# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007254
**Filing Date:** 2026-5
**Character Count:** 657862
**Document Hash:** 5d9667e10a8e9881f5877b7e3e7bf642
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007254.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007254

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043442

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

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

## Series and Classes Contracts Data

### PIMCO International Bond Fund (Unhedged) (Series ID: S000009679)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026523 | Institutional  | PFUIX           |
| C000026524 | A              | PFUAX           |
| C000026525 | C              | PFRCX           |
| C000031146 | Administrative | PFUUX           |
| C000064133 | I-2            | PFUPX           |
| C000200439 | I-3            | PFUNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO International Bond Fund (Unhedged)

- **b. EDGAR series identifier (if any):** S000009679

- **c. LEI of Series:** KCDOXOJHAWHO0AANJ261

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2590791064.75

**Total Liabilities:** $1401290842.65

**Net Assets:** $1189500222.10

**Delayed Delivery Securities:** $196658.78

**Cash Not Reported:** $19964537.32

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -13313.725000 | **1-Year:** 82175.746600 | **5-Year:** 346738.170700 | **10-Year:** 199117.660400 | **30-Year:** 32657.646200

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

- **3-Month:** 1057.883700 | **1-Year:** 3776.106500 | **5-Year:** 18348.770500 | **10-Year:** 4339.133700 | **30-Year:** 26.094600

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000031146 | 1.31%                | 0.90%                | -5.07%               |
| Class ID C000026524 | 1.30%                | 0.89%                | -5.08%               |
| Class ID C000026525 | 1.23%                | 0.84%                | -5.14%               |
| Class ID C000064133 | 1.32%                | 0.92%                | -5.06%               |
| Class ID C000200439 | 1.32%                | 0.91%                | -5.06%               |
| Class ID C000026523 | 1.33%                | 0.92%                | -5.05%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1490463.01              | $4898024.17                                |
| Month 2  | $1446559.06              | $8236929.65                                |
| Month 3  | $1225638.05              | $-36382890.23                              |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-5950.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-13386.20    | -0.00%            |  |  |  | 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      | $1460974.10   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-3245.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA3439 FN 11/53 FIXED 6.5                     | CUSIP: 3140A3ZD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1785599 | PA      | $1847598.34   | 0.16%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/36 5 | CUSIP: ACI2KMVF3<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     5700000 | PA      | $3809110.79   | 0.32%             | 2036-07-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-49183.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-4059.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JOINT STOCK COMPANY DEVELOPMENT BANK OF KAZAKHSTAN                        | DEVELOPMENT BANK OF KAZA SR UNSECURED 144A 10/28 18.4   | CUSIP: 48129VAF3<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | CORP              | KZ        |   268000000 | PA      | $576209.55    | 0.05%             | 2028-10-16      | Fixed         | 18.40%                | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                 | MITSUBISHI UFJ FIN GRP SR UNSECURED 04/31 VAR           | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     1600000 | PA      | $1623332.48   | 0.14%             | 2031-04-24      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG       | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      500000 | PA      | $175000.00    | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-65345.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-110141.77   | -0.01%            |  |  |  | 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      | $-9.89        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $75.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR7                                       | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32       | CUSIP: 39538CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      454540 | PA      | $461135.27    | 0.04%             | 2046-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-718.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.71500 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $34606.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                           | COSTA RICA GOVERNMENT BONDS 144A 01/36 6.001            | CUSIP: ACI3859N0<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |      500000 | PA      | $595586.50    | 0.05%             | 2036-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-OA1                                          | GSR MORTGAGE LOAN TRUST GSR 2006 OA1 2A2                | CUSIP: 362631AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      461075 | PA      | $98174.80     | 0.01%             | 2046-08-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $2626.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0304 G2 04/55 FIXED 3.5                  | CUSIP: 3618N5KS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28344393 | PA      | $26024320.00  | 2.19%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G 09/35 2             | CUSIP: BMF7LTII5<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     4700000 | PA      | $2380579.28   | 0.20%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1                                  | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A   | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24986 | PA      | $6607.70      | 0.00%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 01/30 VAR            | CUSIP: 95000U4C4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1094042.59   | 0.09%             | 2030-01-23      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-434.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $138.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $310.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 13A1        | CUSIP: 07384M2C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      362237 | PA      | $323757.38    | 0.03%             | 2034-11-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.2333* 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-15237.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                     | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   470000000 | PA      | $2460418.39   | 0.21%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.07500 03/31/26-28Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $22488.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $234.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                        | F+G GLOBAL FUNDING SECURED 144A 09/28 VAR               | CUSIP: 30321L2L5<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2507565.60   | 0.21%             | 2028-09-08      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-4199.21     | -0.00%            |  |  |  | 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      | $111541.99    | 0.01%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $107.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD / AIRCASTLE IRELAND DAC                                     | AIRCASTLE / IRELAND DAC COMPANY GUAR 144A 09/30 5       | CUSIP: 00929JAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     2300000 | PA      | $2295664.89   | 0.19%             | 2030-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR CHF SRFXON3/0.34250 05/16/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |           1 | NC      | $25405.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J1 3A1        | CUSIP: 12667FU29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6270 | PA      | $6344.86      | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.71199 06/30/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4331.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1.80        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-65871.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-174745.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CURZON MORTGAGES PLC 1                                                    | CURZON MORTGAGES PLC CRZN 1 A2 REGS                     | CUSIP: ACI2F9T87<br>LEI: 213800ZV6HPCEH4D5B74 | Long             | ABS-MBS          | CORP              | GB        |     1519298 | PA      | $2011391.21   | 0.17%             | 2049-07-28      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY 03/35 1                                  | CUSIP: ACI2NCY69<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3548297.11   | 0.30%             | 2035-03-21      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 01/35 11.75                  | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 10383100000 | PA      | $2574344.04   | 0.22%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $45.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                  | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 1A1       | CUSIP: 94985GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41692 | PA      | $36728.89     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                            | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/51 1.75      | CUSIP: BMZ8B6II2<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     1000000 | PA      | $346148.01    | 0.03%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060667<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -9006000 | PA      | $-9167051.42  | -0.77%            | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                  | AMERICAN EXPRESS CO SR UNSECURED 05/32 VAR              | CUSIP: ACI2X3ZW0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1937558.52   | 0.16%             | 2032-05-20      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                         | ENBRIDGE (US) INC                                       | CUSIP: 29251VDD5<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1897263.24   | 0.16%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                      | KEURIG DR PEPPER                                        | CUSIP: 49271KDF8<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      800000 | PA      | $798600.32    | 0.07%             | 2026-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-26034.57    | -0.00%            |  |  |  | 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        |   588000000 | PA      | $2568037.81   | 0.22%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO 14A                                                     | ARES EURO CLO ARESE 14A AR 144A                         | CUSIP: ACI2RNVJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1055192 | PA      | $1220943.17   | 0.10%             | 2034-10-21      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-2611.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC HSBC HOLDINGS PLC                     | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      500000 | PA      | $505697.30    | 0.04%             | 2028-05-17      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-992.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-21421.56    | -0.00%            |  |  |  | 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        |   850000000 | PA      | $3824879.49   | 0.32%             | 2040-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.25000 09/21/22-20Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-129722.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4647.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H02 FJ          | CUSIP: 38383KMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1134780 | PA      | $1148649.47   | 0.10%             | 2073-12-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 09/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $846398.76    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $19677.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $338682.65    | 0.03%             |  |  |  | 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        |     8700000 | PA      | $8300003.93   | 0.70%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1851.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-421.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $15649.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1          | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17885 | PA      | $17407.72     | 0.00%             | 2034-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| CRNCL-2019-11A                                                            | CAIRN CLO BV CRNCL 2019 11A AR 144A                     | CUSIP: ACI34RX33<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2300000 | PA      | $2657006.91   | 0.22%             | 2040-01-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.22715 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-7499.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.99798 06/30/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5286.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260518                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-343.90      | -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        |      231722 | PA      | $228837.48    | 0.02%             | 2038-01-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.4000 03/14/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-73207.50    | -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        |   872150000 | PA      | $4171460.40   | 0.35%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                            | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                   | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7835 | PA      | $7889.57      | 0.00%             | 2033-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                              | ALIMENTATION COUCHETARD INC                             | CUSIP: 01626VDA8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |      250000 | PA      | $249717.88    | 0.02%             | 2026-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-21969.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $61547.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $36754.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/2.50000 03/18/26-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-324479.31   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG9137 FR 08/53 FIXED 5.5             | CUSIP: 3133CAEJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2182502 | PA      | $2197538.05   | 0.18%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1247.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS SEK 2.75000 09/16/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |           1 | NC      | $-47131.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $4398.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $420252.47    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $727.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W3                                             | ARGENT SECURITIES INC. ARSI 2004 W3 A3                  | CUSIP: 040104FW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       94718 | PA      | $102568.54    | 0.01%             | 2034-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/34 3 | CUSIP: ACI2PBKR8<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     7270000 | PA      | $8451600.62   | 0.71%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A         | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8803 | PA      | $8641.25      | 0.00%             | 2042-08-25      | Floating      | 5.26%                 | 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        |     1400000 | PA      | $1401874.61   | 0.12%             | 2026-05-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 732218 FN 06/43 FLOATING VAR                  | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10467 | PA      | $10574.88     | 0.00%             | 2043-06-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260506                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $88.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN EURO CLO 20-74A                                                    | DRYDEN LEVERAGED LOAN CDO DRYD 2020 74A AR 144A         | CUSIP: ACI2Z96Y3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3400000 | PA      | $3927639.71   | 0.33%             | 2039-10-18      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/35 4.25                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      500000 | PA      | $498203.13    | 0.04%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 01/49 1.75               | CUSIP: ACI14WP35<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     1900000 | PA      | $1295168.20   | 0.11%             | 2049-01-22      | Fixed         | 1.75%                 | 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        |      158197 | PA      | $138557.32    | 0.01%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-136165.70   | -0.01%            |  |  |  | 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        |      341452 | PA      | $347772.51    | 0.03%             | 2058-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 03/18/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-435803.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/2.7500 12/18/18-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-223679.36   | -0.02%            |  |  |  | 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      | $12440.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260520                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $-6931.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-11056.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H030658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8200000 | PA      | $7315423.03   | 0.61%             | 2056-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.00000 06/17/25-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-715758.85   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-586489.22   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-49929.22    | -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        |     1400000 | PA      | $1347281.25   | 0.11%             | 2033-02-15      | Fixed         | 3.50%                 | 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      | $-101142.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260812                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-16191.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1376.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3605.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $16877.93     | 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      | $-1759299.98  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| KOMMUNALBANKEN AS                                                         | KOMMUNALBANKEN AS SR UNSECURED REGS 01/27 1.9           | CUSIP: ACI22XFG5<br>LEI: I7ETN0QQO2AHZZGHJ389 | Long             | DBT              | CORP              | NO        |     2200000 | PA      | $1482113.73   | 0.12%             | 2027-01-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-7661.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $2937.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-5366.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | UNITED MEXICAN STATES SR UNSECURED 04/51 5              | CUSIP: 91087BAL4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      600000 | PA      | $470370.00    | 0.04%             | 2051-04-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA4                                     | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A21       | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      124352 | PA      | $76951.46     | 0.01%             | 2035-09-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                       | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/36 VAR         | CUSIP: 86562MEA4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     2300000 | PA      | $2307028.16   | 0.19%             | 2036-07-08      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CNY R 1.50000 03/17/27-5Y BPS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |           1 | NC      | $-147601.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                      | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581        | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10600000 | PA      | $10906662.77  | 0.92%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-23281.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G 11/37 2             | CUSIP: ACI1Q9PP3<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    10700000 | PA      | $4991507.40   | 0.42%             | 2037-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US ULTRA BOND CBT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         109 | NC      | $-385078.67   | -0.03%            |  |  |  | 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      | $-250934.10   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-2965.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-795556.24   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $4955.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $20478.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.3000 01/18/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-178540.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | FWD0M1442 COLOMBIA GOVT                                 | CUSIP: 990ADDTQ0<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        |   578500000 | PA      | $121253.20    | 0.01%             | 2031-03-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                    | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: ACI1WVDP0<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.22         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.93000 03/24/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-15397.52    | -0.00%            |  |  |  | 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        |     2209989 | PA      | $276173.42    | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | 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      | $-29968.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1           | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43443 | PA      | $44337.28     | 0.00%             | 2035-09-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                | CHINA GOVERNMENT BOND BONDS 05/35 1.65                  | CUSIP: BT6F11II5<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   101700000 | PA      | $14580454.68  | 1.23%             | 2035-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $25989.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55          | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      400000 | PA      | $394720.02    | 0.03%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-250.21      | -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      | $147306.22    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-1 DAC 25-1A                      | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 1A A 144A     | CUSIP: ACI2TS750<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1168284 | PA      | $1349333.05   | 0.11%             | 2034-10-15      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.0000 03/18/26-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-39134.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.77259 03/04/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $87918.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-4977.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260511                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $4092.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-26158.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.62080 06/30/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $350136.15    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-508784.54   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                | CHINA GOVERNMENT BOND BONDS 01/55 1.92                  | CUSIP: ACI2T8432<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    70800000 | PA      | $9335224.23   | 0.78%             | 2055-01-15      | Fixed         | 1.92%                 | 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      | $1989.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-15584.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                           | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                 | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      545977 | PA      | $631852.31    | 0.05%             | 2031-04-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260601                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2216.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1           | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96955.41     | 0.01%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1434.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/46 4.625                             | CUSIP: 912810UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1000000 | PA      | $964140.62    | 0.08%             | 2046-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR EUR ESTRON/2.17000 12/15/27-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-229378.47   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A                                 | REAL ESTATE ASSET LIQUIDITY TR REALT 2020 1A A1 144A    | CUSIP: 75585RRT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |       70789 | PA      | $50832.43     | 0.00%             | 2055-02-12      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB3                                   | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB3 A5B        | CUSIP: 25151EAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140493 | PA      | $122422.84    | 0.01%             | 2036-07-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 03/30 4.375              | CUSIP: BSQNRDII4<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    16600000 | PA      | $21934195.88  | 1.84%             | 2030-03-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA9                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA9 NB21       | CUSIP: 761118FJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91063 | PA      | $31250.10     | 0.00%             | 2035-08-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO120626                              | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   840000000 | PA      | $583563.45    | 0.05%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.50000 06/19/25-1Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $79848.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-22421.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $7943.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8396 FR 01/54 FIXED 6               | CUSIP: 3132DWKH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42373 | PA      | $43300.94     | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-723.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                               | KUWAIT INTL BOND SR UNSECURED 144A 10/28 4.016          | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     2600000 | PA      | $2564766.36   | 0.22%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.50000 12/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-114895.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                             | THAILAND GOVERNMENT BOND SR UNSECURED 05/36 1.84        | CUSIP: ACI386HX7<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   112711000 | PA      | $3304434.99   | 0.28%             | 2036-05-17      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3MO EURO EURIBOR  DEC26 IFLL 20261214                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        1725 | NC      | $-1725618.50  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                                        | HOME EQUITY ASSET TRUST HEAT 2002 1 A4                  | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1283 | PA      | $1212.41      | 0.00%             | 2032-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-661.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 11/33 VAR                | CUSIP: 902613BT4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1000000 | PA      | $983947.32    | 0.08%             | 2033-11-06      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL2 A1 144A  | CUSIP: 16159RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      832663 | PA      | $748682.99    | 0.06%             | 2063-03-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $3434.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT DKK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-13045.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 03/49 0.5                   | CUSIP: ACI1B32J1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   404200000 | PA      | $1357911.31   | 0.11%             | 2049-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $513.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1978.76      | 0.00%             |  |  |  | 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        |     1224674 | PA      | $1227098.88   | 0.10%             | 2037-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                      | NORDEA KREDIT REALKREDIT COVERED REGS 10/50 1           | CUSIP: BK99HJII9<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |           5 | PA      | $0.64         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-5436.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RXP7 PIMCO FXVAN PUT USD SGD 1.23650000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    -2665000 | NC      | $-16309.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                            | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1                 | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       57860 | PA      | $55064.99     | 0.00%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                                | SANDSTONE PEAK LTD. SAND 2021 1A A1R2 144A              | CUSIP: 800130BA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1800000 | PA      | $1795663.80   | 0.15%             | 2038-04-15      | Floating      | 4.84%                 | 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        |     3800000 | PA      | $4361441.30   | 0.37%             | 2028-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/56 4.75                              | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      500000 | PA      | $487734.38    | 0.04%             | 2056-02-15      | Fixed         | 4.75%                 | 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        |    14800000 | PA      | $13829906.18  | 1.16%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-50155.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 11/48 3.375                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3900000 | PA      | $3057386.71   | 0.26%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A4        | CUSIP: 45660LQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88351 | PA      | $65598.56     | 0.01%             | 2035-08-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                              | ALIMENTATION COUCHETARD INC                             | CUSIP: 01626VDM2<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     1600000 | PA      | $1596199.36   | 0.13%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-32481.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                         | NATWEST GROUP PLC SR UNSECURED 01/30 VAR                | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     1600000 | PA      | $1618143.73   | 0.14%             | 2030-01-27      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| POST CLO 2022-1 LTD                                                       | POST CLO LTD POST 2022 1A AR 144A                       | CUSIP: 73742YAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1000221.12   | 0.08%             | 2035-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV1                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV1 A3A 144A  | CUSIP: 17329PAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5257808 | PA      | $4384279.79   | 0.37%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                                | HPS CORPORATE LENDING FU SR UNSECURED 144A 09/28 4.9    | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1364751.11   | 0.11%             | 2028-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.08244 06/30/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1270.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 01/35 VAR                   | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1220221.92   | 0.10%             | 2035-01-18      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 2.5 JUMBOS                            | CUSIP: 21H022648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3500000 | PA      | $3011640.63   | 0.25%             | 2056-04-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $7855.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $1004.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA22                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA22 A1       | CUSIP: 23245PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      138951 | PA      | $129485.72    | 0.01%             | 2047-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-8829.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-1756.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS SGD SIBSORA/1.75000 09/16/26-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |           1 | NC      | $834332.60    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $4166.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-CF2                                    | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 CF2 2M1 144A   | CUSIP: 22541SE20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      267611 | PA      | $272414.21    | 0.02%             | 2044-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5                         | SECURITIZED ASSET BACKED RECEI SABR 2007 BR5 A2A        | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      217088 | PA      | $170329.24    | 0.01%             | 2037-05-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-32875.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $132762.68    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $4717.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-5                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 5 A1A         | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      309514 | PA      | $274074.82    | 0.02%             | 2037-09-19      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A4              | CUSIP: 466247E90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      151093 | PA      | $103199.75    | 0.01%             | 2036-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $22.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR11                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A        | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31258 | PA      | $29832.18     | 0.00%             | 2034-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                 | JABIL INC                                               | CUSIP: 46652MDG7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249499.45    | 0.02%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                               | SOUTHERN CO JR SUBORDINA 09/81 VAR                      | CUSIP: ACI20FY59<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      600000 | PA      | $672827.39    | 0.06%             | 2081-09-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13000000 | PA      | $12822693.26  | 1.08%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.94000 08/22/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-5530.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                       | MFRA TRUST MFRA 2020 NQM2 A3 144A                       | CUSIP: 552751AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      107627 | PA      | $106006.39    | 0.01%             | 2065-04-25      | Variable      | 1.95%                 | No            |                  2 | 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        |     4500000 | PA      | $4615778.57   | 0.39%             | 2030-01-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4             | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      200000 | PA      | $146581.36    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $39649.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POST CLO 2021-1 LTD                                                       | POST CLO LTD POST 2021 1A AR 144A                       | CUSIP: 73742FAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2250000 | PA      | $2252285.57   | 0.19%             | 2034-10-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.00000 03/19/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-898637.82   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2025-R1                                          | ANGEL OAK MORTGAGE TRUST AOMT 2025 R1 A1 144A           | CUSIP: 034951AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2369904 | PA      | $2348643.97   | 0.20%             | 2062-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUND TRUST 2006-OH1                                   | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1         | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      330943 | PA      | $309958.95    | 0.03%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $17.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-108544.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290508                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $16020.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A1        | CUSIP: 92925VAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      106256 | PA      | $92565.42     | 0.01%             | 2037-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $39612.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CNY R 1.50000 03/17/27-5Y SCX                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |           1 | NC      | $-230316.24   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                | BUONI POLIENNALI DEL TES SR UNSECURED REGS 10/35 3.6    | CUSIP: ACI2WQL88<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     1100000 | PA      | $1246921.97   | 0.10%             | 2035-10-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-68090.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.0520* 03/16/26-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2839.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                                    | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         272 | PA      | $267.45       | 0.00%             | 2030-12-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $205800.99    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | TRS SOFRINDX/IBOXIG INDX 09/21/26 BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-63729.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED REGS 01/34 5      | CUSIP: ACI2MD4F1<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     1200000 | PA      | $1195491.64   | 0.10%             | 2034-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $172875.26    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-15952.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                      | GLENCORE FUNDING LLC COMPANY GUAR 144A 04/30 5.186      | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      800000 | PA      | $811449.50    | 0.07%             | 2030-04-01      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                             | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                  | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33367 | PA      | $32463.29     | 0.00%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 22A         | CUSIP: 07384MN32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40425 | PA      | $39756.18     | 0.00%             | 2034-05-25      | Floating      | 6.52%                 | 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        |      806028 | PA      | $401851.96    | 0.03%             | 2036-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-37370.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                                 | BANQUE FED CRED MUTUEL 144A 01/27 5.088                 | CUSIP: 06675FBC0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |      900000 | PA      | $905545.11    | 0.08%             | 2027-01-23      | Fixed         | 5.09%                 | 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      | $1.78         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                      | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 11/32 2.5    | CUSIP: ACI23KK01<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     8400000 | PA      | $4918014.60   | 0.41%             | 2032-11-22      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2288.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -8400000 | PA      | $-7060265.69  | -0.59%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RXO0 PIMCO FXVAN CALL USD SGD 1.31500000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     2665000 | NC      | $10377.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT DKK SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $16195.57     | 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        |     3194565 | PA      | $31111872.02  | 2.62%             |  |  |  | No            |                  1 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A                                 | REAL ESTATE ASSET LIQUIDITY TR REALT 2020 1A A2 144A    | CUSIP: 75585RRU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |     2400000 | PA      | $1666629.29   | 0.14%             | 2055-02-12      | Fixed         | 2.87%                 | 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      | $-4591902.99  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-5363.72     | -0.00%            |  |  |  | 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        |    24369667 | PA      | $25216030.41  | 2.12%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-443873.34   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $17358.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 03/54 5.75                 | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     1300000 | PA      | $1210925.47   | 0.10%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                             | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                  | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      321381 | PA      | $299207.06    | 0.03%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $165338.83    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8331 FR 06/53 FIXED 5.5             | CUSIP: 3132DWHG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60470 | PA      | $60991.76     | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.00000 09/16/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $591349.95    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $3879.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 03/18/26-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-7560.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $9081.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                       | NEXTERA ENERGY CAP HLDGS INC                            | CUSIP: 65339NDL5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      400000 | PA      | $399106.20    | 0.03%             | 2026-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                        | FANNIE MAE FNR 2004 63 FA                               | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         301 | PA      | $295.84       | 0.00%             | 2034-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $6481.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A2        | CUSIP: 12668AGT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91470 | PA      | $87161.24     | 0.01%             | 2035-11-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-84094.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                            | AUSTRALIAN GOVERNMENT BONDS 05/30 2.5                   | CUSIP: ACI137Q48<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     1100000 | PA      | $697903.24    | 0.06%             | 2030-05-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.2480* 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-22558.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260603                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-5682.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A REGS 12/43 1 | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     2800000 | PA      | $873013.59    | 0.07%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270226                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-561562.84   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-64352.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-H                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 H 2A5         | CUSIP: 05949CGA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38849 | PA      | $34994.58     | 0.00%             | 2035-09-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                              | CASSA DEPOSITI E PRESTIT CASSA DEPOSITI E PRESTIT       | CUSIP: ACI30MXF1<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |     2500000 | PA      | $2481825.00   | 0.21%             | 2030-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY4                                           | COUNTRYWIDE HOME LOANS CWHL 2007 HY4 1A1                | CUSIP: 17025RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      178001 | PA      | $161879.79    | 0.01%             | 2047-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR CHF SRFXON3/0.25000 09/16/26-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |           1 | NC      | $-23918.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $753.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     1084000 | NC      | $1558.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED REGS 10/45 6.5                     | CUSIP: ACI30VFV6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      300000 | PA      | $331629.61    | 0.03%             | 2045-10-07      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-6                                     | DEUTSCHE ALT A SECURITIES INC DBALT 2005 6 2A3          | CUSIP: 251510KH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      167320 | PA      | $142964.03    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $34538.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL 1L0183 FH 08/35 FLOATING VAR          | CUSIP: 3128Q2FY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1871 | PA      | $1920.25      | 0.00%             | 2035-08-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $1505.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3791.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                             | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                  | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1782 | PA      | $1651.07      | 0.00%             | 2036-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-5740.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-664.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-4785.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4457.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0867 G2 01/56 FIXED 3                    | CUSIP: 3618N56D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15042849 | PA      | $13448662.39  | 1.13%             | 2056-01-20      | Fixed         | 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        |     8961000 | PA      | $2792848.00   | 0.23%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-961.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                              | REPUBLIC OF CHILE SR UNSECURED 01/29 4.85               | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |      800000 | PA      | $810600.00    | 0.07%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A       | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165412 | PA      | $162837.25    | 0.01%             | 2034-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                            | BULGARIA SR UNSECURED REGS 07/35 3.375                  | CUSIP: ACI2YSM32<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     1400000 | PA      | $1549190.67   | 0.13%             | 2035-07-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                     | CROWN CASTLE                                            | CUSIP: 22823QDM0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1197055.68   | 0.10%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-306.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 11/40 12.75                  | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 11073700000 | PA      | $2935081.37   | 0.25%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO III DESIGNATED ACTIVITY CO 3A                      | BLACKROCK EUROPEAN CLO DAC BECLO 3A AR 144A             | CUSIP: ACI1Y3X37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1300000 | PA      | $1501050.09   | 0.13%             | 2035-07-19      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CNY R 1.50000 03/17/27-5Y JPM                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |           1 | NC      | $-192665.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-91.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS CLO 2022 XXA LTD                                                 | TRINITAS CLO LTD TRNTS 2022 20A A1R 144A                | CUSIP: 89640EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     1300000 | PA      | $1300256.91   | 0.11%             | 2035-07-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QH8983 FR 01/54 FIXED 6               | CUSIP: 3133CM6U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21712 | PA      | $22396.42     | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-7                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 7 1A3          | CUSIP: 863579PF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      290851 | PA      | $263896.75    | 0.02%             | 2035-04-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $91884.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260603                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2350.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO3                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO3 A1         | CUSIP: 761118WP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       58323 | PA      | $14244.43     | 0.00%             | 2046-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-4                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 4 1A2          | CUSIP: 86363LAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19986 | PA      | $18815.40     | 0.00%             | 2037-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $867.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-15781.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2667.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                           | COSTA RICA GOVERNMENT BONDS 144A 11/30 5.4995           | CUSIP: ACI3721X4<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     1750000 | PA      | $2070616.09   | 0.17%             | 2030-11-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.65543 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6032.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $45234.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-NC1                         | SECURITIZED ASSET BACKED RECEI SABR 2007 NC1 A2A        | CUSIP: 81378AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22570 | PA      | $11190.70     | 0.00%             | 2036-12-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| EXPORT DEVELOPMENT CANADA (EDC)                                           | EXPORT DEVELOPMNT CANADA EXPORT DEVELOPMNT CANADA       | CUSIP: ACI2N3ML9<br>LEI: Z6MHCSLXHKYG4B6PHW02 | Long             | DBT              | CORP              | CA        |   123600000 | PA      | $1278276.71   | 0.11%             | 2029-03-11      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $1284401.30   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 06/55 2.8                   | CUSIP: ACI2YH5D3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   150000000 | PA      | $800976.65    | 0.07%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC JR SUBORDINA REGS 12/99 VAR                | CUSIP: ACI26N5G4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      600000 | PA      | $817190.92    | 0.07%             | 2027-09-15      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.23223 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-8074.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $2155.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                        | FANNIE MAE FNR 2007 73 A1                               | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       55820 | PA      | $54813.61     | 0.00%             | 2037-07-25      | Floating      | 3.84%                 | 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      | $-53500.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260914                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $19305.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT RRB BONDS 12/44 1.5                 | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     1570074 | PA      | $1080856.02   | 0.09%             | 2044-12-01      | Fixed         | 1.50%                 | 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        |     1985853 | PA      | $1750055.07   | 0.15%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CAN 10YR BOND FUT JUN26 XMOD 20260619                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         260 | NC      | $-383658.26   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                   | GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25         | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |      900000 | PA      | $885165.01    | 0.07%             | 2027-01-06      | Fixed         | 2.25%                 | 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        |     1328968 | PA      | $1342289.66   | 0.11%             | 2055-02-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $916.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 03/18/26-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $370685.28    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 01/29 VAR          | CUSIP: 38145GAP5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3900000 | PA      | $3876995.62   | 0.33%             | 2029-01-21      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $280.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICG EURO CLO 2023-2 DAC 23-2A                                             | ICG EURO CLO ICGE 2023 2A A1R 144A                      | CUSIP: ACI38GWX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2500000 | PA      | $2889028.55   | 0.24%             | 2038-01-26      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-34.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-6246.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-15885.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-23139.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $18747.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0463 FN 03/60 FIXED 3                       | CUSIP: 3140FXQR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      864397 | PA      | $752478.73    | 0.06%             | 2060-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2004-T3                                           | FANNIEMAE GRANTOR TRUST FNGT 2004 T3 1A1                | CUSIP: 31393YU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23552 | PA      | $23526.40     | 0.00%             | 2044-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-372944.56   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JABIL INC                                                                 | JABIL INC                                               | CUSIP: 46652MD85<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249751.48    | 0.02%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                              | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 10/31 4.375  | CUSIP: 00402D2C8<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |     2400000 | PA      | $2329001.78   | 0.20%             | 2031-10-02      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260515                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $247.76       | 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      | $18897.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3         | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      303023 | PA      | $79736.19     | 0.01%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052656<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -9820000 | PA      | $-9852571.47  | -0.83%            | 2056-05-13      | Fixed         | 5.50%                 | 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        |     3115931 | PA      | $2639765.22   | 0.22%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260812                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $23185.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 05/55 4.75                              | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      600000 | PA      | $584414.06    | 0.05%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1B 144A      | CUSIP: 78449XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      150040 | PA      | $150478.11    | 0.01%             | 2053-07-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $13375.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $5534.18      | 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        |     5800000 | PA      | $3060188.49   | 0.26%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-28877.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020646<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -11750000 | PA      | $-9467011.66  | -0.80%            | 2056-04-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP / LADDER CAPITAL FINANCE CORP        | LADDER CAP FIN LLLP/CORP COMPANY GUAR 08/30 5.5         | CUSIP: 505742AS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1704282.25   | 0.14%             | 2030-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 832802 FN 09/35 FLOATING VAR                  | CUSIP: 31407KGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2910 | PA      | $2961.30      | 0.00%             | 2035-09-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A4       | CUSIP: 02147CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      674617 | PA      | $505443.66    | 0.04%             | 2046-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-5420.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R2                                          | JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A1 144A         | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      242364 | PA      | $225766.20    | 0.02%             | 2037-07-27      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-27195.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-286973.34   | -0.02%            |  |  |  | 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        |  1507147750 | PA      | $9529773.90   | 0.80%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG46 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $21113.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $7056.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                        | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 3A1       | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      189476 | PA      | $156115.82    | 0.01%             | 2035-08-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-13537.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                      | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1         | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30694 | PA      | $21964.84     | 0.00%             | 2036-01-26      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R5                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R5 M1          | CUSIP: 03072SRX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1262 | PA      | $1261.24      | 0.00%             | 2034-07-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $12552.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3718.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5             | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       55484 | PA      | $57444.94     | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-244.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1       | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13016 | PA      | $12053.94     | 0.00%             | 2036-12-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                           | PHILIP MORRIS INTL INC PHILIP MORRIS INTL INC           | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      800000 | PA      | $818870.89    | 0.07%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR NOTE (CBT)JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -58 | NC      | $91000.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-280.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-17313.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1            | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          98 | PA      | $11.03        | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260526                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $866.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/31 5.375  | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     1000000 | PA      | $1022475.58   | 0.09%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-6                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 6 3A4          | CUSIP: 05950RBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40957 | PA      | $38302.26     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $281.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5397.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA UNSECURED 144A 04/33 2                          | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      100000 | PA      | $90807.06     | 0.01%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                               | KUWAIT INTL BOND SR UNSECURED 144A 10/30 4.136          | CUSIP: 501499AE7<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     1300000 | PA      | $1273547.81   | 0.11%             | 2030-10-09      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-2467.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 02/48 8.75               | CUSIP: S6989ZAQ7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    13600000 | PA      | $727128.31    | 0.06%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-15423.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3397                                                          | FREDDIE MAC FHR 3397 FC                                 | CUSIP: 31397PLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65016 | PA      | $64938.12     | 0.01%             | 2037-12-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     2083000 | NC      | $3170.33      | 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      | $5090.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                        | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15             | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1217143.10   | 0.10%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $2777.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-123.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $7912.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $40024.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-67176.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $4905.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2                       | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 2A1       | CUSIP: 07386UAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      276983 | PA      | $262351.29    | 0.02%             | 2046-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-2316.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A2        | CUSIP: 12667GL84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       82997 | PA      | $80640.67     | 0.01%             | 2035-08-25      | Floating      | 5.26%                 | 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        |   320000000 | PA      | $1944316.81   | 0.16%             | 2029-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-15.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2005-4                                             | SEQUOIA MORTGAGE TRUST SEMT 2005 4 2A1                  | CUSIP: 81744FJG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5231 | PA      | $5327.02      | 0.00%             | 2035-04-20      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-631.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.25000 09/16/26-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-3673754.08  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 10/50 0.625              | CUSIP: BMBL1FII0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     3500000 | PA      | $1611821.08   | 0.14%             | 2050-10-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.2276* 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-7556.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                           | AES CORP DISC COML PAPER                                | CUSIP: 00809KD21<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      800000 | PA      | $799821.36    | 0.07%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $4574.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $253490.85    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-8                                         | VERUS SECURITIZATION TRUST VERUS 2023 8 A1 144A         | CUSIP: 92540DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400706 | PA      | $402953.28    | 0.03%             | 2068-12-25      | Fixed         | 6.26%                 | 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        |     6962468 | PA      | $6060048.20   | 0.51%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-391.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-50576.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                  | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    38000000 | PA      | $2221600.65   | 0.19%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                                   | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1       | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34249 | PA      | $11882.46     | 0.00%             | 2036-10-25      | Floating      | 3.91%                 | 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        |     1600000 | PA      | $1570945.22   | 0.13%             | 2035-10-23      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-7626.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A3        | CUSIP: 12668ALV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128648 | PA      | $119092.41    | 0.01%             | 2035-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-13404.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-6106.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $2495.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A5                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 A5 3A3              | CUSIP: 466247SL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1505 | PA      | $1508.31      | 0.00%             | 2035-08-25      | Floating      | 5.43%                 | 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        |       33930 | PA      | $31202.85     | 0.00%             | 2033-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                            | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1        | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         125 | PA      | $127.67       | 0.00%             | 2033-02-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR ULTRA FUT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         807 | NC      | $-1991671.93  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-436.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS NOK 4.50000 09/16/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NO        |           1 | NC      | $-1894.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | TRS P SIBCSORA-5/SGXF75438295 CBK                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | SG        |           1 | NC      | $2121.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    49893894 | PA      | $51578391.19  | 4.34%             | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030660<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -11000000 | PA      | $-9647083.38  | -0.81%            | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-15953.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                      | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 A 144A      | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3100000 | PA      | $3088767.46   | 0.26%             | 2034-12-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG       | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      200000 | PA      | $70000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-252557.30   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260511                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-1965.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-B                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 5A1          | CUSIP: 05946XJN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130337 | PA      | $127930.26    | 0.01%             | 2034-11-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $1736.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                         | NATWEST GROUP PLC SR UNSECURED 03/35 VAR                | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     2900000 | PA      | $2998795.90   | 0.25%             | 2035-03-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE BACKED SEC 2007-1                                  | MERRILL LYNCH MORTGAGE BACKED MLMBS 2007 1 2A1          | CUSIP: 59024NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10064 | PA      | $8757.60      | 0.00%             | 2037-04-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260626                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-7497.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-19775.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-8195.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM-42.5 GLM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $966.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7828 G2 01/52 FIXED 3                    | CUSIP: 36179WVV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      426593 | PA      | $381384.19    | 0.03%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 2A3         | CUSIP: 61752JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1259362 | PA      | $251752.11    | 0.02%             | 2046-09-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 2A1       | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      102051 | PA      | $95625.13     | 0.01%             | 2035-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-2192.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.25000 09/17/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-406418.80   | -0.03%            |  |  |  | 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        |   738000000 | PA      | $4109186.60   | 0.35%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $196261.61    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1123.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1535.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-20679.87    | -0.00%            |  |  |  | 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      | $-80163.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-1200.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                   | BPCE SA 144A 01/30 VAR                                  | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     2400000 | PA      | $2460709.75   | 0.21%             | 2030-01-18      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260515                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $5423.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-210128.98   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-5739.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.01035 06/30/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $7814.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG45 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-55297.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2981.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-1477.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $17930.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $126485.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020448<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -21000000 | PA      | $-19322759.82 | -1.62%            | 2041-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-58323.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $5113.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-165.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                  | LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR    | CUSIP: ACI0808H1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $270690.52    | 0.02%             | 2029-06-27      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -3625000 | NC      | $-1468.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-11503.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-3053.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 09/29 VAR            | CUSIP: 95000U4A8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2472925.05   | 0.21%             | 2029-09-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV5                                   | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV5 A12 144A     | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      532790 | PA      | $462058.21    | 0.04%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-23573.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     3625000 | NC      | $5212.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRACCAN MORTGAGE FUNDING 2025-1 PLC 25-1A                                 | BRACCAN MORTGAGE FUNDING BRACN 2025 1A A 144A           | CUSIP: ACI2X1P88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2845673 | PA      | $3766157.03   | 0.32%             | 2067-05-17      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBI5 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -4201000 | NC      | $-3356.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR EUR ESTRON/1.79544 03/10/25-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-48986.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | PEMEX SNR LA SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-6328.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM1796 FN 10/34 FIXED VAR                     | CUSIP: 3140X47J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      126701 | PA      | $124141.03    | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260528                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1408.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                        | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1         | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10735 | PA      | $10027.99     | 0.00%             | 2035-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 04/35 VAR          | CUSIP: 38141GA95<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1453226.49   | 0.12%             | 2035-04-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3728.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                             | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                  | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2570 | PA      | $2526.26      | 0.00%             | 2035-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-79851.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-17586.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.25000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-310184.24   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.96000 06/27/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $53035.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR3                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR3 A1A       | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      604540 | PA      | $543900.12    | 0.05%             | 2046-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $10168.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                       | NOMURA HOLDINGS INC SR UNSECURED 01/27 2.329            | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     1000000 | PA      | $983470.51    | 0.08%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| KOREA GAS CORPORATION                                                     | KOREA GAS CORP SR UNSECURED REGS 10/29 3.5              | CUSIP: ACI2ZFLG1<br>LEI: 988400TFZILHBD5M3R71 | Long             | DBT              | MUN               | KR        |     2000000 | PA      | $1918292.66   | 0.16%             | 2029-10-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300515                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $10767.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.74800 03/03/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $13249.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $89.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-5057.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $959.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080329 G2 10/29 FLOATING VAR               | CUSIP: 36225CLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1211 | PA      | $1209.81      | 0.00%             | 2029-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1184.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.01528 06/30/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5196.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260729                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $7288.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                        | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     1900000 | PA      | $1900592.71   | 0.16%             | 2035-04-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-12239.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $15159.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                    | REALKREDIT DANMARK COVERED REGS 10/50 1                 | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.20         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $5951.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062663<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -22400000 | PA      | $-23154509.50 | -1.95%            | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1896.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5421 FN 07/54 FIXED 6                       | CUSIP: 31418FAX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      647713 | PA      | $660611.22    | 0.06%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOWER BRIDGE FUNDING 2024-3 PLC 24-3A                                     | TOWER BRIDGE FUNDING TWRBG 2024 3A A 144A               | CUSIP: ACI2R23Z7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1877010 | PA      | $2484411.10   | 0.21%             | 2066-12-20      | Floating      | 4.52%                 | 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        |      469610 | PA      | $469030.93    | 0.04%             | 2038-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL 1B3940 FH 11/35 FLOATING VAR          | CUSIP: 3128JPHS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13755 | PA      | $14037.61     | 0.00%             | 2035-11-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-219.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260615                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-4186.14     | -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      | $-91323.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9            | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     6600000 | PA      | $1885966.26   | 0.16%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3615.72      | 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      | $15589.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/41 1.875                             | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $69314.45     | 0.01%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                        | FANNIE MAE FNR 2004 11 A                                | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         336 | PA      | $335.63       | 0.00%             | 2034-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-3721.27     | -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        |       59502 | PA      | $60499.21     | 0.01%             | 2034-03-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-2825.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $4607.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $4805.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM2                                                      | GSAMP TRUST GSAMP 2006 FM2 A2D                          | CUSIP: 36245DAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1559317 | PA      | $535355.37    | 0.05%             | 2036-09-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| MDGH GMTN (RSC) LTD                                                       | MDGH GMTN RSC LTD COMPANY GUAR 144A 04/33 5.5           | CUSIP: 55285GAB0<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | MUN               | AE        |      600000 | PA      | $608956.74    | 0.05%             | 2033-04-28      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $6815.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PSP CAPITAL INC                                                           | PSP CAPITAL INC COMPANY GUAR 09/31 4.5                  | CUSIP: ACI2QY2T3<br>LEI: 549300B456N0WEIC5249 | Long             | DBT              | MUN               | CA        |     3500000 | PA      | $2331224.39   | 0.20%             | 2031-09-05      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4367080 | PA      | $4207571.75   | 0.35%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $51272.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/2.96478 10/05/22-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $311385.11    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPN 10Y BOND(OSE) JUN26 XOSE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         -16 | NC      | $150208.37    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-61725.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1        | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      291626 | PA      | $284552.82    | 0.02%             | 2035-05-25      | Floating      | 4.21%                 | 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        |      720825 | PA      | $696717.22    | 0.06%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                       | EUROPEAN UNION SR UNSECURED REGS 12/35 3.375            | CUSIP: ACI2VLWT2<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     9700000 | PA      | $11186464.65  | 0.94%             | 2035-12-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-127272.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RA5502 FR 06/51 FIXED 3               | CUSIP: 3133KMDF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       66268 | PA      | $58353.88     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A3A       | CUSIP: 17312TAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       58638 | PA      | $40072.34     | 0.00%             | 2037-05-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $1211.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-4                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 3A1         | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29483 | PA      | $22164.50     | 0.00%             | 2035-07-19      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20270610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2175.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-4                                     | TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A6            | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      189270 | PA      | $4540.41      | 0.00%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4963.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300514                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $10774.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -9800000 | PA      | $-8964736.40  | -0.75%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 07/53 1.5                | CUSIP: ACI215R58<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2400000 | PA      | $1376152.69   | 0.12%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TIKEHAU CLO V BV 5A                                                       | TIKEHAU TIKEH 5A AR 144A                                | CUSIP: ACI2YQ816<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2600000 | PA      | $3004353.49   | 0.25%             | 2038-10-15      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM-35.65 CBK                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $502985.62    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | LONG GILT FUTURE  JUN26 IFLL 20260626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         416 | NC      | $-2406858.42  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260708                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-762.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                       | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1             | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      136860 | PA      | $126560.10    | 0.01%             | 2044-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-437418.64   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $7071.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUT+5.89/0.4000 06/19/19-20Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $1562904.71   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8439 FR 06/54 FIXED 6               | CUSIP: 3132DWLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47012 | PA      | $47986.83     | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR5                                     | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1         | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       80997 | PA      | $73173.11     | 0.01%             | 2035-10-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A2      | CUSIP: 92922F5U8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88807 | PA      | $83831.38     | 0.01%             | 2045-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-2382.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                      | ROYAL BANK OF CANADA SR UNSECURED 08/31 VAR             | CUSIP: 78017DAM0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     2300000 | PA      | $2295749.37   | 0.19%             | 2031-08-06      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $10929.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 05/32 VAR                | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1100000 | PA      | $1009141.93   | 0.08%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM7441 FN 05/51 FIXED VAR                     | CUSIP: 3140XBHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65738 | PA      | $57891.78     | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | 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        |      418654 | PA      | $429049.24    | 0.04%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 06/17/26-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-59487.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | PEMEX LCDS SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $3608.57      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-6091.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $18972.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-8412.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $32329.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2023-V3                                       | TOWD POINT MORTGAGE FUNDING TPMF 2023 V3 A1 REGS        | CUSIP: ACI2P2371<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1704798 | PA      | $2262789.78   | 0.19%             | 2054-02-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA2723 FN 11/53 FIXED 6                       | CUSIP: 3140A3AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49530 | PA      | $50577.63     | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | 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      | $0.23         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $280.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-38654.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-147.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1B       | CUSIP: 02150PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      420427 | PA      | $394424.34    | 0.03%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-5314.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-2                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 2 2A1           | CUSIP: 02660XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      366267 | PA      | $355951.11    | 0.03%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.50000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-210174.41   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260624                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $25342.81     | 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        |    47830000 | PA      | $11892647.76  | 1.00%             | 2028-04-20      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260803                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $10856.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $6574.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR4                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR4 1A1A       | CUSIP: 93934FPN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      323009 | PA      | $295880.70    | 0.02%             | 2046-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                               | NATIONWIDE BLDG SOCIETY 144A 02/28 VAR                  | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |      700000 | PA      | $690382.52    | 0.06%             | 2028-02-16      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $941.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVIDUS CLO VII DAC 7A                                                   | PROVIDUS CLO PRVD 7A ARR 144A                           | CUSIP: ACI38JRZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2500000 | PA      | $2880945.98   | 0.24%             | 2038-07-15      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-379871.09   | -0.03%            |  |  |  | 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      | $-76219.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $57006.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 04/31 VAR          | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      700000 | PA      | $711970.95    | 0.06%             | 2031-04-23      | Floating      | 5.22%                 | 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      | $103605.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 05/34 4.375                             | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      600000 | PA      | $606410.15    | 0.05%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-15448.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3       | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       61484 | PA      | $45023.84     | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260506                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $6434.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR3                                       | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A1        | CUSIP: 39538WHF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152780 | PA      | $139619.52    | 0.01%             | 2036-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $646.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                                   | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1660860 | PA      | $1671758.28   | 0.14%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.82500 09/19/45-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-149313.83   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CAN 5YR BOND FUT  JUN26 XMOD 20260619                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         135 | NC      | $-140675.19   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 133 EC          | CUSIP: 38380HCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5077 | PA      | $4856.62      | 0.00%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM-44.2 FAR                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $33200.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SHO6 PIMCO FXVAN PUT EUR CZK 24.04000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      685000 | NC      | $399.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-4462.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3                              | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A    | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      779907 | PA      | $650334.26    | 0.05%             | 2052-04-25      | Variable      | 2.50%                 | 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        |      231722 | PA      | $10988.07     | 0.00%             | 2038-01-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-7                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 7 1A2          | CUSIP: 17307GA57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      366413 | PA      | $343221.55    | 0.03%             | 2035-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/1.5000 06/17/20-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-258185.22   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $3730.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1       | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43560 | PA      | $40177.72     | 0.00%             | 2036-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 800171 FN 12/34 FLOATING VAR                  | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3209 | PA      | $3262.52      | 0.00%             | 2034-12-01      | Floating      | 5.75%                 | 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      | $208799.42    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-8958.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM -45 FAR                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $113087.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2           | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1186122.97   | 0.10%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-97.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                             | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1                  | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32243 | PA      | $32450.39     | 0.00%             | 2033-07-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1          | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37179 | PA      | $32484.41     | 0.00%             | 2047-01-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/27 4.125       | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1283558.47   | 0.11%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                      | NORDEA KREDIT REALKREDIT COVERED 10/50 1.5              | CUSIP: BH3VWJII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.15         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260615                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-178.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8486 G2 12/52 FIXED 3                    | CUSIP: 36179XNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       73600 | PA      | $65913.29     | 0.01%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                          | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A          | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1123740 | PA      | $1028231.59   | 0.09%             | 2060-04-25      | Variable      | 1.64%                 | 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        |     2800000 | PA      | $2843875.97   | 0.24%             | 2035-01-23      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-13320.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.89750 06/19/25-1Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $256894.59    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                  | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16950035 | PA      | $15680584.70  | 1.32%             | 2052-10-20      | Fixed         | 3.50%                 | 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      | $485630.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT BONDS 03/30 2.75                    | CUSIP: 135087S47<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      100000 | PA      | $71166.08     | 0.01%             | 2030-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-818.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.00000 01/13/25-8Y* LC                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $161.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-8241.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $9647.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.25000 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-2518373.76  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-411.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $38086.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                      | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A     | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1600000 | PA      | $1849567.11   | 0.16%             | 2035-07-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2258.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-21905.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-FLX1                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 FLX1 A2        | CUSIP: 45667WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137114 | PA      | $132942.38    | 0.01%             | 2036-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $438.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ0915 FR 08/54 FIXED 6               | CUSIP: 3133CRAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29483 | PA      | $30179.01     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $540319.91    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $4316.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                      | GLENCORE FUNDING LLC COMPANY GUAR 144A 04/29 5.371      | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1940055.63   | 0.16%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $2308.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-179833.57   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM4                                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A        | CUSIP: 59023QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      101514 | PA      | $19771.78     | 0.00%             | 2037-09-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-20515.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A1B2      | CUSIP: 92922FB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112083 | PA      | $110098.25    | 0.01%             | 2034-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 02/35 5.625                | CUSIP: 46514Y8B6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      300000 | PA      | $305576.95    | 0.03%             | 2035-02-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2127.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 07/33 4.875  | CUSIP: 80413TBD0<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      400000 | PA      | $395658.03    | 0.03%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $2585.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-9117.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $29261.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.01000 03/31/26-28Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $42788.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $13084.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.96415 02/12/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $24112.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 03/51 0.7                   | CUSIP: BNKDTMII1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   250000000 | PA      | $829510.73    | 0.07%             | 2051-03-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-13728.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $3421.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $3400.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLARIS 2026-1 PLC 2026-1A                                                | POLARIS PLRS 2026 1A A 144A                             | CUSIP: ACI38C327<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2099963 | PA      | $2772972.04   | 0.23%             | 2070-06-27      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $71969.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-15616.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 01/41 5.25               | CUSIP: ACI313VK3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2500000 | PA      | $3295599.69   | 0.28%             | 2041-01-31      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-16948.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-28407.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV3                                      | VERUS SECURITIZATION TRUST VERUS 2023 INV3 A1 144A      | CUSIP: 92540CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      795901 | PA      | $802682.38    | 0.07%             | 2068-11-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $22635.06     | 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        |     3975097 | PA      | $489890.14    | 0.04%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/37 3.75   | CUSIP: ACI2V6MH2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |      300000 | PA      | $326941.48    | 0.03%             | 2037-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.50000 09/16/26-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-1425339.26  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP CBK                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $60036.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1.5          | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     5148010 | PA      | $634551.20    | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/49 2.25                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2100000 | PA      | $1306675.78   | 0.11%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA8029 FN 02/54 FIXED 6                       | CUSIP: 3140A84P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      369149 | PA      | $378125.83    | 0.03%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | AUST 3YR BOND FUT JUN26 XSFE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          26 | NC      | $-7683.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-27559.62    | -0.00%            |  |  |  | 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      | $-14124.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA0866 FN 09/53 FIXED 5.5                     | CUSIP: 3140A06C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      756882 | PA      | $763083.23    | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                               | REPUBLIC OF SERBIA SR UNSECURED 144A 09/36 2.05         | CUSIP: ACI20JFB9<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |      900000 | PA      | $788625.05    | 0.07%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25               | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    12800000 | PA      | $608045.86    | 0.05%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A1A      | CUSIP: 12668BD91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20455 | PA      | $19054.15     | 0.00%             | 2046-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $3564.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $7476.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $6535.19      | 0.00%             |  |  |  | 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      | $-638600.73   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR FUT OPTN  MAY26P 110 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -19 | NC      | $-7070.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                               | REPUBLIC OF POLAND BONDS 02/30 4.875                    | CUSIP: 857524AF9<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      500000 | PA      | $511370.61    | 0.04%             | 2030-02-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-65960.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-1908.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $17172.24     | 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      | $-46904.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XXX DAC 30A                                        | CORDATUS CLO PLC CORDA 30A AR 144A                      | CUSIP: ACI354435<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2300000 | PA      | $2656875.59   | 0.22%             | 2037-05-15      | Floating      | 3.23%                 | 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        |     6600000 | PA      | $6601260.20   | 0.55%             | 2030-01-16      | Fixed         | 4.75%                 | 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        |     3029480 | PA      | $3143456.79   | 0.26%             | 2029-01-15      | Fixed         | 2.50%                 | 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        |      235009 | PA      | $224857.99    | 0.02%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-8938.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290503                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $22649.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $11458.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-323991.72   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.32500 07/06/26-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $52001.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 04/31 VAR            | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2339722.86   | 0.20%             | 2031-04-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-1512.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-22134.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBA2 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     2207516 | NC      | $6580.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIX LTD                                                     | SYMPHONY CLO LTD SYMP 2021 29A AR 144A                  | CUSIP: 87168GAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2300000 | PA      | $2297125.16   | 0.19%             | 2035-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-151127.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/1.9000 12/18/19-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-235097.20   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A         | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23122 | PA      | $22198.82     | 0.00%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R US SOFR/GBP SONIA-30.05 GLM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $-61910.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-2944.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-4021.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260521                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-657.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $4413.65      | 0.00%             |  |  |  | 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      | $1201480.52   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $8432.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRNTS-2021-17A                                                            | TRINITAS CLO LTD TRNTS 2021 17A AR 144A                 | CUSIP: 89642JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3100000 | PA      | $3103781.35   | 0.26%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                                       | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1              | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3233 | PA      | $3242.51      | 0.00%             | 2031-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 09/31 5.125                   | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1800000 | PA      | $2066257.96   | 0.17%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $6733.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -2083000 | NC      | $-841.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260810                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $5316.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-26.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2023-NQM4 TRUST                                                       | MFRA TRUST MFRA 2023 NQM4 A1 144A                       | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      482036 | PA      | $484767.76    | 0.04%             | 2068-12-25      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $10598.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD4                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A     | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32444 | PA      | $27210.07     | 0.00%             | 2036-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $7653.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.22442 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-6163.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                           | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 10/32 4.95   | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     1300000 | PA      | $1266682.22   | 0.11%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260706                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $19.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                                    | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2FP          | CUSIP: 61749KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       45924 | PA      | $16444.39     | 0.00%             | 2036-07-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                               | BANK OF AMERICA CORP SR UNSECURED 09/34 VAR             | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2828186.82   | 0.24%             | 2034-09-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB6395 FN 08/54 FIXED 6                       | CUSIP: 3140AGC93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35524 | PA      | $36362.58     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-183.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS INR MIBOR/5.75000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |           1 | NC      | $46319.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2        | CUSIP: 86359LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         673 | PA      | $648.78       | 0.00%             | 2034-07-19      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-22376.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $212408.76    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                                                    | CHINA DEVELOPMENT BANK UNSECURED 01/34 2.63             | CUSIP: ACI2MPQS2<br>LEI: 300300C1020111000029 | Long             | DBT              | CORP              | CN        |   252560000 | PA      | $38635296.72  | 3.25%             | 2034-01-08      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-6870154.43  | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260630                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-278.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                            | AVOLON TLB BORROWER 1 US LLC 2023 TERM LOAN B6          | CUSIP: 05400KAJ9<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |     1525026 | PA      | $1529791.58   | 0.13%             | 2030-06-24      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA ROMANIA                                         | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      700000 | PA      | $799183.74    | 0.07%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $11436.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1256.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300513                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $10774.50     | 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        |     1000000 | PA      | $1293515.02   | 0.11%             | 2056-01-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.88500 07/12/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-22465.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $6255.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-3126.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7368 G2 05/51 FIXED 3                    | CUSIP: 36179WFH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      114147 | PA      | $102049.98    | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 09/46 0.5                   | CUSIP: ACI0PP6W6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    74000000 | PA      | $271884.31    | 0.02%             | 2046-09-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260506                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $9911.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $31072.97     | 0.00%             |  |  |  | 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      | $42901.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4864.38     | -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        |     1300000 | PA      | $1326664.60   | 0.11%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -491484 | NC      | $-433.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS NOK 3.75000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NO        |           1 | NC      | $-217201.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                               | PHILLIPS 66                                             | CUSIP: 71855BD25<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1699623.79   | 0.14%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BRACCAN MORTGAGE FUNDING 2026-1 PLC 26-1A                                 | BRACCAN MORTGAGE FUNDING BRACN 2026 1A A 144A           | CUSIP: ACI38ZZ47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1400000 | PA      | $1853272.27   | 0.16%             | 2068-04-17      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1000000 | NC      | $-2783.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $8250.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-8109.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $2054.97      | 0.00%             |  |  |  | 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      | $88612.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-471.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 10/30 VAR                   | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      700000 | PA      | $699836.99    | 0.06%             | 2030-10-18      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1826.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                              | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/30 4.5    | CUSIP: 00402AAA9<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |      200000 | PA      | $197352.06    | 0.02%             | 2030-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1190.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $293.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1.80         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.75000 09/16/26-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $254154.45    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR6                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR6 A1         | CUSIP: 86364RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      594795 | PA      | $515137.65    | 0.04%             | 2047-08-25      | Floating      | 5.36%                 | 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        |      383567 | PA      | $383700.27    | 0.03%             | 2038-04-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $7288.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   193040000 | PA      | $190158291.16 | 15.99%            | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-877.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-34                                                        | FANNIE MAE FNR 2003 34 A1                               | CUSIP: 31393CEY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34779 | PA      | $35133.46     | 0.00%             | 2043-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                                 | ROMARK CLO LTD RMRK 2021 4A A1R 144A                    | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2600000 | PA      | $2602742.61   | 0.22%             | 2034-07-10      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.40694 07/06/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2037.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-1869.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.45100 05/27/25-25Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-970091.28   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES 2007-3                                       | CITICORP MORTGAGE SECURITIES, CMSI 2007 3 1A1           | CUSIP: 17312FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23549 | PA      | $20407.53     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                              | HUNGARY SR UNSECURED 144A 09/35 6                       | CUSIP: 445545AW6<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |      400000 | PA      | $406528.57    | 0.03%             | 2035-09-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                            | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A1                 | CUSIP: 12669GKF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24800 | PA      | $23505.12     | 0.00%             | 2035-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                  | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A      | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1748186 | PA      | $2315348.48   | 0.19%             | 2053-07-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | YI4360438 NIGERIA OMO BILL                              | CUSIP: 990ACHTT6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    59900000 | PA      | $37762.86     | 0.00%             | 2027-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XVI DAC 16A                                                   | HARVEST CLO HARVT 16A AR3 144A                          | CUSIP: ACI354S05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2300000 | PA      | $2656729.90   | 0.22%             | 2038-10-15      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUXL 30Y BND JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |           6 | NC      | $-9160.99     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                                       | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1        | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18072 | PA      | $17458.36     | 0.00%             | 2045-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/48 3                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1600000 | PA      | $1180312.50   | 0.10%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-1691512.88  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.50000 09/16/26-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $238477.74    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/36 4.125                             | CUSIP: 91282CPZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      700000 | PA      | $689117.18    | 0.06%             | 2036-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                            | BULGARIA SR UNSECURED REGS 07/45 4.125                  | CUSIP: ACI2YSLY5<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     1400000 | PA      | $1516519.41   | 0.13%             | 2045-07-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $50838.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2233.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                      | GSAMP TRUST GSAMP 2007 NC1 A1                           | CUSIP: 3622MGAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      956724 | PA      | $506181.18    | 0.04%             | 2046-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                            | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9128 | PA      | $8834.83      | 0.00%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-24                                                 | FANNIE MAE FNR 2025 24 FB                               | CUSIP: 3136BVSA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2516932 | PA      | $2528958.12   | 0.21%             | 2055-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1219.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260506                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1075.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | KSA SUKUK LTD SR UNSECURED 144A 10/28 5.268             | CUSIP: 48266XAF2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | KY        |      800000 | PA      | $810057.60    | 0.07%             | 2028-10-25      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.12982 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1378.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $3887.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $5116.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-178490.07   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0255 G2 03/55 FIXED 3.5                  | CUSIP: 3618N5H93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1000000 | PA      | $918146.68    | 0.08%             | 2055-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                          | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A              | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48339 | PA      | $43231.03     | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-67417.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H062651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34800000 | PA      | $36066000.34  | 3.03%             | 2054-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-315.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RA4542 FR 02/51 FIXED 2.5             | CUSIP: 3133KLBK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      887727 | PA      | $749885.61    | 0.06%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $67.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                  | LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR         | CUSIP: ACI27Z980<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $273206.69    | 0.02%             | 2027-09-27      | Floating      | 8.50%                 | 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        |      487631 | PA      | $466158.08    | 0.04%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUND OPTION  MAY26C 128 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -11 | NC      | $-1398.58     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 11/29 VAR                   | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2192081.33   | 0.18%             | 2029-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1000000 | NC      | $-892.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/49 3                                 | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      250000 | PA      | $182666.02    | 0.02%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.98808 06/30/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $140193.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-7424.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $525.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 12/60 2.78                | CUSIP: 715638DQ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     1000000 | PA      | $529850.00    | 0.04%             | 2060-12-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                                   | FREDDIE MAC FHR 5511 FB                                 | CUSIP: 3137HKKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2471046 | PA      | $2491708.51   | 0.21%             | 2055-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                           | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      503000 | PA      | $486114.72    | 0.04%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/34 1 | CUSIP: ACI1KDG39<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     2000000 | PA      | $1039092.58   | 0.09%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2004-68                                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 68 ZC           | CUSIP: 38374HVU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      759812 | PA      | $763307.49    | 0.06%             | 2034-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT DKK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-53172.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260529                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $385266.68    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290502                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $22664.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-2987.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $78394.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1476.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1            | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          14 | PA      | $1.68         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                                          | NEW ZEALAND GOVERNMENT UNSECURED 05/31 1.5              | CUSIP: ACI1FN6F7<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     1000000 | PA      | $502709.47    | 0.04%             | 2031-05-15      | Fixed         | 1.50%                 | 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      | $-79787.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                | CHINA GOVERNMENT BOND BONDS 10/51 3.53                  | CUSIP: ACI217GZ0<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    47500000 | PA      | $8415878.96   | 0.71%             | 2051-10-18      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                                 | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A AR 144A          | CUSIP: ACI2VQ1V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      950026 | PA      | $1096793.88   | 0.09%             | 2033-08-15      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20270121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $82557.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.32500 07/06/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $756628.64    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD6416 FN 04/55 FIXED 6.5                     | CUSIP: 3140B7DW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2575875 | PA      | $2665364.50   | 0.22%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1477.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4375.82     | -0.00%            |  |  |  | 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        |       72649 | PA      | $70938.83     | 0.01%             | 2035-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-48                                                        | FANNIE MAE FNR 2006 48 TF                               | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18409 | PA      | $18276.06     | 0.00%             | 2036-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2005-2                                         | BELLA VISTA MORTGAGE TRUST BVMBS 2005 2 2A1             | CUSIP: 07820QCD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8238 | PA      | $5236.30      | 0.00%             | 2045-05-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $433.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2002-2                                 | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 A            | CUSIP: 759950AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         265 | PA      | $256.59       | 0.00%             | 2032-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-53597.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $155468.00    | 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        |      722172 | PA      | $722927.10    | 0.06%             | 2032-10-13      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $5171.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $17538.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 01/32 0.125                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      821240 | PA      | $756047.83    | 0.06%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $198770.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-56895.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $16889.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-10785.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-3                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 3 3A2         | CUSIP: 07384MUR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10639 | PA      | $10150.90     | 0.00%             | 2033-05-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $5129.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260626                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $36348.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-1210.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 01/33 4.5                  | CUSIP: 46514BRA7<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      600000 | PA      | $577207.21    | 0.05%             | 2033-01-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBH7 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     4201000 | NC      | $12523.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A     | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      526720 | PA      | $439211.37    | 0.04%             | 2056-07-25      | Variable      | 2.50%                 | 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        |      195738 | PA      | $79628.64     | 0.01%             | 2036-02-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.50000 09/16/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-2089117.41  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 06/18/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $188804.01    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 07/46 11.5                   | CUSIP: ACI2Q1VT3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    75900000 | PA      | $18310.50     | 0.00%             | 2046-07-25      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-4012.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $80081.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-5127.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $13161.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                  | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/55 6.375      | CUSIP: 80414L3F0<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |      800000 | PA      | $797190.43    | 0.07%             | 2055-06-02      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $400016.37    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                             | EGYPT TREASURY BILL BILLS 10/26 0.00000                 | CUSIP: ACI3187G8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      850000 | PA      | $13667.49     | 0.00%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AUSTRALIAN GOVERNMENT FINANCING AUTHORITY                           | SOUTH AUST GOVT FIN AUTH LOCAL GOVT G REGS 05/35 4.75   | CUSIP: ACI2ZFSY5<br>LEI: 254900TDPILDN6AUAD69 | Long             | DBT              | MUN               | AU        |     3000000 | PA      | $1953110.99   | 0.16%             | 2035-05-24      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $4113.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $5728.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-300.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1893.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.24360 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-12036.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A5                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A5 A9          | CUSIP: 59020UYU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39115 | PA      | $38275.44     | 0.00%             | 2035-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $459.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2025-4A                                     | ROMARK CREDIT FUNDING I, LTD. RCF 2025 4A A 144A        | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1800000 | PA      | $1809705.60   | 0.15%             | 2043-07-29      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      559655 | PA      | $528219.06    | 0.04%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4740.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.00000 03/19/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $253990.15    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1449.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                   | BANK OF NOVA SCOTIA COVERED REGS 09/29 0.01             | CUSIP: ACI20BTZ8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     1900000 | PA      | $1981831.33   | 0.17%             | 2029-09-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-2                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 2 M3          | CUSIP: 68389FHD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1743000 | PA      | $1539462.40   | 0.13%             | 2035-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260706                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-793.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS SEK 2.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |           1 | NC      | $-220649.35   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC SR UNSECURED 08/27 VAR                | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      900000 | PA      | $904444.94    | 0.08%             | 2027-08-14      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260511                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-3139.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                         | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A        | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25665 | PA      | $5326.96      | 0.00%             | 2036-12-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.8468* 12/02/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2440.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-17633.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $152.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $412.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-7                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2005 7 4A3          | CUSIP: 05946XU92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      104571 | PA      | $102007.82    | 0.01%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-6093.96     | -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        |     5466490 | PA      | $4754145.93   | 0.40%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-16217.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-206.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-570.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-54296.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 02/34 3.75                    | CUSIP: ACI23CJP6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      400000 | PA      | $400183.09    | 0.03%             | 2034-02-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1         | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13870 | PA      | $13080.84     | 0.00%             | 2033-02-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $9416.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $463.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $690962.29    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                   | BCAP LLC TRUST BCAP 2011 RR4 8A1 144A                   | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      496903 | PA      | $181645.24    | 0.02%             | 2036-02-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                              | FANNIEMAE WHOLE LOAN FNW 2004 W8 2A                     | CUSIP: 31394ALL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1686 | PA      | $1715.41      | 0.00%             | 2044-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-364.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/44 4.125                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3375000 | PA      | $3062878.41   | 0.26%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                       | EUROPEAN UNION SR UNSECURED REGS 10/45 3.75             | CUSIP: ACI2X44W2<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     5500000 | PA      | $6157141.31   | 0.52%             | 2045-10-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR9                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR9 A1         | CUSIP: 92922FWE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67908 | PA      | $65127.00     | 0.01%             | 2034-08-25      | Floating      | 5.18%                 | 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      | $118865.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-117797.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-7046.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                 | VMED O2 UK FINANCING I SR SECURED 144A 04/32 5.625      | CUSIP: ACI2NJDT7<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     3100000 | PA      | $3302389.66   | 0.28%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260624                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1232.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-36181.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $68492.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2367.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $22918.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $49610.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                  | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A1B1       | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20356 | PA      | $16997.64     | 0.00%             | 2036-10-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/2.00000 06/18/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-391844.53   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 06/51 0.7                   | CUSIP: BP5D0MII4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   200000000 | PA      | $657597.43    | 0.06%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.2500 06/21/23-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-37687.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 01/31 VAR          | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1600000 | PA      | $1626128.53   | 0.14%             | 2031-01-28      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 3A1         | CUSIP: 05949CCD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32776 | PA      | $27839.63     | 0.00%             | 2035-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                   | BCAP LLC TRUST BCAP 2011 RR5 7A1 144A                   | CUSIP: 05534AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100263 | PA      | $99968.37     | 0.01%             | 2047-01-26      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.0593* 03/13/26-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3876.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $2903.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 1A1        | CUSIP: 92925VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      148015 | PA      | $133254.98    | 0.01%             | 2037-02-25      | Floating      | 4.12%                 | 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      | $-47071.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                   | HCA INC DISC COML PAPER 05/26 ZCP                       | CUSIP: 40412DEB1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     4800000 | PA      | $4776088.80   | 0.40%             | 2026-05-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CLP SOLD USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-66520.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-21879.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA1 1A1        | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76817 | PA      | $72510.42     | 0.01%             | 2046-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                             | MALAYSIA GOVERNMENT BONDS 04/37 4.762                   | CUSIP: ACI0TJ8B0<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     1700000 | PA      | $456791.55    | 0.04%             | 2037-04-07      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260521                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-69105.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $15882.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MRGT PASS THRU CER 2003-1                                      | GREENPOINT MORTGAGE PASS THROU GMSI 2003 1 A1           | CUSIP: 395387AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5141 | PA      | $5077.49      | 0.00%             | 2033-10-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/0.75000 09/17/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-26699.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2744.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $-24310.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-974.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $8827.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-64027.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-5332.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260605                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $390.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 5YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         368 | NC      | $-587087.57   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                          | KOREA TREASURY BOND BONDS 06/30 1.375                   | CUSIP: ACI1LSN29<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |    77760000 | PA      | $46311.79     | 0.00%             | 2030-06-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.72250 12/01/30-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $46124.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                                    | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 3A1        | CUSIP: 45660LZM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140052 | PA      | $106239.81    | 0.01%             | 2035-11-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2025-4 DAC 25-4A                                      | GROSVENOR PLACE CLO BV GROSV 2025 4A A 144A             | CUSIP: ACI379GR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      800000 | PA      | $924657.52    | 0.08%             | 2039-08-15      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260729                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $5058.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                           | BEAR STEARNS ALT A TRUST BALTA 2006 4 21A1              | CUSIP: 073871AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33766 | PA      | $20592.53     | 0.00%             | 2036-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $164.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                       | INTESA SANPAOLO SPA 144A 11/33 VAR                      | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     1000000 | PA      | $1152808.73   | 0.10%             | 2033-11-21      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2006-A5                                  | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A5 1A4        | CUSIP: 466284AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      909432 | PA      | $852651.03    | 0.07%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A        | CUSIP: 92925DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      187726 | PA      | $174499.79    | 0.01%             | 2046-12-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-13008.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0619 G2 09/55 FIXED 3.5                  | CUSIP: 3618N5VM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1288811 | PA      | $1183015.87   | 0.10%             | 2055-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $5323.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-6928.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.75000 09/16/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-2882463.74  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                      | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A4          | CUSIP: 61752UAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      903049 | PA      | $462077.89    | 0.04%             | 2037-04-25      | Floating      | 4.14%                 | 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        |     3024477 | PA      | $2703954.08   | 0.23%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260608                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $49656.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5548                                                   | FREDDIE MAC FHR 5548 FA                                 | CUSIP: 3137HLJR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2747713 | PA      | $2776402.02   | 0.23%             | 2055-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $120.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1        | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       93395 | PA      | $89671.84     | 0.01%             | 2045-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.25000 03/18/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-406013.47   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-57765.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260521                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2119.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCULE 6A                                                                  | SCULPTOR EUROPEAN CLO SCULE 6A AR 144A                  | CUSIP: ACI1ZPWK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1900000 | PA      | $2197762.51   | 0.18%             | 2034-10-15      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 02/30 5.375                | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     2400000 | PA      | $2438456.93   | 0.20%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $625.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA HOUSING FINANCE CORP (KHFC)                                         | KOREA HOUSING FINANCE CO COVERED REGS 03/31 2.696       | CUSIP: ACI38Q631<br>LEI: 9884002AAOBT56QW9B80 | Long             | DBT              | CORP              | KR        |     3000000 | PA      | $3390397.66   | 0.29%             | 2031-03-04      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875              | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   217000000 | PA      | $12603536.97  | 1.06%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-325532.44   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                             | THAILAND GOVERNMENT BOND SR UNSECURED 06/45 2.98        | CUSIP: ACI2S0HH5<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    85862000 | PA      | $2509263.58   | 0.21%             | 2045-06-17      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-83.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-12701.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $9817.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX MAIN45 5Y ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $-594494.93   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/45 4.875                             | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      315000 | PA      | $314040.23    | 0.03%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-74199.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -2207516 | NC      | $-1763.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-30514.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC SR UNSECURED REGS 05/33 VAR           | CUSIP: ACI2G3031<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     1800000 | PA      | $2179798.79   | 0.18%             | 2033-05-23      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-7210.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                                    | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A1 144A   | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       86001 | PA      | $57553.75     | 0.00%             | 2037-07-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCJ2 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      491484 | NC      | $1568.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $62778.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                | PACIFICORP 1ST MORTGAGE 02/31 5.3                       | CUSIP: 695114DC9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1013963.61   | 0.09%             | 2031-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-50108.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED REGS 01/32 2                       | CUSIP: ACI1J8690<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      600000 | PA      | $576126.61    | 0.05%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-11266.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $177455.40    | 0.01%             |  |  |  | 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      | $103438.05    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.59500 08/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $9900.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       76988 | PA      | $80576.41     | 0.01%             | 2034-11-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR5 3A        | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      246089 | PA      | $153756.45    | 0.01%             | 2046-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-4812.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                             | MALAYSIA GOVERNMENT BONDS 04/31 2.632                   | CUSIP: ACI1S5B09<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     3700000 | PA      | $881886.64    | 0.07%             | 2031-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260528                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $3628.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                             | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      632578 | PA      | $631610.83    | 0.05%             | 2037-01-17      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-4986.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1804.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2         | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14231 | PA      | $13843.84     | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                   | THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1           | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      124353 | PA      | $122643.96    | 0.01%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.56436 06/30/26-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2520.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $5222.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                               | BANK OF AMERICA CORP SR UNSECURED 01/36 VAR             | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3468457.44   | 0.29%             | 2036-01-24      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                               | PHILLIPS 66                                             | CUSIP: 71855BD17<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |      850000 | PA      | $849906.08    | 0.07%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                             | JONES LANG LASALLE FIN BV                               | CUSIP: 48002BD90<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |     1050000 | PA      | $1048952.21   | 0.09%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CNY R 1.50000 03/17/27-5Y CBK                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |           1 | NC      | $-39272.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260603                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $360.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-56302.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0681 G2 10/55 FIXED 3                    | CUSIP: 3618N5XK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3261879 | PA      | $2916196.58   | 0.25%             | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-93.48       | -0.00%            |  |  |  | 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        |     9756456 | PA      | $9683456.83   | 0.81%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                          | MORGAN STANLEY PVT BANK SR UNSECURED 07/31 VAR          | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2293316.98   | 0.19%             | 2031-07-18      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-19633.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-4714.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-3                                        | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5         | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1330756 | PA      | $1119936.75   | 0.09%             | 2047-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                | BUONI POLIENNALI DEL TES SR UNSECURED REGS 04/28 3.4    | CUSIP: ACI2BGT93<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    11500000 | PA      | $13431314.76  | 1.13%             | 2028-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $4327.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260713                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1045.93     | -0.00%            |  |  |  | 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      | $-51585.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260914                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $22874.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1018.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260513                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1752.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260810                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3207.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-42386.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                 | VMED O2 UK FINANCING I SR SECURED 144A 01/33 6.75       | CUSIP: 92858RAE0<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      700000 | PA      | $626353.21    | 0.05%             | 2033-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G 12/32 4.25          | CUSIP: ACI06FV19<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     1500000 | PA      | $974371.80    | 0.08%             | 2032-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF JAPAN INC (DBJ)                                       | DEVELOPMENT BK OF JAPAN SR UNSECURED 144A 08/27 4       | CUSIP: 25159MBP1<br>LEI: 5493001HGBABMWFZUI25 | Long             | DBT              | CORP              | JP        |     1800000 | PA      | $1798432.22   | 0.15%             | 2027-08-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-8690.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                       | MFRA TRUST MFRA 2020 NQM2 A1 144A                       | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      281023 | PA      | $276344.73    | 0.02%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-728.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY7552 FN 07/54 FIXED 6                       | CUSIP: 3140NQMA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1339158 | PA      | $1390330.18   | 0.12%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5563                                                   | FREDDIE MAC FHR 5563 FV                                 | CUSIP: 3137HMNV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2301094 | PA      | $2320879.30   | 0.20%             | 2055-08-25      | Floating      | 4.64%                 | 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      | $14011.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-468.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $34158.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A1        | CUSIP: 466285AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7918 | PA      | $3321.82      | 0.00%             | 2036-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-991.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $13375.82     | 0.00%             |  |  |  | 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      | $121640.19    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA4 A1        | CUSIP: 02150DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      126377 | PA      | $116145.62    | 0.01%             | 2047-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.53200 08/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $21395.14     | 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        |     6000000 | PA      | $3295781.64   | 0.28%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 5A1      | CUSIP: 02152AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      295712 | PA      | $129560.95    | 0.01%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 03/34 5.5                  | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     1300000 | PA      | $1318428.90   | 0.11%             | 2034-03-12      | Fixed         | 5.50%                 | 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        |     3362744 | PA      | $2924541.48   | 0.25%             | 2051-11-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/28 2.9         | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      300000 | PA      | $287784.76    | 0.02%             | 2028-02-16      | Fixed         | 2.90%                 | 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        |     1100000 | PA      | $1175416.45   | 0.10%             | 2028-09-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1212.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $9321.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1       | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       64528 | PA      | $60096.77     | 0.01%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-46496.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 2A        | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       74471 | PA      | $62235.91     | 0.01%             | 2046-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                 | JABIL INC                                               | CUSIP: 46652MED3<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1889569.58   | 0.16%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-8617.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA INVESTMENT HOLDINGS LIMITED                                  | VIRGIN MEDIA INV HLDGS LTD 2025 GBP TERM LOAN           | CUSIP: BA000VZK6<br>LEI: 549300ZM1VNUHR0FX008 | Long             | LON              | CORP              | GB        |      300000 | PA      | $381196.93    | 0.03%             | 2030-08-01      | Floating      | 6.98%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $468.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG5960 FR 07/53 FIXED 5.5             | CUSIP: 3133C6TR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      709857 | PA      | $715651.17    | 0.06%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                       | ELEVANCE HEALTH INC                                     | CUSIP: 28621BD10<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      150000 | PA      | $149983.37    | 0.01%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                           | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1              | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18134 | PA      | $13699.18     | 0.00%             | 2035-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                          | MORGAN STANLEY PVT BANK SR UNSECURED 07/28 VAR          | CUSIP: 61776NVE0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2300425.78   | 0.19%             | 2028-07-06      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 1A1         | CUSIP: 68403FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      960733 | PA      | $693348.89    | 0.06%             | 2037-04-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-65932.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $3542.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5166 FN 10/53 FIXED 6                       | CUSIP: 31418EW48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62716 | PA      | $64165.74     | 0.01%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST 2004-11                                                   | IMPAC CMB TRUST IMM 2004 11 2A1                         | CUSIP: 45254NMB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7131 | PA      | $6776.66      | 0.00%             | 2035-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-956.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 1999-37                                                        | FANNIE MAE FNR 1999 37 F                                | CUSIP: 31359V6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         269 | PA      | $268.51       | 0.00%             | 2029-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BOBL FUTURE  JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -281 | NC      | $703270.79    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX9880 FR 04/55 FIXED 6.5             | CUSIP: 31426G6S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1993839 | PA      | $2063106.41   | 0.17%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                      | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          10 | PA      | $1.03         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $125120.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-7555.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.07585 03/13/26-20Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6125.84      | 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        |     1816906 | PA      | $1649125.11   | 0.14%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 03/30 5.25                    | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      600000 | PA      | $703975.20    | 0.06%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260511                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1571.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-SCHATZ FUT   JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         153 | NC      | $-110506.12   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX3                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX3 A1        | CUSIP: 45670AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165895 | PA      | $157216.92    | 0.01%             | 2037-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $47677.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM9 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A          | CUSIP: 673921AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1075415 | PA      | $1084140.25   | 0.09%             | 2063-10-25      | Fixed         | 7.16%                 | 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        |     2700000 | PA      | $2655043.22   | 0.22%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 02/33 13.25                  | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 18263000000 | PA      | $4896531.20   | 0.41%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED REGS 01/35 5.625  | CUSIP: ACI2SZZZ8<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     2200000 | PA      | $2278835.99   | 0.19%             | 2035-01-13      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                                                | AMETEK INC DISC COML                                    | CUSIP: 03111CD91<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |      550000 | PA      | $549451.16    | 0.05%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5115.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1          | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19244 | PA      | $16473.96     | 0.00%             | 2035-09-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 03/58 12                     | CUSIP: ACI2Z8HT4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  3571600000 | PA      | $877740.64    | 0.07%             | 2058-03-13      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                       | CONSTELLATION ENERGY                                    | CUSIP: 21038QDQ4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |      700000 | PA      | $697926.11    | 0.06%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM3369 FN 01/48 FIXED VAR                     | CUSIP: 3140J7W76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16574 | PA      | $15882.25     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | 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      | $-20783.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                           | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1               | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      230326 | PA      | $97036.20     | 0.01%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 01/29 VAR                | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      400000 | PA      | $395502.87    | 0.03%             | 2029-01-12      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-178693.13   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-281.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED REGS 07/31 2.124                   | CUSIP: ACI1D66B5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      200000 | PA      | $198600.50    | 0.02%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS SGD SIBSORA/2.00000 09/16/26-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |           1 | NC      | $175788.91    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                               | KUWAIT INTL BOND SR UNSECURED 144A 10/35 4.652          | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     1900000 | PA      | $1827350.86   | 0.15%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $9058.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $18919.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                          | FREDDIE MAC FHR 2395 FT                                 | CUSIP: 31339LMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5151 | PA      | $5145.07      | 0.00%             | 2031-12-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $30020.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $8530.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-24624.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-OAT FUTURE   JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -190 | NC      | $826882.96    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $-10011.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/29 1 | CUSIP: ACI17SZK2<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      610000 | PA      | $677923.49    | 0.06%             | 2029-04-30      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-17463.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 806506 FN 10/44 FLOATING VAR                  | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13367 | PA      | $13529.88     | 0.00%             | 2044-10-01      | Floating      | 5.06%                 | 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        |     5700000 | PA      | $3158740.73   | 0.27%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.42145 07/06/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2495.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                           | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR         | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     2350000 | PA      | $2425415.05   | 0.20%             | 2029-01-10      | Floating      | 6.53%                 | 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        |     1200000 | PA      | $1345270.95   | 0.11%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $786.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-125310.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                            | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 1A1            | CUSIP: 466247XE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      874809 | PA      | $542213.31    | 0.05%             | 2035-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-11193.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/26 4.542       | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      600000 | PA      | $599224.77    | 0.05%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-5748.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                      | ROYAL BANK OF CANADA SR UNSECURED 08/29 VAR             | CUSIP: 78017DAK4<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     2100000 | PA      | $2100469.12   | 0.18%             | 2029-08-06      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-8837.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.11518 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $13025.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                          | KOREA TREASURY BOND BONDS 12/28 2.375                   | CUSIP: BGGL77II0<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |   227450000 | PA      | $145185.46    | 0.01%             | 2028-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-15546.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                    | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1           | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      410572 | PA      | $33165.77     | 0.00%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV6                                        | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A        | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4525937 | PA      | $3936157.43   | 0.33%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      567000 | NC      | $862.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.64000 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $33802.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $11319.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                      | JYSKE REALKREDIT A/S COVERED 10/50 1                    | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |       35594 | PA      | $4065.16      | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.70000 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $23383.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2007-A                                   | POPULAR ABS MORTGAGE PASS THRO POPLR 2007 A A3          | CUSIP: 73316NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1143405 | PA      | $1079364.00   | 0.09%             | 2047-06-25      | Floating      | 4.10%                 | 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      | $17959.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26510000 | PA      | $25560553.63  | 2.15%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 544861 FN 12/36 FLOATING VAR                  | CUSIP: 31385HJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1877 | PA      | $1900.64      | 0.00%             | 2036-12-01      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-51108.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2031.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-1                                       | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 1 1A4           | CUSIP: 65538PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      123912 | PA      | $116300.52    | 0.01%             | 2047-03-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-3614.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $5110.12      | 0.00%             |  |  |  | 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      | $-44512.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-708.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $318.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX1                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3        | CUSIP: 45668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      602569 | PA      | $398590.06    | 0.03%             | 2037-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A1        | CUSIP: 74922EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      279173 | PA      | $229324.55    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | 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      | $32781.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR1                                       | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2         | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       51025 | PA      | $45627.84     | 0.00%             | 2045-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                                            | COMMONWEALTH BANK AUST COVERED 144A 01/30 4.971         | CUSIP: 202712BW4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     5900000 | PA      | $6074713.63   | 0.51%             | 2030-01-22      | Fixed         | 4.97%                 | 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        |     1400000 | PA      | $1394428.88   | 0.12%             | 2035-12-03      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-468090.87   | -0.04%            |  |  |  | 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        |     6700000 | PA      | $3732849.22   | 0.31%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300516                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $10767.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A        | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21668 | PA      | $21239.80     | 0.00%             | 2045-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB8974 FN 07/54 FIXED 6                       | CUSIP: 3140AJ6L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      767732 | PA      | $785446.24    | 0.07%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $103466.00    | 0.01%             | 2056-04-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                       | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A4         | CUSIP: 761119AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      658478 | PA      | $171935.31    | 0.01%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                           | PHILIP MORRIS INTL INC SR UNSECURED 06/32 3.25          | CUSIP: ACI2XLY76<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1573536.66   | 0.13%             | 2032-06-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 10/29 VAR          | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2197216.75   | 0.18%             | 2029-10-24      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                 | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5    | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     5300000 | PA      | $5334450.00   | 0.45%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $15591.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $229.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                              | ING GROEP NV SR UNSECURED 03/36 VAR                     | CUSIP: 456837BS1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      800000 | PA      | $809636.78    | 0.07%             | 2036-03-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                        | FAIRFAX FINL HLDGS LTD SR UNSECURED REGS 03/28 2.75     | CUSIP: ACI11PCM5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |      900000 | PA      | $1020184.14   | 0.09%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260720                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |           1 | NC      | $-31188.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260630                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1044.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A         | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18451 | PA      | $17064.15     | 0.00%             | 2034-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2007-HY4                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 1A1        | CUSIP: 933636AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      378807 | PA      | $345667.97    | 0.03%             | 2037-04-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR2                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR2 2A1        | CUSIP: 92925CDS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      432032 | PA      | $389723.88    | 0.03%             | 2036-03-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                           | SANDS CHINA LTD SR UNSECURED 08/28 5.65                 | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     1500000 | PA      | $1512177.00   | 0.13%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-6                                                       | IMPAC CMB TRUST IMM 2004 6 1A2                          | CUSIP: 45254NKD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11371 | PA      | $11387.93     | 0.00%             | 2034-10-25      | Floating      | 4.57%                 | 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      | $-6208.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 09/55 3.2                   | CUSIP: ACI30Y3M3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   240000000 | PA      | $1389959.99   | 0.12%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-23034.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.35000 12/15/27-1Y (GRN) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $236842.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                       | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A1        | CUSIP: 161630AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24473 | PA      | $24686.72     | 0.00%             | 2037-02-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20270120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-70799.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4            | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     5700000 | PA      | $1556243.00   | 0.13%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.24510 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-28595.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR FUT OPTN  MAY26C 113 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -19 | NC      | $-2528.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $825.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAREHOUSES DE PAUW SCA                                                    | WAREHOUSES DE PAUW SCA SR UNSECURED REGS 01/31 3.125    | CUSIP: ACI30ZY04<br>LEI: 549300HWDYC5JXC85138 | Long             | DBT              | CORP              | BE        |     1700000 | PA      | $1895968.43   | 0.16%             | 2031-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $13364.99     | 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        |      856922 | PA      | $796137.48    | 0.07%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1621.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ4297 FR 09/54 FIXED 6               | CUSIP: 3133CUX27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34313 | PA      | $35045.54     | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.00000 09/16/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-215684.97   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-86.83       | -0.00%            |  |  |  | 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      | $12181.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOCTORS CO/THE                                                            | DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5    | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |      400000 | PA      | $364542.44    | 0.03%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                       | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A         | CUSIP: ACI1W43B2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      604034 | PA      | $699040.56    | 0.06%             | 2033-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM1                                              | ACE SECURITIES CORP. ACE 2006 FM1 A1A                   | CUSIP: 00441VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2139483 | PA      | $706908.40    | 0.06%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1082.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1515.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $471.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $37100.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 09/26 5                       | CUSIP: ACI28TF11<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       73000 | PA      | $85120.43     | 0.01%             | 2026-09-27      | Fixed         | 5.00%                 | 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        |      941570 | PA      | $905113.14    | 0.08%             | 2059-11-25      | Variable      | 2.75%                 | 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      | $-184200.66   | -0.02%            |  |  |  | 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        |      857795 | PA      | $580311.08    | 0.05%             | 2035-12-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.2500 03/15/23-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-45481.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 07/26 0.00000                             | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      294000 | PA      | $290741.13    | 0.02%             | 2026-07-21      | None          | 0.00%                 | 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      | $-2703.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-15521.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-292.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $57.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $16393.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $21847.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                         | BROWN + BROWN INC SR UNSECURED 06/55 6.25               | CUSIP: 115236AN1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |      700000 | PA      | $698680.31    | 0.06%             | 2055-06-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                          | KOREA TREASURY BOND BONDS 06/28 2.625                   | CUSIP: ACI12HKN1<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 18630300000 | PA      | $12041062.17  | 1.01%             | 2028-06-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 12/20/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $768798.59    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 04/29 3.875                             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2373912 | PA      | $2561689.58   | 0.22%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO110626                              | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   841000000 | PA      | $584564.62    | 0.05%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                        | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3492461 | PA      | $3373499.34   | 0.28%             | 2036-01-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-10                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 10 2A1A       | CUSIP: 41161PTN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      134931 | PA      | $85273.79     | 0.01%             | 2035-11-19      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260508                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $473.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $5411.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                      | EUROSAIL PLC ESAIL 2007 3X A3A REGS                     | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      197077 | PA      | $260864.36    | 0.02%             | 2045-06-13      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BR1297 FN 02/51 FIXED 2.5                     | CUSIP: 3140KYNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62467 | PA      | $52980.36     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $53835.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUT+5.89/0.0000 03/17/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-682579.70   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $37431.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-818.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4875.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                    | REALKREDIT DANMARK COVERED REGS 10/53 2                 | CUSIP: ACI22BWW9<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.15         | 0.00%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 238575 FN 03/33 FLOATING VAR                  | CUSIP: 31370Q6L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8656 | PA      | $8582.45      | 0.00%             | 2033-03-01      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $7821.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                             | THAILAND GOVERNMENT BOND SR UNSECURED 06/40 2.7         | CUSIP: ACI2SCV91<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   202500000 | PA      | $6046387.20   | 0.51%             | 2040-06-17      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.70000 01/20/31-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $28390.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-3084.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.50000 03/18/26-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $267929.08    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-18253.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1645.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2020-4 DAC 20-4A                                             | OCP EURO CLO OCPE 2020 4A ARR 144A                      | CUSIP: ACI2YYN53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4000000 | PA      | $4621426.23   | 0.39%             | 2039-10-20      | Floating      | 3.26%                 | 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      | $-398552.22   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $25227.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7197 FN 07/53 FIXED 5.5                     | CUSIP: 3140QS7K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4735339 | PA      | $4773992.71   | 0.40%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW ZEALAND                                                       | BANK OF NEW ZEALAND COVERED REGS 12/28 3.7075           | CUSIP: ACI2GWZD7<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |     3000000 | PA      | $3531541.40   | 0.30%             | 2028-12-20      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.97500 03/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-10835.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-68688.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3A       | CUSIP: 17312GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      490484 | PA      | $347323.28    | 0.03%             | 2045-07-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $253848.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| QATARENERGY                                                               | QATAR ENERGY SR UNSECURED 144A 07/31 2.25               | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |      600000 | PA      | $528861.60    | 0.04%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-632.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 10/29 VAR            | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1458288.05   | 0.12%             | 2029-10-23      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 11/31 VAR                   | CUSIP: ACI34TWH9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      900000 | PA      | $1013819.24   | 0.09%             | 2031-11-07      | Floating      | 3.15%                 | 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        |    13900000 | PA      | $15903405.60  | 1.34%             | 2030-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-363832.15   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC JR SUBORDINA 12/99 VAR                     | CUSIP: ACI2DC109<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $278948.80    | 0.02%             | 2028-09-15      | Floating      | 9.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                             | BOEING CO/THE SR UNSECURED 05/27 6.259                  | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      700000 | PA      | $712282.74    | 0.06%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-176.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED REGS 08/35 6.85           | CUSIP: P78024BA6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    27380000 | PA      | $8033900.51   | 0.68%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750S451 PIMCO FXVAN PUT EUR CZK 23.90000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     1234000 | NC      | $96.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-8698.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260520                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $24910.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/17/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $64167.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                  | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/60 4.8        | CUSIP: 716743AS8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |      400000 | PA      | $348775.92    | 0.03%             | 2060-04-21      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA7768 FN 02/54 FIXED 6                       | CUSIP: 3140A8T28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      531532 | PA      | $544201.60    | 0.05%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1194.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE 36 CLO LTD                                                        | VENTURE CDO LTD VENTR 2019 36A A1AR 144A                | CUSIP: 92332LAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      972517 | PA      | $973689.26    | 0.08%             | 2032-04-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 4.35000 01/20/31-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-21213.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-AR1                                     | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR1 4A          | CUSIP: 65535VSE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4544 | PA      | $4.80         | 0.00%             | 2036-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 08/32 1 | CUSIP: ACI1VHWN6<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     4900000 | PA      | $2701054.93   | 0.23%             | 2032-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $108.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260624                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2516.54      | 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      | $-385.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-19725.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-751.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-5712.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2007-2                                        | MLCC MORTGAGE INVESTORS INC MLCC 2007 2 2A1             | CUSIP: 59024WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56016 | PA      | $53771.60     | 0.00%             | 2037-06-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-72029.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $109155.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2024-NQM17 TRUST                                                      | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM17 A1 144A         | CUSIP: 673911AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2502479 | PA      | $2515964.11   | 0.21%             | 2064-11-25      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-9                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 9 1A1          | CUSIP: 86364JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      117707 | PA      | $108422.69    | 0.01%             | 2037-10-25      | Floating      | 5.55%                 | 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      | $-4534.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-124895.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2021-2 DAC 21-2A                                         | CARLYLE EURO CLO CGMSE 2021 2A A1 144A                  | CUSIP: ACI20V184<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2400000 | PA      | $2773049.09   | 0.23%             | 2035-10-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-280657.46   | -0.02%            |  |  |  | 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      | $57108.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $135814.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HARVEST US CLO 2023-1 LTD                                                 | HARVEST US CLO LTD HARUS 2023 1A A1R 144A               | CUSIP: 417923AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     1100000 | PA      | $1099182.88   | 0.09%             | 2037-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $9954.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $2321.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-1357.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM-31.5 GLM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $2873.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2A        | CUSIP: 59024LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32508 | PA      | $9014.99      | 0.00%             | 2037-02-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-56106.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-12569.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 3A1A       | CUSIP: 41161PKD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11980 | PA      | $11464.49     | 0.00%             | 2035-01-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                           | SANTANDER UK GROUP HLDGS SR UNSECURED 09/29 VAR         | CUSIP: 80281LAW5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     3900000 | PA      | $3903327.17   | 0.33%             | 2029-09-22      | Floating      | 4.71%                 | 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        |     1038345 | PA      | $1007416.94   | 0.08%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                          | PROJECT CASHMERE CLASS A1 144A                          | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    16400000 | PA      | $11315183.04  | 0.95%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $648.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      304000 | PA      | $301270.46    | 0.03%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $8327.37      | 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        |     3426868 | PA      | $3298023.62   | 0.28%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H9 MORTGAGE TRUST                                              | CROSS MORTGAGE TRUST CROSS 2025 H9 A1 144A              | CUSIP: 227923AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2136809 | PA      | $2128944.47   | 0.18%             | 2070-11-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ0287 FR 07/54 FIXED 6               | CUSIP: 3133CQJ89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      357534 | PA      | $372786.28    | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $7219.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA NATIONAL OIL CORP (KNOC)                                            | KOREA NATIONAL OIL CORP SR UNSECURED 144A 09/29 4.25    | CUSIP: 50065LAL4<br>LEI: 988400ZTQ08W926ONT36 | Long             | DBT              | CORP              | KR        |     2000000 | PA      | $1994401.98   | 0.17%             | 2029-09-30      | Fixed         | 4.25%                 | 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        |     1700000 | PA      | $1718471.81   | 0.14%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.50000 09/17/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-430173.19   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     2312000 | NC      | $3518.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A       | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17781 | PA      | $17895.18     | 0.00%             | 2045-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| KONA SPC LTD                                                              | KONA SPC LTD COMPANY GUAR 144A 09/26 VAR                | CUSIP: ACI3000D0<br>LEI: 254900UKS4SVVOMZWX26 | Long             | DBT              | CORP              | KY        |     1000000 | PA      | $1163450.63   | 0.10%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| BARINGS EURO CLO 2025-1 DAC 25-1A                                         | BARINGS EURO CLO DAC BABSE 2025 1A A 144A               | CUSIP: ACI379GS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      700000 | PA      | $807544.12    | 0.07%             | 2039-08-15      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.50000 09/16/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-1244583.21  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A2       | CUSIP: 12668BE33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      352690 | PA      | $327349.85    | 0.03%             | 2046-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $12.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $47707.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      175000 | PA      | $128481.45    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12      | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      327868 | PA      | $101167.63    | 0.01%             | 2037-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1000000 | NC      | $-5223.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3605.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A        | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       47670 | PA      | $44911.70     | 0.00%             | 2036-03-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260611                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-5077.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-5                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2005 5 2A1          | CUSIP: 05946XE74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      243987 | PA      | $237625.21    | 0.02%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS KRW 2.75000 03/18/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |           1 | NC      | $-1262163.95  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-54045.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG / STAMFORD BRANCH                                                  | UBS AG STAMFORD CT SR UNSECURED 03/29 VAR               | CUSIP: 90261AAF9<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |     3000000 | PA      | $3003080.91   | 0.25%             | 2029-03-16      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $361045.38    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                               | FRANCE (GOVT OF) BONDS 144A REGS 02/29 2.75             | CUSIP: ACI2FJ6B3<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     5200000 | PA      | $5982172.17   | 0.50%             | 2029-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.58600 08/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $24084.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-199.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-77584.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-5505.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $3528.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BTP FUTURE   JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         726 | NC      | $-3752461.65  | -0.32%            |  |  |  | No            |                  1 | On Loan: No      |
| ITALY GOVT                                                                | BUONI POLIENNALI DEL TES SR UNSECURED REGS 10/27 2.7    | CUSIP: ACI2S4Q61<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     3800000 | PA      | $4384588.36   | 0.37%             | 2027-10-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-59026.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $4666.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1C      | CUSIP: 23243AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1049260 | PA      | $955704.79    | 0.08%             | 2046-09-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.25000 12/17/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-40262.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1587.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A        | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      440169 | PA      | $409778.38    | 0.03%             | 2046-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $11898.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260615                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1112.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $1659.89      | 0.00%             |  |  |  | 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      | $-178925.96   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 07/31 0.125                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3276153 | PA      | $3061991.40   | 0.26%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-29559.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5216 FN 12/53 FIXED 6                       | CUSIP: 31418EYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       63490 | PA      | $64864.49     | 0.01%             | 2053-12-01      | Fixed         | 6.00%                 | 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      | $51328.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-19                                                 | FANNIE MAE FNR 2025 19 FC                               | CUSIP: 3136BVBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1588633 | PA      | $1602057.68   | 0.13%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-80775.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $12221.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1          | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      309904 | PA      | $251888.97    | 0.02%             | 2046-10-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-31612.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNY BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $692.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG46 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-13192.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARCAN-2A                                                                  | ARCANO EURO CLO ARCAN 2A A 144A                         | CUSIP: ACI2YDJX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2900000 | PA      | $3352308.21   | 0.28%             | 2039-07-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $592.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                         | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1         | CUSIP: 07384MB68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2952 | PA      | $2792.50      | 0.00%             | 2034-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $60035.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $8493.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1.5          | CUSIP: ACI19Y843<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.18         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $339.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1        | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      347545 | PA      | $247773.76    | 0.02%             | 2046-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF4                                        | STRUCTURED ASSET SECURITIES CO SASC 2006 RF4 1A1 144A   | CUSIP: 863911AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      698033 | PA      | $588062.76    | 0.05%             | 2036-10-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-12192.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | AUST 10Y BOND FUT JUN26 XSFE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        -570 | NC      | $279770.06    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $2639.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5138 FN 09/53 FIXED 5.5                     | CUSIP: 31418EV80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      733175 | PA      | $738992.04    | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3429.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $10594.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO260629                              | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  2433050000 | PA      | $1675398.36   | 0.14%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-3836.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                       | ELEVANCE HEALTH INC                                     | CUSIP: 28621BDD4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      700000 | PA      | $698982.42    | 0.06%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $12484.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A        | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4974537 | PA      | $4342688.84   | 0.37%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-519321.67   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-4510.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.86092 03/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4779.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1       | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24330 | PA      | $23117.98     | 0.00%             | 2046-03-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| TOGETHER ASSET BACKED SECURITISATION 14 2025-1ST1 PLC 25-1ST1A            | TOGETHER ASSET BACKED SECURITI TOGET 2025 1ST1A A 144A  | CUSIP: ACI30HX54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1683764 | PA      | $2225033.32   | 0.19%             | 2066-08-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $37716.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $7947.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                             | RMAC SECURITIES PLC RMACS 2007 NS1X A2B REGS            | CUSIP: B231LDII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       92674 | PA      | $90050.57     | 0.01%             | 2044-06-12      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-54562.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-183855.49   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-32375.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-2194.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062655<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -58493894 | PA      | $-60468740.87 | -5.08%            | 2056-05-13      | Fixed         | 6.50%                 | 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      | $22257.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.00000 06/18/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-34912.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR            | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      424772 | PA      | $356755.32    | 0.03%             | 2030-07-09      | Variable      | 0.75%                 | 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      | $400.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB6394 FN 08/54 FIXED 6                       | CUSIP: 3140AGC85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      729327 | PA      | $747405.02    | 0.06%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-8                                          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 8 3CB1        | CUSIP: 93934FDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      233045 | PA      | $186634.54    | 0.02%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD3121 FR 06/53 FIXED 6               | CUSIP: 3132DQPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95407 | PA      | $98565.47     | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                                  | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A          | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3179648 | PA      | $2757368.37   | 0.23%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR3                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR3 6A1                | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       52882 | PA      | $38909.11     | 0.00%             | 2035-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $1154.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QO2                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO2 A1         | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      763501 | PA      | $223274.53    | 0.02%             | 2047-02-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR            | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      100000 | PA      | $67100.00     | 0.01%             | 2041-07-09      | Variable      | 3.50%                 | 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        |     5500000 | PA      | $6223294.08   | 0.52%             | 2035-10-31      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $880529.04    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-1                                       | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 1 1A6           | CUSIP: 65538PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      144892 | PA      | $136029.69    | 0.01%             | 2047-03-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $20089.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260601                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $196.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-6457.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1441.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                      | JPMORGAN CHASE + CO SR UNSECURED 01/37 VAR              | CUSIP: 46647PFJ0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2740879.71   | 0.23%             | 2037-01-22      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $15604.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                      | NEW S WALES TREASURY CRP LOCAL GOVT G 03/33 2           | CUSIP: ACI1KFVM5<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     4600000 | PA      | $2575292.88   | 0.22%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $305.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | YI4360529 NIGERIA OMO BILL                              | CUSIP: 990ACHUB3<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | US        |    57900000 | PA      | $36280.85     | 0.00%             | 2027-01-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $1384.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                      | JPMORGAN CHASE + CO SR UNSECURED 10/29 VAR              | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2702009.96   | 0.23%             | 2029-10-23      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB9539 FN 08/54 FIXED 6                       | CUSIP: 3140AKS55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1122896 | PA      | $1167065.07   | 0.10%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-58074.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $59956.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVELOPMENT BANK                                           | INTER AMERICAN DEVEL BK UNSECURED REGS 04/27 2.5        | CUSIP: ACI0QK6X4<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | CORP              | N/A       |     1800000 | PA      | $1213495.43   | 0.10%             | 2027-04-14      | Fixed         | 2.50%                 | 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        |       48410 | PA      | $38677.97     | 0.00%             | 2037-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                       | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/26 FIXED 2.158 | CUSIP: 38122NC59<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1300000 | PA      | $1295452.73   | 0.11%             | 2026-06-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.50000 03/18/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-317907.94   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                               | LETRA TESOURO NACIONAL BILLS 07/26 0.00000              | CUSIP: ACI2CRX85<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    28600000 | PA      | $5347134.54   | 0.45%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    16200000 | PA      | $4868426.10   | 0.41%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-848.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25199 | PA      | $24309.70     | 0.00%             | 2035-09-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBZ7 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     4201000 | NC      | $12750.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $84555.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                              | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/35 5      | CUSIP: 00402AAB7<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |      400000 | PA      | $389833.06    | 0.03%             | 2035-05-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2          | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3219 | PA      | $3208.38      | 0.00%             | 2034-04-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.6310* 06/30/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $178423.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.0658* 03/13/26-20Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5448.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $661.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR5                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7         | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9874 | PA      | $9901.92      | 0.00%             | 2033-06-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $5103.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-14959.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 03/29 5.375                | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     1300000 | PA      | $1320690.32   | 0.11%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -1084000 | NC      | $-439.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 03/52 1                     | CUSIP: ACI24VWS2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   500000000 | PA      | $1762546.86   | 0.15%             | 2052-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      319523 | PA      | $254946.52    | 0.02%             | 2037-10-25      | Variable      | 4.79%                 | 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        |    10392000 | PA      | $11764637.09  | 0.99%             | 2035-04-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2416.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL 1B2315 FH 09/35 FLOATING VAR          | CUSIP: 3128JMN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1803 | PA      | $1856.04      | 0.00%             | 2035-09-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0993 G2 03/56 FIXED 3.5                  | CUSIP: 3618N6C70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12955587 | PA      | $11892097.20  | 1.00%             | 2056-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                      | KEURIG DR PEPPER                                        | CUSIP: 49271KD92<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      700000 | PA      | $699272.91    | 0.06%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-57390.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $36778.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25          | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $76057.35     | 0.01%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | YI4360503 NIGERIA OMO BILL                              | CUSIP: 990ACHTR0<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    57600000 | PA      | $36202.49     | 0.00%             | 2027-01-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A2                                          | JP MORGAN MORTGAGE TRUST JPMMT 2003 A2 3A1              | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7953 | PA      | $7772.62      | 0.00%             | 2033-11-25      | Floating      | 5.68%                 | 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      | $125933.46    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/2.75000 09/17/25-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-9996.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $22294.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0810 G2 12/55 FIXED 3.5                  | CUSIP: 3618N53U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      711188 | PA      | $652808.26    | 0.05%             | 2055-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260626                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $44299.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-403.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                       | NATWEST MARKETS PLC SR UNSECURED 144A 03/30 VAR         | CUSIP: 63906YAQ1<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |     2200000 | PA      | $2220639.85   | 0.19%             | 2030-03-21      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | FWD0Z3AA3 COLOMBIA GOVT NDF                             | CUSIP: 990ADDTP2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        |   290400000 | PA      | $77083.02     | 0.01%             | 2040-11-28      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-5351.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $515.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-347390.25   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-20905.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1514.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY7566 FN 07/54 FIXED 6                       | CUSIP: 3140NQMQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16844 | PA      | $17388.11     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-17352.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $89.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUND OPTION  MAY26P 125.5 EXP 04/24/2026           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -11 | NC      | $-11570.06    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $86.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                             | EGYPT GOVERNMENT BOND BONDS 10/30 19.698                | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    52800000 | PA      | $951106.84    | 0.08%             | 2030-10-14      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A          | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10342 | PA      | $9829.15      | 0.00%             | 2042-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 03/18/26-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $36497.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-22570.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $1435.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.61100 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5296.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-710.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-18.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-3112.19     | -0.00%            |  |  |  | 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        |     4300000 | PA      | $3170664.49   | 0.27%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)         | GENERALITAT DE CATALUNYA SR UNSECURED 04/35 4.22        | CUSIP: B081RMII3<br>LEI: 95980020140005848404 | Long             | DBT              | NUSS              | ES        |      500000 | PA      | $590714.59    | 0.05%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $1406.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR CHF SRFXON3/0.25000 03/18/26-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |           1 | NC      | $-47719.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUND FUTURE  JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -254 | NC      | $636736.27    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/52 1.5          | CUSIP: ACI1NN643<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.21         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                  | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/61 3.404      | CUSIP: 71675CAE8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |      800000 | PA      | $526503.99    | 0.04%             | 2061-04-28      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $16356.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $4687.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $15198.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 1A4              | CUSIP: 466247WL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33162 | PA      | $32088.71     | 0.00%             | 2035-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260720                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $6245.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23435 | PA      | $22839.84     | 0.00%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-1457.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-5173.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1            | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           4 | PA      | $0.52         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1        | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17617 | PA      | $16852.73     | 0.00%             | 2035-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                               | LETRA TESOURO NACIONAL BILLS 10/26 0.00000              | CUSIP: ACI2Q7PM2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    46000000 | PA      | $8319585.57   | 0.70%             | 2026-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $16932.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $86.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 05/29 3.5         | CUSIP: ACI2KBGK3<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     2800000 | PA      | $3303891.52   | 0.28%             | 2029-05-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-12392.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 01/30 VAR            | CUSIP: 95000U4D2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4460825.30   | 0.38%             | 2030-01-23      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA7553 FN 01/54 FIXED 6                       | CUSIP: 3140A8MB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26560 | PA      | $27112.00     | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | 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      | $0.22         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                                  | LEHMAN XS TRUST LXS 2006 16N A322                       | CUSIP: 52522DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      764856 | PA      | $601554.80    | 0.05%             | 2046-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                                 | REALTY INCOME CORP SR UNSECURED 06/31 3.375             | CUSIP: ACI2XWZN6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1910604.81   | 0.16%             | 2031-06-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $704.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $6264.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $4899.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300509                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $10781.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.7547* 03/13/26-10Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6052.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1335.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1853.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.50000 09/16/26-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $225960.38    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                                    | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A           | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         425 | PA      | $423.90       | 0.00%             | 2031-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $467831.19    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                    | STANDARD CHARTERED PLC SR UNSECURED 144A 07/27 VAR      | CUSIP: 853254CT5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     2400000 | PA      | $2409743.78   | 0.20%             | 2027-07-06      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                       | BANCA MONTE DEI PASCHI S COVERED REGS 10/27 0.875       | CUSIP: ACI1FY8R5<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     1800000 | PA      | $2061855.12   | 0.17%             | 2027-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-41558.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM -45 CBK                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |           1 | NC      | $8330.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $1567.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1648.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-5R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5R A5            | CUSIP: 12640QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      584825 | PA      | $118945.46    | 0.01%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-377.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1000000 | NC      | $-2875.30     | -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        |    13500000 | PA      | $9735181.32   | 0.82%             | 2033-06-02      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                         | NATWEST GROUP PLC JR SUBORDINA 12/99 VAR                | CUSIP: ACI1SQVK7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $260724.80    | 0.02%             | 2027-05-12      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| PEOPLES CHOICE HOME LOAN SECURITIES TRUST 2005-1                          | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2005 1 M4          | CUSIP: 71085PBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       62600 | PA      | $61927.90     | 0.01%             | 2035-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0868 G2 01/56 FIXED 3.5                  | CUSIP: 3618N56E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3699997 | PA      | $3396273.81   | 0.29%             | 2056-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR4                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A3         | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39905 | PA      | $36198.06     | 0.00%             | 2047-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                        | PROVINCE OF QUEBEC SR UNSECURED 09/34 4.45              | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     2400000 | PA      | $1802281.48   | 0.15%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 121 PE          | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7798 | PA      | $7695.09      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 773328 FN 06/35 FLOATING VAR                  | CUSIP: 31404ND94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1374 | PA      | $1407.81      | 0.00%             | 2035-06-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-34271.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $433317.70    | 0.04%             |  |  |  | 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        |      683001 | PA      | $652149.75    | 0.05%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7                        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 7 6A          | CUSIP: 07384MYW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10546 | PA      | $10305.82     | 0.00%             | 2033-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/2.565* 03/07/19-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-300685.29   | -0.03%            |  |  |  | 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        |     1987417 | PA      | $1992545.77   | 0.17%             | 2039-02-15      | Floating      | 5.33%                 | 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      | $-37608.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.00000 06/17/26-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-115382.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 4.52250 12/01/30-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-18189.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1              | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       10585 | PA      | $9313.21      | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A2       | CUSIP: 021468AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      185304 | PA      | $72723.24     | 0.01%             | 2036-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260706                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $31480.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2014.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-28210.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H032647<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -20900000 | PA      | $-19172987.65 | -1.61%            | 2056-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.95913 02/12/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $46502.90     | 0.00%             |  |  |  | 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        |     3000000 | PA      | $3445531.71   | 0.29%             | 2030-01-31      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 4.75   | CUSIP: 80413TBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     2700000 | PA      | $2707271.56   | 0.23%             | 2028-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -2312000 | NC      | $-934.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A      | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      109294 | PA      | $98460.56     | 0.01%             | 2046-12-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 12/50 0.7                   | CUSIP: BL6JRNII8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   250000000 | PA      | $837024.67    | 0.07%             | 2050-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 01/30 VAR            | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1930040.71   | 0.16%             | 2030-01-23      | Floating      | 5.20%                 | 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        |    10000000 | PA      | $7151557.47   | 0.60%             | 2033-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS THB THORON/1.25000 09/16/26-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |           1 | NC      | $113538.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $214.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.00000 03/18/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $102856.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-54547.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3986.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                                                    | CHINA DEVELOPMENT BANK UNSECURED 05/33 2.82             | CUSIP: ACI2G7SL2<br>LEI: 300300C1020111000029 | Long             | DBT              | CORP              | CN        |   191170000 | PA      | $29554391.64  | 2.48%             | 2033-05-22      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (20 YEAR ISSUE) BONDS 06/45 2.5                   | CUSIP: ACI2YNYV8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   190000000 | PA      | $1071317.22   | 0.09%             | 2045-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                           | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2               | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      775163 | PA      | $346763.34    | 0.03%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $0.42         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $509749.15    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-63.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO MORGAN STANLEY                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -958750 | PA      | $-958843.21   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.25000 06/18/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-198432.01   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-1949.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SC03 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -4201000 | NC      | $-3444.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4870.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $6578.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2024-2 DAC 24-2A                                      | GROSVENOR PLACE CLO BV GROSV 2024 2A A 144A             | CUSIP: ACI2RYX19<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1800000 | PA      | $2081269.82   | 0.17%             | 2039-01-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $8197.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5445 FN 08/54 FIXED 6                       | CUSIP: 31418FBP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      190842 | PA      | $194804.17    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | 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      | $-1821154.30  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -567000 | NC      | $-229.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RALI TRUST 2007-QS8                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS8 A6         | CUSIP: 74922UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      168605 | PA      | $136969.57    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 09/30 VAR                | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1500000 | PA      | $1546756.49   | 0.13%             | 2030-09-13      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                  | SAUDI ARABIAN OIL CO SR UNSECURED REGS 11/30 2.25       | CUSIP: ACI1SY321<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |      800000 | PA      | $706774.40    | 0.06%             | 2030-11-24      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 3.75000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $1184175.22   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2A1A       | CUSIP: 92922FR75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      162945 | PA      | $157598.45    | 0.01%             | 2045-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1880000 | PA      | $1770372.88   | 0.15%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -75000000 | PA      | $-60395507.25 | -5.08%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W12                                             | FANNIEMAE WHOLE LOAN FNW 2004 W12 1A1                   | CUSIP: 31394A6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      114546 | PA      | $118221.13    | 0.01%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.22201 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-5929.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $23248.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 12/40 2.625                   | CUSIP: ACI1T3QG2<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      800000 | PA      | $579543.30    | 0.05%             | 2040-12-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |           1 | NC      | $-1156.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                   | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1        | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         306 | PA      | $302.98       | 0.00%             | 2032-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-9890.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 11/36 VAR                   | CUSIP: ACI34TWL0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      800000 | PA      | $890923.64    | 0.07%             | 2036-11-07      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $6297.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2445.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-841.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INV 2005-AR4                                    | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR4 A1         | CUSIP: 86359LLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6648 | PA      | $5661.60      | 0.00%             | 2035-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                               | PHILLIPS 66                                             | CUSIP: 71855BD82<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     3550000 | PA      | $3546828.08   | 0.30%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-30260.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-283.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.22515 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-13507.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-49814.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.22687 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-13868.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-11                                     | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 11 8A4         | CUSIP: 2254W0PH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      104144 | PA      | $74974.83     | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5217 FN 12/53 FIXED 6.5                     | CUSIP: 31418EYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1659573 | PA      | $1716894.82   | 0.14%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8448 FR 07/54 FIXED 6.5             | CUSIP: 3132DWL50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      648869 | PA      | $671653.79    | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $4282.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260624                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $56467.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 41 LTD                                                            | KKR FINANCIAL CLO LTD KKR 2022 41A A1 144A              | CUSIP: 48255PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2100000 | PA      | $2101055.75   | 0.18%             | 2035-04-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.86629 03/18/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $56262.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $21230.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-439.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.23838 03/31/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-12530.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $13711.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1                             | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A   | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      647808 | PA      | $540181.67    | 0.05%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                  | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/50 4.55       | CUSIP: 716743AR0<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |      400000 | PA      | $344299.98    | 0.03%             | 2050-04-21      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-92622.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1009.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $150245.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A2              | CUSIP: 46630GAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31778 | PA      | $30411.94     | 0.00%             | 2035-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5500000 | PA      | $5299796.76   | 0.45%             | 2056-06-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EUROMASTER PLC 2007-1V                                                    | EUROMASTR PLC EMAST 2007 1V A2 REGS                     | CUSIP: ACI018DY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       97104 | PA      | $125825.42    | 0.01%             | 2040-06-15      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3605.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3705.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $50206.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ8703 FN 05/49 FIXED 3.5                     | CUSIP: 3140HAU57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      266195 | PA      | $249124.17    | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer