRAEL                         | CUSIP: ACI2KYD00<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    200000 | PA      | $214526.60    | 0.89%             | 2031-11-06      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1        | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1470 | PA      | $1202.62      | 0.00%             | 2037-07-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                        | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/30 4.75   | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    200000 | PA      | $202066.93    | 0.84%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CAD SOLD USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $96.37        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR1                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR1 A          | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13328 | PA      | $13408.04     | 0.06%             | 2034-03-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD DKK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-536.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-524.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/2.50000 03/19/25-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-349.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.63761 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-592.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-92501.75    | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750R4N4 PIMCO FXVAN PUT EUR CZK 24.60000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     69522 | NC      | $350.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL FM3972 FN 07/50 FIXED VAR                     | CUSIP: 3140X7MW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29165 | PA      | $26635.18     | 0.11%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.89750 06/19/25-1Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $2985.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-73.92       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                              | FRANCE (GOVT OF) BONDS 144A REGS 10/27 2.75             | CUSIP: ACI02EIC7<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    150000 | PA      | $179413.66    | 0.74%             | 2027-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT AS COVERED REGS 10/52 1.5           | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |        15 | PA      | $1.91         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                  | FREDDIE MAC FHR 4579 SD                                 | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10086 | PA      | $517.99       | 0.00%             | 2038-01-15      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20250918                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-825.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD NOK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-26.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.25000 09/17/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-96251.63    | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.66213 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-662.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                     | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1W77N5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.25         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR EUR ESTRON/1.92272 03/10/25-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1794.70     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.9544* 02/05/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-484.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $321.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20250725                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $186.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1828.52     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1244.99     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 11/49 2.375                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    175000 | PA      | $112608.40    | 0.47%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 A 144A     | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     75113 | PA      | $75069.47     | 0.31%             | 2038-11-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                     | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   8000000 | PA      | $52604.28     | 0.22%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                         | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 3A2              | CUSIP: 466247F57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4334 | PA      | $2887.67      | 0.01%             | 2036-02-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-1326.53     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT HUF SOLD USD 20250822                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $67.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CAD SOLD USD 20250908                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $2418.04      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MXN BOUGHT USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-3.72        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-100.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TRY BOUGHT USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $-70.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT ILS SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $628.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT COP SOLD USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |         1 | NC      | $769.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                      | UNITED KINGDOM GILT BONDS REGS 01/56 5.375              | CUSIP: ACI2X9NM2<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     50000 | PA      | $69710.70     | 0.29%             | 2056-01-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $253.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR CHF SRFXON3/0.29400 02/10/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |         1 | NC      | $1881.07      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $49.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CDX ITRAXX MAIN43 10Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $-2280.47     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.55500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1596.89      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $33.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2577773.58   | 10.69%            | 2054-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CAD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $929.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                  | FREDDIE MAC FHR 4579 FD                                 | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10086 | PA      | $9952.37      | 0.04%             | 2038-01-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1807.08     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U9MQA5 PIMCO SWAPTION 3.583 CALL USD 202507          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-410.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TRY BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $-61.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750R594 PIMCO FXVAN PUT EUR USD 1.09750000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      6000 | NC      | $420.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $201.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $8.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTKCALM/0.5000 09/15/22-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-2014.60     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-8                                      | IMPAC CMB TRUST IMM 2004 8 1A                           | CUSIP: 45254NKQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6010 | PA      | $5901.68      | 0.02%             | 2034-10-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | JPN 10Y BOND(OSE) SEP25 XOSE 20250912                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -2 | NC      | $-5968.61     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-3725.44     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.25000 06/18/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4881.55      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-1193.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MXN SOLD USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $4714.83      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KZT SOLD USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-49.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.2500 12/20/23-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-4229.14     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC2                   | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A         | CUSIP: 585525FX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4319 | PA      | $4271.85      | 0.02%             | 2032-08-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/2.8500 12/31/24-5Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $3414.68      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-687.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-171.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-2659.69     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | TSY INFL IX N/B 01/29 2.5                               | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    149400 | PA      | $155481.99    | 0.64%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | LONG GILT FUTURE  SEP25 IFLL 20250926                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         5 | NC      | $11112.90     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-247.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | PEMEX LCDS SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $412.75       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                      | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-5.33        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A            | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10960 | PA      | $10221.70     | 0.04%             | 2037-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KRW SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $3454.71      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $84.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CHF BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-1604.19     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO LTD 2016-1A                             | TCI SYMPHONY CLO TSYMP 2016 1A AR2 144A                 | CUSIP: 87229WAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     59171 | PA      | $59215.24     | 0.25%             | 2032-10-13      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL CA6106 FN 06/50 FIXED 4                       | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24328 | PA      | $22862.15     | 0.09%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/2.8800 12/04/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-377.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/0.75000 03/19/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-995.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-232.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-203.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $262.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-127.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-1377.92     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD DKK BOUGHT USD 20260102                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-6718.41     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250808                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $44.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.88400 03/25/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1596.12     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                    | TORONTO DOMINION BANK SR UNSECURED 01/32 5.298          | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $102682.09    | 0.43%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/1.00000 06/19/24-20Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-48956.63    | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $5.39         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-149.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-12777.04    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750QFP9 PIMCO FXVAN PUT EUR CZK 24.75000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     24000 | NC      | $176.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $545.09       | 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      | $7120.51      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1827544.54   | 7.58%             | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $494.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CDX IG44 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-3808.82     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | MORGAN STANLEY SR UNSECURED 01/36 VAR                   | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51345.60     | 0.21%             | 2036-01-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-1003.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL BW7327 FN 08/52 FIXED 4.5                     | CUSIP: 3140N0D93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     92677 | PA      | $88873.62     | 0.37%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-BUND FUTURE  SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -8 | NC      | $9650.15      | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | US 10YR ULTRA FUT SEP25 XCBT 20250919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        11 | NC      | $24992.40     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020687<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2000000 | PA      | $-1584337.70  | -6.57%            | 2054-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                              | BANK OF AMERICA CORP SR UNSECURED 07/31 VAR             | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87890.77     | 0.36%             | 2031-07-23      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/4.25000 12/20/23-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2832.78      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $178.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U9MPA6 PIMCO SWAPTION 3.933 PUT USD 2025072          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-139.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                         | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 2A1                | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7267 | PA      | $7025.98      | 0.03%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                        | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/30 8           | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1100000 | PA      | $61100.44     | 0.25%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.00000 03/19/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-62342.32    | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BARCLAYS BANK PLC SNR SE ICE                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $926.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1570.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EGP SOLD USD 20250825                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |         1 | NC      | $889.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1500.73     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.21300 03/12/40-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $15115.23     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT GBP SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-68.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1194.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/3.50000 03/19/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $8415.76      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $594.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-BUXL 30Y BND SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         1 | NC      | $-2639.74     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | SOLD HUF BOUGHT USD 20250827                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-185.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $4.88         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                   | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9850000 | PA      | $62840.82     | 0.26%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-120.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.64500 08/07/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $841.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                   | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  15900000 | PA      | $111155.91    | 0.46%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750R5K9 PIMCO FXVAN PUT EUR HUF 399.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     29961 | NC      | $180.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT ILS SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $4.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-210.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 317U7LXA1 PIMCO SWAPTION 4.57 PUT USD 20250813          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1400000 | NC      | $1.54         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $5492.60      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-476.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $311.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3            | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31082 | PA      | $29862.95     | 0.12%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-4927.51     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $191.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $113.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2884.03     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN3 A1 144A    | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55275 | PA      | $55109.55     | 0.23%             | 2051-09-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.9314* 02/06/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-73.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL MA1045 FN 04/27 FIXED 3                       | CUSIP: 31418AET1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26797 | PA      | $26474.20     | 0.11%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-61.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH3                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH3 M1        | CUSIP: 17313CAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59192 | PA      | $59103.50     | 0.25%             | 2037-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.62000 09/02/25-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-45431.23    | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $13.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | TSY INFL IX N/B 10/28 2.375                             | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    104724 | PA      | $108651.93    | 0.45%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1440.37      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 05/28 2.4         | CUSIP: ACI2T2CQ5<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    150000 | PA      | $177910.01    | 0.74%             | 2028-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.27000 03/12/40-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $8981.21      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-519.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-796.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $129.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer