# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-25-000534
**Filing Date:** 2025-8
**Character Count:** 262298
**Document Hash:** 8d6a5665ea4ec9360ac8008bdbca7a1d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-25-000534.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001047304-25-000534

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 251277442

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

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

## Series and Classes Contracts Data

### PIMCO CommodityRealReturn Strategy Portfolio (Series ID: S000009667)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026493 | Administrative | VPVCRDV         |
| C000030986 | Advisor        | VPVCRVV         |
| C000030994 | Institutional  | PCOMRSI         |
| C000148731 | M              | PCOMRSM         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO CommodityRealReturn Strategy Portfolio

- **b. EDGAR series identifier (if any):** S000009667

- **c. LEI of Series:** SNMNUKOII1T2R8BSNF79

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $846383614.87

**Total Liabilities:** $461386854.13

**Net Assets:** $384996760.74

**Amount of Assets Invested in Other Investment Companies:** $96595576.54

**Delayed Delivery Securities:** $3000000.00

**Cash Not Reported:** $4886040.37

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3981.334300 | **1-Year:** 5992.362400 | **5-Year:** 27913.144800 | **10-Year:** 25967.818000 | **30-Year:** -15401.484500

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

- **3-Month:** 327.022800 | **1-Year:** 552.179200 | **5-Year:** 2209.672600 | **10-Year:** 240.235900 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026493 | -4.65%               | -1.39%               | 3.01%                |
| Class ID C000030986 | -4.72%               | -1.20%               | 2.74%                |
| Class ID C000148731 | -4.87%               | -1.24%               | 2.79%                |
| Class ID C000030994 | -4.67%               | -1.40%               | 3.06%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $70725.25                | $2705005.24                                |
| Month 2  | $-177281.95              | $-3415498.70                               |
| Month 3  | $-130239.38              | $2697804.21                                |

**Designated Index Information**

- **Index Name:** Bloomberg Commodity Total Return Index

- **Index Identifier:** BCOMTR

### 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                                                        | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-647554.90   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4779                                    | FREDDIE MAC FHR 4779 WF                                 | CUSIP: 3137F4BX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    104402 | PA      | $102540.31    | 0.03%             | 2044-07-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20250710                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $8478.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $46.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-203.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.4875 05/15/22-15Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $31.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $284305.52    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-8467.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $19538.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2022-1 DAC 22-1A       | PALMER SQUARE EUROPEAN LOAN FU PSTET 2022 1A A 144A     | CUSIP: ACI23GLP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    196853 | PA      | $231412.94    | 0.06%             | 2031-10-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.034 09/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-7881.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA4                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A         | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80097 | PA      | $69810.20     | 0.02%             | 2047-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | LME NICKEL FUTURE SEP25 XLME 20250915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         2 | NC      | $-5304.72     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BRAZIL GOVT                                                | LETRA TESOURO NACIONAL BILLS 07/25 0.00000              | CUSIP: ACI23CXV7<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   1400000 | PA      | $257537.72    | 0.07%             | 2025-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | COM FWD NAPGASFO 3Q25 7.375 09/30/25 BPS                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-2436.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFRF USD SOFR/2.30000 11/15/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-69915.33    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1714.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-8810.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A            | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A   | CUSIP: ACI1YDTG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    400356 | PA      | $471684.86    | 0.12%             | 2031-01-15      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.1015 07/20/17-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-260053.68   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $803.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFRF USD SOFR/2.34000 11/21/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-71715.96    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-37485.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR MAC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-117941.64   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-32397.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COPPER FUTURE     SEP25 XCEC 20250926                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -24 | NC      | $-106457.08   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT NOK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-72.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.55 04/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $6809.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-136.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD NOK BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $72.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                          | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3         | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    411655 | PA      | $212216.69    | 0.06%             | 2036-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-7                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 2A2         | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    455801 | PA      | $183350.33    | 0.05%             | 2036-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $233.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-709.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-8                         | HOME EQUITY ASSET TRUST HEAT 2005 8 M2                  | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172676 | PA      | $169448.22    | 0.04%             | 2036-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1          | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75840 | PA      | $74143.68     | 0.02%             | 2047-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1425.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.58 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $6820.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/28 1.75                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1795992 | PA      | $1819204.20   | 0.47%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A4         | CUSIP: 05949CKT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4568 | PA      | $4051.40      | 0.00%             | 2035-11-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/34 1.875                             | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5213424 | PA      | $5220447.42   | 1.36%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.36 05/09/18-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-102361.66   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT AUD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $28703.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                | MEXICAN UDIBONOS BONDS 08/34 4                          | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    867086 | PA      | $42993.20     | 0.01%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 1A1              | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3435 | PA      | $3434.90      | 0.00%             | 2035-07-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $5038.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM 29 LTD                                                 | LCM LTD PARTNERSHIP LCM 29A AR 144A                     | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    331455 | PA      | $331765.31    | 0.09%             | 2031-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $811.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-677.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD AUD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-1851.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-21902.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                | FRANCE (GOVT OF) BONDS 144A REGS 07/31 0.1              | CUSIP: ACI1VB392<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   3173872 | PA      | $3570275.13   | 0.93%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR5                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR5 1A1        | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2844 | PA      | $2726.11      | 0.00%             | 2034-10-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR1 MYC                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-2702175.42  | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  67600000 | PA      | $67600000.00  | 17.56%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-10436.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US 5YR NOTE (CBT) SEP25 XCBT 20250930                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -59 | NC      | $-59303.73    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.842 02/13/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5542.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | MT BELV ETHAN 5DE JAN26 XNYM 20260130                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-404.63      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | EURO-SCHATZ FUT   SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -56 | NC      | $12311.04     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-3R        | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 3R 5A2 144A      | CUSIP: 12649WAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36268 | PA      | $35919.17     | 0.01%             | 2036-09-29      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-3432.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                    | MADISON PARK FUNDING LTD MDPK 2017 23A AR 144A          | CUSIP: 55820TAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    548353 | PA      | $549143.50    | 0.14%             | 2031-07-27      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CHF BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-33853.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.7975 08/25/20-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $52281.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | LOW SU GASOIL G   AUG25 IFEU 20250812                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -11 | NC      | $84496.20     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-576.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANCE BANCORP TRUST 2007-OA1                            | ALLIANCE BANCORP TRUST ALBT 2007 OA1 A1                 | CUSIP: 01852TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104078 | PA      | $92898.11     | 0.02%             | 2037-07-25      | Floating      | 4.91%                 | 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        |    481679 | PA      | $482159.68    | 0.13%             | 2032-04-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $17137.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  OCT25 IFEU 20250829                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         4 | NC      | $15759.45     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                       | GSAMP TRUST GSAMP 2007 FM1 A2A                          | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40334 | PA      | $19997.71     | 0.01%             | 2036-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  DEC27 IFEU 20271029                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -16 | NC      | $-10746.39    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                              | ARGENT SECURITIES INC. ARSI 2006 M1 A1                  | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205009 | PA      | $184229.12    | 0.05%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/29 0.25                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18057456 | PA      | $17345258.20  | 4.51%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD KRW BOUGHT USD 20250708                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-249.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $68.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.049 08/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-29842.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10          | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB          | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    148717 | PA      | $150900.91    | 0.04%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR GBP SONIO/3.50000 03/19/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-220685.41   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMF1TC GST                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-1491448.05  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $570.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1389.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20250710                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $742.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY LD1 FIX FUT AUG26 IFED 20260729                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-1671.43     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $33.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR CIB                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-101144.62   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCM XVII LP 17A                                            | LCM LTD PARTNERSHIP LCM 17A A1AR 144A                   | CUSIP: 50190AAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    174745 | PA      | $174941.33    | 0.05%             | 2031-10-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 2.25000 09/17/25-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1100805.13   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/54 2.125                             | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    104515 | PA      | $95729.65     | 0.02%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT SEK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $-2.58        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  DEC25 XNYM 20251125                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        49 | NC      | $-119244.97   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A2         | CUSIP: 23245LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117961 | PA      | $46295.42     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY LD1 FIX FUT MAY26 IFED 20260428                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-666.43      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $3412.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XIII                                | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 13A A1NR 144A     | CUSIP: 04942VAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    133356 | PA      | $133516.84    | 0.03%             | 2031-04-22      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $5368.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-68.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  NOV25 XNYM 20251021                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -6 | NC      | $6941.01      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  MAY26 XNYM 20260428                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $-3728.67     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | HENRY LD1 FIX FUT FEB26 IFED 20260128                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-2110.36     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-15707.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  MAR26 XNYM 20260220                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        12 | NC      | $-15555.51    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13900000 | PA      | $13291000.69  | 3.45%             | 2054-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | CMBX.NA.AAA.12 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $2119.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT GBP SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $12762.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $47.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-38192.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      MAY30 IFED 20300426                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $-3020.99     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD SEK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $-809.88      | -0.00%            |  |  |  | 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        |    353494 | PA      | $354260.30    | 0.09%             | 2039-02-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-801.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | AUST 10Y BOND FUT SEP25 XSFE 20250915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        67 | NC      | $40751.59     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  AUG25 XNYM 20250722                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -10 | NC      | $16257.55     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | 317U84SA4 PIMCO SWAPTION 2.44 CALL EUR 2027012          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1400000 | NC      | $-13862.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | CMBX.NA.AAA.8 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $0.45         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-136.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.573 08/26/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $87156.95     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | LOW SU GASOIL G   JUL25 IFEU 20250710                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -7 | NC      | $-36744.43    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.954 06/03/19-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-61839.92    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CIFC EUROPEAN FUNDING CLO 3A                               | CIFC EUROPEAN FUNDING CLO CIFCE 3A A 144A               | CUSIP: ACI27MSP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1178245.14   | 0.31%             | 2034-01-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1170.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.703 05/25/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $12866.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $74.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-167.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US 10YR ULTRA FUT SEP25 XCBT 20250919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        97 | NC      | $244842.74    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-2                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 2 3A2         | CUSIP: 07388DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14476 | PA      | $12303.47     | 0.00%             | 2036-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD NOK BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-136.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR USD SOFR/3.25000 06/18/25-9Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $46174.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA8                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA8 1A7       | CUSIP: 32052DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36689 | PA      | $13409.47     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/40 2.125                             | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    341332 | PA      | $337190.96    | 0.09%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  MAY26 XNYM 20260421                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -6 | NC      | $22118.13     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  JUL26 IFEU 20260529                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -2 | NC      | $-1612.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| VOYA EURO CLO II DAC                                       | VOYA EURO CLO VOYE 2A AR 144A                           | CUSIP: ACI1YXDJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    400000 | PA      | $470814.58    | 0.12%             | 2035-07-15      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | LEAN HOGS FUTURE  OCT25 XCME 20251014                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -19 | NC      | $7220.98      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                       | FNMA POOL 826128 FN 07/35 FLOATING VAR                  | CUSIP: 31407BYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2837 | PA      | $2887.57      | 0.00%             | 2035-07-01      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | DEUTSCHE BANK REPO REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   4646250 | PA      | $4646250.00   | 1.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-735.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  JAN26 XNYM 20251229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -59 | NC      | $182218.82    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CVC CORDATUS LOAN FUND XI DAC 21-1                         | CORDATUS CLO PLC CORDA 11A AR 144A                      | CUSIP: ACI1W60L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    510730 | PA      | $601991.14    | 0.16%             | 2031-10-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 3.0425 02/21/25-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1261.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-681.33      | -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        |      4604 | PA      | $4146.45      | 0.00%             | 2035-01-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      APR30 IFED 20300327                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $-2743.49     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.682 10/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $29724.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      JAN26 IFED 20251229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-2787.86     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $3241.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 11A1       | CUSIP: 07384M3X8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25909 | PA      | $26457.20     | 0.01%             | 2035-01-25      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | WHEAT FUTURE(CBT) DEC25 XCBT 20251212                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -9 | NC      | $9149.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/27 0.125                             | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21585140 | PA      | $21135968.35  | 5.49%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-29142.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  NOV25 XNYM 20251029                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        13 | NC      | $-27731.84    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOYBEAN MEAL FUTR JAN26 XCBT 20260114                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -12 | NC      | $13937.01     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                       | FNMA POOL 847996 FN 11/35 FLOATING VAR                  | CUSIP: 31408DC93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2555 | PA      | $2592.68      | 0.00%             | 2035-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD NOK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-136.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC1                     | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC1 A         | CUSIP: 585525FN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6436 | PA      | $5974.03      | 0.00%             | 2030-09-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-19405.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $35.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COFFEE 'C' FUTURE DEC25 IFUS 20251218                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $-51553.12    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.18 09/20/17-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-90050.14    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR CBK                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-66499.95    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SNG KEROS V SNG GAJAN26 IFEU 20260130                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $-92.09       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | UK NATURAL GAS FUTSEP25 IFEU 20250828                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -5 | NC      | $16915.97     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                      | FED HM LN PC POOL 1J1334 FH 09/36 FLOATING VAR          | CUSIP: 3128NHPT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10218 | PA      | $10411.21     | 0.00%             | 2036-09-01      | Floating      | 7.20%                 | 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        |       244 | PA      | $243.96       | 0.00%             | 2031-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOYBEAN MEAL FUTR DEC25 XCBT 20251212                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        67 | NC      | $-106771.25   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $799.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    599000 | PA      | $591183.78    | 0.15%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                             | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                 | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72475 | PA      | $65935.70     | 0.02%             | 2036-10-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-30289.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-42956.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8               | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 8 1A1           | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362535 | PA      | $344921.29    | 0.09%             | 2037-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-44290.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-5615.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-3508.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-7XS                         | STRUCTURED ASSET SECURITIES CO SASC 2005 7XS 2A1A       | CUSIP: 86359B7K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8041 | PA      | $8011.76      | 0.00%             | 2035-04-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-18196.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $3013.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ST PAULS CLO II DAC 2A                                     | ST PAULS CLO SPAUL 2A AR4 144A                          | CUSIP: ACI21LGL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $587434.39    | 0.15%             | 2035-10-25      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  APR27 XNYM 20270329                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         6 | NC      | $7863.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-76.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | CCA VINTAGE 2026  DEC26 IFED 20261224                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       292 | NC      | $-402048.20   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9500000 | PA      | $9645373.94   | 2.51%             | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                                     | LEHMAN XS TRUST LXS 2006 7 1A1A                         | CUSIP: 52522EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60559 | PA      | $52388.33     | 0.01%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BABSON CLO LTD 2015-IA                                     | BABSON CLO LTD BABSN 2015 IA AR 144A                    | CUSIP: 056162AN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    184923 | PA      | $185178.95    | 0.05%             | 2031-01-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-33071.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $3497.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.08 07/25/17-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-191334.03   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE2                                       | GSAMP TRUST GSAMP 2005 HE2 M2                           | CUSIP: 36242DA60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61747 | PA      | $58970.39     | 0.02%             | 2035-03-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $4334.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1218.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/28 0.75                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5724768 | PA      | $5656086.81   | 1.47%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      SEP30 IFED 20300828                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $-343.49      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SNG KEROS V SNG GAFEB26 IFEU 20260227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $-42.09       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 3.5 08/15/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $40635.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                | LETRA TESOURO NACIONAL BILLS 10/25 0.00000              | CUSIP: ACI2HDVK6<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  29800000 | PA      | $5290591.06   | 1.37%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | LOW SU GASOIL G   JUN26 IFEU 20260611                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -18 | NC      | $10070.79     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1022.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3300000 | PA      | $3297053.63   | 0.86%             | 2054-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TREASURY BILL 09/25 0.00000                             | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8595000 | PA      | $8522226.14   | 2.21%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY LD1 FIX FUT SEP26 IFED 20260827                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-1553.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-207.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS GROUP AG SR UNSECURED REGS 03/29 VAR                | CUSIP: ACI2B33K5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    100000 | PA      | $132756.07    | 0.03%             | 2029-03-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $15297.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.19500 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $558282.52    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-7135.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-8173.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  JAN26 IFEU 20251128                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        13 | NC      | $-8503.35     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                    | FREDDIE MAC FHR 5511 FG                                 | CUSIP: 3137HKKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    977258 | PA      | $977999.86    | 0.25%             | 2055-03-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-10646.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 2A1               | CUSIP: 126694BH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    617693 | PA      | $585392.30    | 0.15%             | 2035-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R SOFRRATE+17/91282CDC2 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-11067.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/29 2.125                             | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28518325 | PA      | $29292382.50  | 7.61%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $79.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                           | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    660545 | PA      | $661002.61    | 0.17%             | 2037-06-19      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-14548.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      DEC31 IFED 20311125                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $1798.57      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-78.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      JAN31 IFED 20301227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $2526.07      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GREENPOINT MTGE FUUNDING TRUST 2006-AR4                    | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR4 A6A        | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59969 | PA      | $55441.76     | 0.01%             | 2046-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-45740.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2          | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1940 | PA      | $1891.52      | 0.00%             | 2034-02-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | LME COPPER FUTURE AUG25 XLME 20250818                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         9 | NC      | $34970.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $10915.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 1.945 11/15/18-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-16493.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                 | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/30 0 | CUSIP: BK5MSXII1<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    742632 | PA      | $851724.54    | 0.22%             | 2030-05-15      | Fixed         | 0.40%                 | 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        |      1049 | PA      | $1062.57      | 0.00%             | 2044-10-01      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6509728.33   | 1.69%             | 2054-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-30996.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $90.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT ILS SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $724.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN 52 EURO CLO 2017 17-52A                             | DRYDEN EURO CLO DRYD 2017 52A AR 144A                   | CUSIP: ACI1YL2T4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    288051 | PA      | $338928.65    | 0.09%             | 2034-05-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 15 LTD                                         | ELM15 20222A A1R 144A 29003P910                         | CUSIP: 938KTRII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1500000.00   | 0.39%             | 2035-04-22      | Floating      | 5.46%                 | No            |                  3 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20K                   | SMALL BUSINESS ADMINISTRATION SBAP 2007 20K 1           | CUSIP: 83162CRK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17269 | PA      | $17437.27     | 0.00%             | 2027-11-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-121.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.15 09/25/17-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-85307.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.89 08/27/20-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $50176.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT ZAR SOLD USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $912.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SNG KEROS V SNG GAAUG25 IFEU 20250829                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         3 | NC      | $2142.86      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2          | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2C        | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262781 | PA      | $103285.52    | 0.03%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $7.39         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-31991.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1589.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | KC HRW WHEAT FUT  DEC25 XCBT 20251212                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -17 | NC      | $38748.27     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.736 10/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $67220.86     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4191 | PA      | $4048.24      | 0.00%             | 2034-11-21      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-79.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.59 12/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $72869.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CAD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-36535.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-23.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 278                                     | FREDDIEMAC STRIP FHS 278 F1                             | CUSIP: 3132HTBH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    210743 | PA      | $207942.85    | 0.05%             | 2042-09-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | COTTON NO.2 FUTR  DEC25 IFUS 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $927.19       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.7 04/15/23-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $61406.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDB MORTGAGE LOAN TR 2006-1                       | INDYMAC INDB MORTGAGE LOAN TRU INDB 2006 1 A1           | CUSIP: 45661JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211877 | PA      | $66599.76     | 0.02%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                 | JAPAN GOVT CPI LINKED BONDS 03/29 0.1                   | CUSIP: ACI1BXN03<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 942614400 | PA      | $6807534.29   | 1.77%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $126497.42    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 1.636 06/15/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $4580.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R SOFRRATE+17/912828Y38 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $56838.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.72 06/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-4670.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $52155.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                              | FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2                    | CUSIP: 31393CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1292 | PA      | $1288.61      | 0.00%             | 2042-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $5709.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARVEST CLO XX DAC 20A                                     | HARVEST CLO HARVT 20A AR 144A                           | CUSIP: ACI1WC7B0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    358201 | PA      | $421852.45    | 0.11%             | 2031-10-20      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMF1NTC GST                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $162.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  OCT25 XNYM 20250922                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -6 | NC      | $-15311.66    | -0.00%            |  |  |  | No            |                  1 | 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        |      2383 | PA      | $2160.25      | 0.00%             | 2036-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY LD1 FIX FUT NOV26 IFED 20261028                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-2203.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | GASOLINE RBOB FUT OCT25 XNYM 20250930                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -5 | NC      | $-21161.61    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | EURO-OAT FUTURE   SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |      -130 | NC      | $143366.61    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-2903.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-478.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-47                                  | FANNIE MAE FNR 2025 47 FJ                               | CUSIP: 3136BWNH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1886525 | PA      | $1895922.09   | 0.49%             | 2055-06-25      | Floating      | 5.34%                 | 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        |    491096 | PA      | $492348.89    | 0.13%             | 2037-01-17      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.364 05/10/18-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-103080.37   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-47.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  DEC25 IFEU 20251031                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        22 | NC      | $23335.21     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/46 1                                 | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2842854 | PA      | $2156018.51   | 0.56%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                | CANADIAN GOVERNMENT RRB BONDS 12/26 4.25                | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   1116324 | PA      | $862428.53    | 0.22%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-37109.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4028000 | PA      | $3745096.96   | 0.97%             | 2054-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT KRW SOLD USD 20250708                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $77.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-10215.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      DEC30 IFED 20301126                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $5641.51      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM3          | SECURITIZED ASSET BACKED RECEI SABR 2006 WM3 A3         | CUSIP: 81377EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3655740 | PA      | $1214279.89   | 0.32%             | 2036-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-1823.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-35825.78    | -0.01%            |  |  |  | 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        |     22043 | PA      | $20480.91     | 0.01%             | 2035-12-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U84TA3 PIMCO SWAPTION 2.44 PUT EUR 20270125          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1400000 | NC      | $-8654.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT ZAR SOLD USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $2201.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-7653.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1540.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NAT GAS EURO OPT  AUG25P 3.4 EXP 07/28/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-1952.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.70 01/14/25-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-13110.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                | LETRA TESOURO NACIONAL BILLS 04/26 0.00000              | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  15300000 | PA      | $2536706.85   | 0.66%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  SEP25 XNYM 20250827                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -10 | NC      | $28396.57     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT EUR SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1237.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.421 05/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1147.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 1A1       | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500574 | PA      | $340492.86    | 0.09%             | 2037-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      JUL31 IFED 20310626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $41.07        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                    | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1793194 | PA      | $1789532.43   | 0.46%             | 2054-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  SEP25 XNYM 20250820                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -12 | NC      | $57475.80     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      APR31 IFED 20310327                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-796.43      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS3                      | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS3 M1         | CUSIP: 76113ABL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21841 | PA      | $21671.70     | 0.01%             | 2036-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-17907.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.31125 02/24/21-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1014661.94   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-31604.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SGX IRON ORE 62   AUG25 XSIM 20250829                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | SG        |        14 | NC      | $1016.04      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-624.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  SEP25 IFEU 20250819                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -18 | NC      | $-32510.57    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | 317U80OA6 PIMCO FPPSWAPTION 2.5 PUT EUR                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -5000000 | NC      | $-27570.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 3.13 05/15/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $911.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/28 1.25                              | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32081700 | PA      | $32027596.14  | 8.32%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                      | FED HM LN PC POOL 972136 FH 01/34 FLOATING VAR          | CUSIP: 31336CLR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       653 | PA      | $668.81       | 0.00%             | 2034-01-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | GASOLINE RBOB FUT SEP25 XNYM 20250829                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $-18498.05    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $108.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN XXVI SENIOR LOAN FUND 2013-26A                      | DRYDEN SENIOR LOAN FUND DRSLF 2013 26A AR 144A          | CUSIP: 26250UAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     90618 | PA      | $90669.17     | 0.02%             | 2029-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-169.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP JMABFNJ2 JPM                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $42353.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-1894363.00  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/CB CIXBSTR3 CBK                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-1196450.71  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U7XUA8 PIMCO FPPSWAPTION 2.35 PUT EUR                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -12500000 | NC      | $-84534.16    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.645 09/10/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $35466.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR MEI                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-327.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.82 02/05/25-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5447.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.122 08/01/17-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-271398.72   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT BRL SOLD USD 20250903                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $21902.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.165 04/16/19-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-148177.80   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFRF USD SOFR/2.23650 11/21/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $475600.41    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-82.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | LIVE CATTLE FUTR  OCT25 XCME 20251031                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        11 | NC      | $-736.74      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $22.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/25 0.375                             | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3111003 | PA      | $3109546.65   | 0.81%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-7                              | GSAA HOME EQUITY TRUST GSAA 2006 7 AF4A                 | CUSIP: 362334ND2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35086 | PA      | $18585.62     | 0.00%             | 2046-03-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR JPY MUTK/0.55000 09/14/23-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $31422.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-10XS                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A1         | CUSIP: 61751MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40763 | PA      | $22508.63     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-GS-3353                                         | FANNIE MAE GS 3353 FNR GS 3353 F SOFR30A+120BP          | CUSIP: 955RVTII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1699468.75   | 0.44%             | 2055-06-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/29 0.875                             | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18800884 | PA      | $18513241.38  | 4.81%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                        | SAXON ASSET SECURITIES TRUST SAST 2007 3 1A             | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69290 | PA      | $66714.69     | 0.02%             | 2037-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP SPGCINP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-3704.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $67.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK EURO FUNDING XIII DAC 13A                     | MADISON PARK EURO FUNDING CADOG 13A AR 144A             | CUSIP: ACI268DG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    693119 | PA      | $814009.61    | 0.21%             | 2032-01-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/30 0.125                             | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1226039 | PA      | $1152097.71   | 0.30%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA17                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A     | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465465 | PA      | $406958.83    | 0.11%             | 2046-12-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-660.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                       | FNMA POOL 846937 FN 01/36 FLOATING VAR                  | CUSIP: 31408B4W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8163 | PA      | $8226.60      | 0.00%             | 2036-01-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $733.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-283667.69   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      OCT31 IFED 20310926                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $246.07       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VOYA CLO 2017-2A                                           | VOYA CLO LTD VOYA 2017 2A A1R 144A                      | CUSIP: 92915UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     88682 | PA      | $88740.56     | 0.02%             | 2030-06-07      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SNG KEROS V SNG GAJUN25 IFEU 20250630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $1621.91      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | RFR USD SOFR/4.10000 09/02/25-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-243192.63   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $14494.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY LD1 FIX FUT JUN26 IFED 20260527                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-1073.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-29CB                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 29CB A4       | CUSIP: 12667GUG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34879 | PA      | $19172.41     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | CORN FUTURE       DEC25 XCBT 20251212                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $410.35       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $2650.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/34 1.75                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2295700 | PA      | $2276859.33   | 0.59%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83422 | PA      | $76988.40     | 0.02%             | 2037-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD EUR BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-284022.39   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                | FRANCE (GOVT OF) BONDS 144A REGS 03/26 0.1              | CUSIP: ACI1N4959<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   2803309 | PA      | $3282412.74   | 0.85%             | 2026-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $17456.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/30 0.125                             | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20072192 | PA      | $18948463.58  | 4.92%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                      | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A5         | CUSIP: 57645MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158824 | PA      | $51856.12     | 0.01%             | 2036-10-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.37 06/06/18-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-194683.14   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20250710                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $5622.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1026.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      MAR30 IFED 20300226                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $1374.01      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |  -1200000 | NC      | $-20190.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $92.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | LME LEAD FUTURE   SEP25 XLME 20250915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $-1318.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1650.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-26530.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1305.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OAK HILL EUROPEAN CREDIT PARTNERS VII DAC 18-7A            | OAK HILL EUROPEAN CREDIT PARTN OHECP 2018 7A AR 144A    | CUSIP: ACI1WXMN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    147354 | PA      | $173402.15    | 0.05%             | 2031-10-20      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT BRL SOLD USD 20250903                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $10079.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                      | FED HM LN PC POOL 1A1082 FH 07/36 FLOATING VAR          | CUSIP: 3128NFFX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30829 | PA      | $31427.00     | 0.01%             | 2036-07-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-4                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 4 M1          | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62457 | PA      | $60478.26     | 0.02%             | 2035-02-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD NOK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-916.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-18591.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $76.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-650.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-1                    | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A      | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13129 | PA      | $12864.94     | 0.00%             | 2037-05-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | EURO-BOBL FUTURE  SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        31 | NC      | $-19589.04    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 10/27 1.625                             | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26799795 | PA      | $27137942.75  | 7.05%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | VARS GOLDLNPM 0.042025 10/22/25 JPM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $106186.45    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-15006.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCM LTD 26A                                                | LCM LTD PARTNERSHIP LCM 26A A1 144A                     | CUSIP: 50200FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     44257 | PA      | $44279.59     | 0.01%             | 2031-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $98.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $271.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR USD SOFR/3.50000 06/20/24-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $172491.70    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COCOA FUTURE      SEP25 IFUS 20250915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $-12365.01    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-21891.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD GBP BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-8247.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR JPY MUT+5.89/0.3000 09/20/17-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $16090.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $720.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT GBP SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $8257.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-214.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | CORN FUTURE       DEC26 XCBT 20261214                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -14 | NC      | $5318.68      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT2                        | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A2        | CUSIP: 00075XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    578642 | PA      | $533303.08    | 0.14%             | 2036-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                       | GNMA II POOL MB0201 G2 02/55 FIXED 3.5                  | CUSIP: 3618N5GK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1599999 | PA      | $1457781.54   | 0.38%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-339.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.9975 07/25/19-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-413559.81   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COM FWD NAPGASFO M25 7 06/30/25 BPS                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-1658.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-1529.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                       | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H032670<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -11480000 | PA      | $-10438395.26 | -2.71%            | 2054-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.59 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $26401.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR GST                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-178990.24   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.19700 11/08/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1057113.60   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20250709                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-724.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2004-3A                             | SLM STUDENT LOAN TRUST SLMA 2004 3A A6B 144A            | CUSIP: 78442GLL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    208115 | PA      | $207767.42    | 0.05%             | 2064-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMF1TC JPM                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-166687.69   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN 80 CLO LTD 2019-80A                                 | DRYDEN SENIOR LOAN FUND DRSLF 2019 80A AR 144A          | CUSIP: 26245JAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    385650 | PA      | $386402.75    | 0.10%             | 2033-01-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      SEP31 IFED 20310827                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $63.57        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-24405.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      OCT30 IFED 20300926                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $406.51       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1521.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SUGAR  11 (WORLD) MAR26 IFUS 20260227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -20 | NC      | $21948.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1783.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | LME ZINC FUTURE   SEP25 XLME 20250915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -3 | NC      | $-4670.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $5814.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-14455.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-5                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 5 M4            | CUSIP: 126673V33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5718 | PA      | $5677.45      | 0.00%             | 2035-10-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | COPPER FUTURE     AUG25 XCEC 20250827                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -4 | NC      | $-5788.33     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | PALLADIUM FUTURE  SEP25 XNYM 20250926                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $2655.55      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | HENRY LD1 FIX FUT DEC26 IFED 20261125                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-3111.43     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | IRS EUR 2.12000 09/03/25-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-38023.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-22232.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 3.323 04/23/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1743.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-135.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMF1TC CBK                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-1881.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SNG KEROS V SNG GAMAR26 IFEU 20260331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $-42.09       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $676.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US ULTRA BOND CBT SEP25 XCBT 20250919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       115 | NC      | $629140.81    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  APR26 XNYM 20260327                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -3 | NC      | $3990.74      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-33522.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY LD1 FIX FUT JUL26 IFED 20260626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-1548.93     | -0.00%            |  |  |  | No            |                  1 | 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        |    404071 | PA      | $388218.13    | 0.10%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  DEC25 XNYM 20251120                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        13 | NC      | $-18237.31    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 3.0 05/15/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $19229.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | LME COPPER FUTURE JUL25 XLME 20250714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         4 | NC      | $42010.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-9682.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                       | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                  | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1192672 | PA      | $1086939.96   | 0.28%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | KC HRW WHEAT FUT  SEP25 XCBT 20250912                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        47 | NC      | $-45343.60    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $718.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  DEC25 IFEU 20251119                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -2 | NC      | $-7030.09     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $2961.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA1                        | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA1 A1        | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2378 | PA      | $2381.06      | 0.00%             | 2034-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $207.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-8274.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-13796.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.763 09/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $53304.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2006-19                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 2A3          | CUSIP: 12667CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71990 | PA      | $71057.31     | 0.02%             | 2037-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | 3MO EURO EURIBOR  SEP25 IFLL 20250915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |      -267 | NC      | $-130878.76   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| ITALY GOVT                                                 | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/36 1 | CUSIP: ACI2NDKJ4<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    310389 | PA      | $365502.27    | 0.09%             | 2036-05-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.335 02/05/18-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-228336.06   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO2                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO2 A1         | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36666 | PA      | $31199.26     | 0.01%             | 2045-09-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-4                                   | FANNIE MAE FNR 2025 4 FB                                | CUSIP: 3136BUU65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1149013 | PA      | $1151958.02   | 0.30%             | 2053-12-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  APR26 IFEU 20260227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -5 | NC      | $15347.87     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-5122.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | EURO-BTP FUTURE   SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        88 | NC      | $37272.15     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  MAR26 IFEU 20260130                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -4 | NC      | $623.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $222.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | DEUTSCHE BANK REPO REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    100000 | PA      | $100000.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 10/26 0.125                             | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6726103 | PA      | $6649545.55   | 1.73%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $838.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $2340.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-31293.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/27 0.375                             | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21657723 | PA      | $21363943.37  | 5.55%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                 | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A               | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500551.00    | 0.13%             | 2034-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/27 0.375                             | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16758031 | PA      | $16533628.50  | 4.29%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      MAY31 IFED 20310428                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-751.43      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD CHF BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-8266.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $43159.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD GBP BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-2058.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT ZAR SOLD USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $2201.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMF1TC BPS                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-549352.57   | -0.14%            |  |  |  | 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        |     18808 | PA      | $15133.26     | 0.00%             | 2037-10-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR USD SOFR/4.25000 12/20/23-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3988.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COM FWD NAPGASFO 2H25 7.86 12/31/25 BPS                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-9595.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NY HARB ULSD FUT  AUG25 XNYM 20250731                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -3 | NC      | $7632.95      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1         | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 1 2A1         | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17818 | PA      | $16419.69     | 0.00%             | 2035-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD NZD BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-3366.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | LOW SU GASOIL G   DEC25 IFEU 20251211                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        38 | NC      | $23256.09     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/29 3.875                             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    881938 | PA      | $963059.29    | 0.25%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      JUN31 IFED 20310528                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-368.93      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | HENRY LD1 FIX FUT MAR26 IFED 20260225                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-1373.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-30367.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-961.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT NOK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $134.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U80NA7 PIMCO FPPSWAPTION 2.5 CALL EUR                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -5000000 | NC      | $-53477.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5532                                    | FREDDIE MAC FHR 5532 FA                                 | CUSIP: 3137HKPJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1622125 | PA      | $1618989.37   | 0.42%             | 2055-04-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.3525 05/09/18-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-68410.89    | -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        | 379668640 | PA      | $2730091.85   | 0.71%             | 2028-03-10      | Fixed         | 0.10%                 | 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        |      3624 | PA      | $3773.74      | 0.00%             | 2034-11-01      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1308.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  FEB26 IFEU 20251230                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         8 | NC      | $8765.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-4R                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 4R 1A1 144A      | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22776 | PA      | $20770.23     | 0.01%             | 2036-10-26      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.79375 08/24/20-7Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $104817.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1236.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT THB SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $341.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD SEK BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $3.73         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $7815.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $14949.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-6681.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-17466.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 3.466 09/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $14128.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.155 10/17/17-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-197295.05   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NY HARB ULSD FUT  DEC25 XNYM 20251128                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $-7941.83     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD AUD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-39989.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1372.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                      | FED HM LN PC POOL 847614 FH 10/36 FLOATING VAR          | CUSIP: 3128JRN77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10681 | PA      | $10845.49     | 0.00%             | 2036-10-01      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX4                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX4 A4        | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124625 | PA      | $122692.05    | 0.03%             | 2036-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A5                        | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A5 A3          | CUSIP: 45660LJZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46723 | PA      | $28377.97     | 0.01%             | 2035-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $3127.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY LD1 FIX FUT OCT26 IFED 20260928                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-1686.43     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  DEC27 XNYM 20271119                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -15 | NC      | $-17017.61    | -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        |      2803 | PA      | $2638.19      | 0.00%             | 2045-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/44 1.375                             | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    137631 | PA      | $115662.13    | 0.03%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  FEB26 XNYM 20260120                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        11 | NC      | $12871.99     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      JUL30 IFED 20300626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $-605.99      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PIMCO FUNDS                                                | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    310843 | PA      | $3026677.00   | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-46852.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                       | GNMA II POOL MA8487 G2 12/52 FIXED 3.5                  | CUSIP: 36179XNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5600867 | PA      | $5115566.06   | 1.33%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD AUD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-28817.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                              | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1                  | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37023 | PA      | $32103.97     | 0.01%             | 2036-07-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-5069.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SNG KEROS V SNG GAJUL25 IFEU 20250731                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $727.91       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-22936.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY11 A1       | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260867 | PA      | $244860.75    | 0.06%             | 2036-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT ZAR SOLD USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $3450.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | CMBX.NA.AAA.8 SP DUB                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  NOV25 IFEU 20250930                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -6 | NC      | $-16302.46    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SILVER FUTURE     SEP25 XCEC 20250926                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-3975.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                      | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C        | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126825 | PA      | $41647.18     | 0.01%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1077.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | GASOLINE RBOB FUT AUG25 XNYM 20250731                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $-9068.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 2A AR1 144A   | CUSIP: ACI1XGH29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    453342 | PA      | $534393.08    | 0.14%             | 2031-11-15      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | CORN FUTURE       SEP25 XCBT 20250912                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |      -102 | NC      | $101399.34    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD MXN BOUGHT USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-15.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      AUG30 IFED 20300729                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $-200.99      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EURO-GALAXY III CLO BV 13-3A                               | EURO GALAXY CLO DAC EGLXY 2013 3A ARRR 144A             | CUSIP: ACI1W6FF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    498237 | PA      | $585661.91    | 0.15%             | 2034-04-24      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | VARS GOLDLNPM 0.06325225 04/10/26 JPM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $150565.69    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR SOG                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-94844.84    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.19000 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $529954.01    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-32745.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT BRL SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $24154.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/26 0.125                             | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44320190 | PA      | $43941087.46  | 11.41%            | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  JUN26 IFEU 20260430                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         3 | NC      | $7449.74      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      JAN30 IFED 20291227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $8874.01      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT CAD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $40056.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | CARBON EMISSIONS FUTURES NDEX 20251215                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | NL        |         7 | NC      | $-36489.77    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $46827.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US 10YR NOTE (CBT)SEP25 XCBT 20250919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -3 | NC      | $-2785.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH3 M3        | CUSIP: 17309QAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $392854.92    | 0.10%             | 2036-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | CA CARBON ALLOW 25DEC25 IFED 20251224                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       120 | NC      | $-107105.07   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    110399 | PA      | $103021.19    | 0.03%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO VII DAC 7A                          | BLACKROCK EUROPEAN CLO DAC BECLO 7A AR 144A             | CUSIP: ACI1W2WD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    311811 | PA      | $366278.23    | 0.10%             | 2031-10-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-14.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/43 0.625                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    209274 | PA      | $155679.23    | 0.04%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | RFRF USD SOFR/2.28500 11/15/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $613691.59    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOYBEAN OIL FUTR  JAN26 XCBT 20260114                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $-1520.43     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT GBP SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $3186.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1815.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                     | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A          | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1597880.13   | 0.42%             | 2034-10-19      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $464.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $238.05       | 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        |      7242 | PA      | $4765.37      | 0.00%             | 2037-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 3.3 06/04/2025-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4217.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND VII DAC 7A                          | CORDATUS CLO PLC CORDA 7A ARR 144A                      | CUSIP: ACI1W2TC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    268720 | PA      | $316486.51    | 0.08%             | 2031-09-15      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $2734.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SGX IRON ORE 62   SEP25 XSIM 20250930                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | SG        |        67 | NC      | $-11102.63    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | PLATINUM FUTURE   OCT25 XNYM 20251029                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         4 | NC      | $35916.99     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP FR NI 1.91 01/15/18-20Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | FR        |         1 | NC      | $-23016.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  DEC26 IFEU 20261119                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $-2010.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      JUN30 IFED 20300529                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $-1850.99     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      NOV30 IFED 20301029                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $2191.51      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-33743.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-8                                     | LEHMAN XS TRUST LXS 2006 8 3A4                          | CUSIP: 52522HAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72341 | PA      | $70896.04     | 0.02%             | 2036-06-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  DEC26 XNYM 20261120                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        15 | NC      | $-61394.90    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $29914.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-5490.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-7                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 7 3CB         | CUSIP: 93934FBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8906 | PA      | $7604.56      | 0.00%             | 2035-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-29475.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $13067.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WHEAT FUTURE(CBT) SEP25 XCBT 20250912                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -43 | NC      | $28142.44     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-15XS                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 15XS A6A        | CUSIP: 61750YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    661291 | PA      | $144522.88    | 0.04%             | 2036-11-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1244.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US LONG BOND(CBT) SEP25 XCBT 20250919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -218 | NC      | $-881077.00   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                     | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16927 | PA      | $16365.61     | 0.00%             | 2045-02-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | MT BELV ETHAN 5DE FEB26 XNYM 20260227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-352.13      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG          | CUSIP: 38380LJY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    288259 | PA      | $289644.14    | 0.08%             | 2068-08-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  APR26 XNYM 20260320                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -5 | NC      | $25907.18     | 0.01%             |  |  |  | No            |                  1 | 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        |    687876 | PA      | $689251.87    | 0.18%             | 2037-01-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-550.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2900000 | PA      | $2990217.35   | 0.78%             | 2054-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY LD1 FIX FUT APR26 IFED 20260327                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-683.93      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-8351.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $31729.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS GROUP AG SR UNSECURED REGS 01/28 VAR                | CUSIP: ACI1HYKW8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    100000 | PA      | $114571.34    | 0.03%             | 2028-01-14      | Floating      | 0.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      FEB31 IFED 20310129                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $1801.07      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR1                           | GSR MORTGAGE LOAN TRUST GSR 2005 AR1 1A1                | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4403 | PA      | $4183.43      | 0.00%             | 2035-01-25      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  JUN26 XNYM 20260519                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -13 | NC      | $16254.67     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-32702.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/35 2.125                             | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2439360 | PA      | $2480650.75   | 0.64%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | 3MO EURO EURIBOR  SEP26 IFLL 20260914                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |       267 | NC      | $173135.58    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR BPS                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-1283739.91  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  JAN27 XNYM 20261229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -6 | NC      | $-8507.78     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STEELE CREEK CLO LTD 2018-1A                               | STEELE CREEK CLO LTD STCR 2018 1A A 144A                | CUSIP: 85815CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450857 | PA      | $451412.67    | 0.12%             | 2031-04-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1611.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  JAN26 XNYM 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        12 | NC      | $-33132.31    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE REMICS 2025-52                                  | FANNIE MAE FNR 2025 52 FB                               | CUSIP: 3136BWUZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1704143.41   | 0.44%             | 2055-07-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                    | FREDDIE MAC FHR 5508 AF                                 | CUSIP: 3137HJFR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1688451 | PA      | $1690556.90   | 0.44%             | 2055-02-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-12                                  | FANNIE MAE FNR 2025 12 FG                               | CUSIP: 3136BVFH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1807176 | PA      | $1808967.72   | 0.47%             | 2055-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | EURO-BUND FUTURE  SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -68 | NC      | $82014.48     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/28 0.5                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26302989 | PA      | $25817984.57  | 6.71%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                           | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1              | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9826 | PA      | $9615.62      | 0.00%             | 2035-02-25      | Floating      | 5.87%                 | 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        |   2450160 | PA      | $2549904.57   | 0.66%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD MXN BOUGHT USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-848.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP BCOMF1NTC BPS                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $121.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | GOLD 100 OZ FUTR  DEC25 XCEC 20251229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $-18967.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                     | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1          | CUSIP: 75971FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    876608 | PA      | $355436.79    | 0.09%             | 2037-09-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                          | FANNIE MAE FNR 2006 5 3A2                               | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4595 | PA      | $4707.18      | 0.00%             | 2035-05-25      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      AUG31 IFED 20310729                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $131.07       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-5847.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 10/28 2.375                             | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28799100 | PA      | $29879281.09  | 7.76%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| VENTURE XXIX CLO LTD 2017-29A                              | VENTURE CDO LTD VENTR 2017 29A AR 144A                  | CUSIP: 92331EAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     95962 | PA      | $96038.56     | 0.02%             | 2030-09-07      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $15871.72     | 0.00%             |  |  |  | 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      | $-10703.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      MAR31 IFED 20310226                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $273.57       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 10/29 1.625                             | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31703651 | PA      | $32102705.81  | 8.34%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT NZD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $3370.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                 | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A            | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429177 | PA      | $433685.27    | 0.11%             | 2037-10-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U7XVA7 PIMCO FPPSWAPTION 2.35 CALL EUR               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -12500000 | NC      | $-108904.48   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT GBP SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $2061.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOYBEAN OIL FUTR  DEC25 XCBT 20251212                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -6 | NC      | $-15498.94    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | RFR JPY MUTK/0.50000 12/15/21-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $65180.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                     | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 2A1        | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3068 | PA      | $3188.80      | 0.00%             | 2035-11-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-646.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $9.74         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                | BANK OF AMERICA CORP JR SUBORDINA 12/99 VAR             | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |    230000 | NS      | $233714.50    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-47768.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 1.38 03/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-27887.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TIKEHAU CLO IV BV 4A                                       | TIKEHAU TIKEH 4A A1 144A                                | CUSIP: ACI2NY720<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    629853 | PA      | $742955.63    | 0.19%             | 2031-10-15      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $135.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  11700000 | PA      | $11700000.00  | 3.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                     | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A3 144A   | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31073 | PA      | $20446.11     | 0.01%             | 2037-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-25623.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $13400.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5       | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8113 | PA      | $8085.66      | 0.00%             | 2036-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-97.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W1                              | ARGENT SECURITIES INC. ARSI 2005 W1 A1                  | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48548 | PA      | $43507.48     | 0.01%             | 2035-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD EUR BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-15282.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  MAY26 IFEU 20260331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -7 | NC      | $18045.08     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  JUL26 XNYM 20260622                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -6 | NC      | $6752.27      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                              | ARGENT SECURITIES INC. ARSI 2006 W4 A2C                 | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    541922 | PA      | $130487.07    | 0.03%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT CHF SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $8247.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                             | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1         | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9179 | PA      | $8430.04      | 0.00%             | 2035-06-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-30783.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/33 1.375                             | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2323530 | PA      | $2257535.38   | 0.59%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD NOK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-232.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD NZD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-5724.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOYBEAN FUTURE    NOV25 XCBT 20251114                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        21 | NC      | $-15786.44    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.68 04/15/23-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $87762.67     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-31729.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1614.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-15334.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR2 MEI                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-2036610.42  | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                           | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 2A1              | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9299 | PA      | $8816.98      | 0.00%             | 2035-08-25      | Floating      | 6.83%                 | 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        |     15163 | PA      | $13870.35     | 0.00%             | 2036-03-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      NOV31 IFED 20311029                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $746.07       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                            | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A          | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1681839 | PA      | $1679609.42   | 0.44%             | 2032-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                       | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H032670<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2680000 | PA      | $2436837.92   | 0.63%             | 2054-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | LME PRI ALUM FUTR SEP25 XLME 20250915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -3 | NC      | $-8329.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/30 1.625                             | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13905432 | PA      | $14009842.33  | 3.64%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | EURO-BUXL 30Y BND SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -11 | NC      | $29130.06     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-28942.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NY HARB ULSD FUT  SEP25 XNYM 20250829                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-1112.37     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | IRS EUR 2.25000 09/17/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1505199.52  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  DEC26 IFEU 20261030                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        15 | NC      | $23004.54     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 5549                                    | FREDDIE MAC FHR 5549 BF                                 | CUSIP: 3137HLS52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1677002 | PA      | $1681777.28   | 0.44%             | 2055-02-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE3                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A2D        | CUSIP: 17310VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32932 | PA      | $22213.61     | 0.01%             | 2036-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $163.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR USD SOFR/2.86500 02/13/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1261273.51   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN LEVERAGED LOAN CDO 2019-69A                         | DRYDEN LEVERAGED LOAN CDO DRYD 2019 69A AR 144A         | CUSIP: ACI2Q4GN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1900000 | PA      | $2228034.75   | 0.58%             | 2034-10-18      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-995.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      FEB30 IFED 20300129                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $6571.51      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD KRW BOUGHT USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-255.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $24709.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COFFEE 'C' FUTURE SEP25 IFUS 20250918                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $57509.13     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | US 2YR NOTE (CBT) SEP25 XCBT 20250930                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -301 | NC      | $-222614.18   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SNG KEROS V SNG GASEP25 IFEU 20250930                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         2 | NC      | $1064.95      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CARVAL CLO III LTD                                         | CARVAL CLO LTD CARVL 2019 2A AR2 144A                   | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1972780 | PA      | $1974255.14   | 0.51%             | 2032-07-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-624.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2007-20N                            | LEHMAN XS TRUST LXS 2007 20N A1                         | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    286768 | PA      | $279629.91    | 0.07%             | 2037-12-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO VI DAC 6A                                       | ARBOUR CLO ARBR 6A AR 144A                              | CUSIP: ACI2RC930<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1178227.58   | 0.31%             | 2037-11-15      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-20264.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CAD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-40180.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-29703.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $3057.66      | 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        |     57880 | PA      | $79431.19     | 0.02%             | 2045-06-13      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TREASURY BILL 07/25 0.00000                             | CUSIP: 912797NX1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13130000 | PA      | $13126946.49  | 3.41%             | 2025-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                       | GNMA II POOL MB0420 G2 06/55 FIXED 3.5                  | CUSIP: 3618N5PE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11478852 | PA      | $10458542.42  | 2.72%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $2829.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP PIMCODB MAC                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-1259159.18  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP JMABNIC5 JPM                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-366265.67   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP CMDSKEWLS GST                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-94415.01    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/RBCAEC0T RBC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-154043.18   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer