# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007184
**Filing Date:** 2026-5
**Character Count:** 195564
**Document Hash:** 03055531408d5a75ebda552b2317c373
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007184.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007184

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043338

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

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

## Series and Classes Contracts Data

### PIMCO Low Duration ESG Fund (Series ID: S000009693)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026584 | Institutional | PLDIX           |
| C000066770 | I-2           | PLUPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Low Duration ESG Fund

- **b. EDGAR series identifier (if any):** S000009693

- **c. LEI of Series:** J3HDCJQLI0Z3MYG73Z14

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $420600067.62

**Total Liabilities:** $99441402.65

**Net Assets:** $321158664.97

**Cash Not Reported:** $3946782.61

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 14086.722400 | **1-Year:** 6382.631500 | **5-Year:** 31425.081600 | **10-Year:** 6200.248800 | **30-Year:** 2.544900

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

- **3-Month:** 219.361000 | **1-Year:** 112.152000 | **5-Year:** 210.848900 | **10-Year:** 1.492200 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000066770 | 0.39%                | 0.37%                | -0.80%               |
| Class ID C000026584 | 0.39%                | 0.38%                | -0.79%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $106573.70               | $594047.35                                 |
| Month 2  | $-168061.46              | $1006494.62                                |
| Month 3  | $-115049.81              | $-2039323.83                               |

**Designated Index Information**

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

- **Index Identifier:** G1O2, LUICTRUU

### Schedule of Portfolio Investments

| Name                                                              | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMMC CLO 24 LTD                                                   | AMERICAN MONEY MANAGEMENT CORP AMMC 2021 24A AR 144A    | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700229.50    | 0.22%             | 2035-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA9128 FR 08/53 FIXED 5.5             | CUSIP: 3133KRD92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    723498 | PA      | $729237.90    | 0.23%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.93000 01/06/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-4343.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6830 FN 07/53 FIXED 4.5                     | CUSIP: 3140QSSU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5345328 | PA      | $5176473.36   | 1.61%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.64500 08/07/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2537.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $11023.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK CITY HOUSING DEVELOPMENT CORP                            | NEW YORK CITY NY HSG DEV CORP NYCMFH 05/26 FIXED 1.023  | CUSIP: 64972EUA5<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |    650000 | PA      | $648465.94    | 0.20%             | 2026-05-01      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $4072.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BO7890 G2 07/49 FIXED 3.5                  | CUSIP: 3617KPXT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    276309 | PA      | $255794.14    | 0.08%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                            | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A2 144A     | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650035 | PA      | $650447.64    | 0.20%             | 2050-06-21      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY                  | CALIFORNIA ST HLTH FACS FING A CASMED 06/26 FIXED 1.168 | CUSIP: 13032UXN3<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |   1000000 | PA      | $995353.90    | 0.31%             | 2026-06-01      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                     | GREYWOLF CLO LTD GWOLF 2020 3RA A1R2 144A               | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    327826 | PA      | $328143.85    | 0.10%             | 2033-04-22      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY9171 FN 09/53 FIXED 5                       | CUSIP: 3140NSFM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    906040 | PA      | $898419.15    | 0.28%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-201.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H10                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H10 FH          | CUSIP: 38376RAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90873 | PA      | $90920.43     | 0.03%             | 2065-04-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8329 FR 06/53 FIXED 5               | CUSIP: 3132DWHE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1112600 | PA      | $1103127.74   | 0.34%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H08 FB          | CUSIP: 38375UUZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    151738 | PA      | $151918.07    | 0.05%             | 2065-03-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797SM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $798227.94    | 0.25%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-1373.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                 | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A        | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38498 | PA      | $7990.45      | 0.00%             | 2036-12-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG01 | FHLMC MULTIFAMILY STRUCTURED P FHMS KG01 A7             | CUSIP: 3137FMD25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    177046 | PA      | $176555.10    | 0.05%             | 2026-04-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1095.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                       | CITIBANK NA SR UNSECURED 11/27 VAR                      | CUSIP: 17325FBL1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    600000 | PA      | $602009.53    | 0.19%             | 2027-11-19      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A        | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5875 | PA      | $5033.94      | 0.00%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                               | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1           | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31926 | PA      | $30753.24     | 0.01%             | 2035-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                           | NTT FINANCE CORP SR UNSECURED 144A 07/27 4.567          | CUSIP: 62954WAP0<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $200513.86    | 0.06%             | 2027-07-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $107.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG01 | FHLMC MULTIFAMILY STRUCTURED P FHMS KG01 A10            | CUSIP: 3137FMCZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1900000 | PA      | $1828023.25   | 0.57%             | 2029-04-25      | Fixed         | 2.94%                 | 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        |      8653 | PA      | $8456.08      | 0.00%             | 2045-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                             | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A         | CUSIP: 36829JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1543 | PA      | $649.61       | 0.00%             | 2036-08-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)              | FREDDIE MAC NOTES 10/26 0.8                             | CUSIP: 3134GW6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   1700000 | PA      | $1670940.46   | 0.52%             | 2026-10-28      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 799940 FN 11/34 FLOATING VAR                  | CUSIP: 31405UV97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1407 | PA      | $1426.07      | 0.00%             | 2034-11-01      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $81.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                              | NORINCHUKIN BANK SR UNSECURED 144A 09/26 1.284          | CUSIP: 656029AG0<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |   2200000 | PA      | $2167717.68   | 0.67%             | 2026-09-22      | Fixed         | 1.28%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO IV DAC 4A                                        | CAPITAL FOUR CLO CFOUR 4A ARR 144A                      | CUSIP: ACI38L038<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $576173.25    | 0.18%             | 2038-04-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2021-3CS                | GOODLEAP SUSTAINABLE HOME IMPR GOOD 2021 3CS A 144A     | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1451979 | PA      | $1127768.61   | 0.35%             | 2048-05-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 04/09/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $985.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3380.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                     | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/26 1.625      | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1500000 | PA      | $1488805.26   | 0.46%             | 2026-07-12      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A       | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13233 | PA      | $13026.99     | 0.00%             | 2034-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87000 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-424.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NBN CO LIMITED                                                    | NBN CO LTD SR UNSECURED 144A 10/27 4                    | CUSIP: 62878U2H4<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |    300000 | PA      | $298985.19    | 0.09%             | 2027-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                          | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A                | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001368.38   | 0.31%             | 2034-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-816.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA9796 FR 09/53 FIXED 4.5             | CUSIP: 3133KR3D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2552375 | PA      | $2471089.72   | 0.77%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $83.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-2A                           | HERTZ VEHICLE FINANCING LLC HERTZ 2023 2A A 144A        | CUSIP: 42806MBW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1022766.10   | 0.32%             | 2029-09-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                          | SNAM SPA SR UNSECURED 144A 05/30 5                      | CUSIP: 83304JAA5<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |    700000 | PA      | $707475.17    | 0.22%             | 2030-05-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2437.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMIT 2022-BVUE MORTGAGE TRUST                                    | SUMIT 2022 BVUE MORTGAGE TRUST SUMMT 2022 BVUE B 144A   | CUSIP: 865592AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $263879.73    | 0.08%             | 2041-02-12      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.93000 03/24/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2566.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2025-4 DAC 25-4A                              | GROSVENOR PLACE CLO BV GROSV 2025 4A A 144A             | CUSIP: ACI379GR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    900000 | PA      | $1040239.71   | 0.32%             | 2039-08-15      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $2117.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                     | BSST MORTGAGE TRUST BSST 2021 1818 A 144A               | CUSIP: 07403PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $623926.31    | 0.19%             | 2036-03-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MARGAY CLO II DAC 2A                                              | MARGAY CLO MARGA 2A AR 144A                             | CUSIP: ACI384PC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1153156.28   | 0.36%             | 2037-07-15      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-1113.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  MAY26C 113 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $-532.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FE          | CUSIP: 38376R5H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    116824 | PA      | $118402.26    | 0.04%             | 2067-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 FD          | CUSIP: 38382YC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3575495 | PA      | $3656621.83   | 1.14%             | 2072-11-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-318.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $1025.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-941.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $3304.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797TS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1492750.01   | 0.46%             | 2026-05-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A      | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    299143 | PA      | $299345.59    | 0.09%             | 2036-10-16      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-56.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                          | LLOYDS BANKING GROUP PLC SR UNSECURED 02/30 VAR         | CUSIP: 53944YBG7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $692629.76    | 0.22%             | 2030-02-10      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $336.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $61477.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                            | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P A 144A     | CUSIP: 61772WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1066037.50   | 0.33%             | 2038-12-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-252.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                     | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A     | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2194775.00   | 0.68%             | 2043-10-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR6                            | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 1A1       | CUSIP: 36185MBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2562 | PA      | $1295.71      | 0.00%             | 2035-11-19      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21632 | PA      | $21082.94     | 0.01%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4          | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A    | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    457764 | PA      | $458873.79    | 0.14%             | 2036-11-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $956.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $23231.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA2970 FR 07/50 FIXED 2.5             | CUSIP: 3133KJJP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1394640 | PA      | $1187323.98   | 0.37%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-347.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -600000 | PA      | $-504304.69   | -0.16%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $1644.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $77.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DENSO CORPORATION                                                 | DENSO CORP SR UNSECURED 144A 09/29 4.42                 | CUSIP: 24872BAB6<br>LEI: 549300RYPA10CQM3QK38 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $499468.35    | 0.16%             | 2029-09-11      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                        | GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1                  | CUSIP: 36228F4P8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3579 | PA      | $3477.27      | 0.00%             | 2034-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $3092.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-32.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-17.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $812.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260520                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-2043.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN 2021-2GS LTD                                   | LOANPAL SOLAR LOAN LTD. LPSLT 2021 2GS A 144A           | CUSIP: 53948QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    676794 | PA      | $534597.20    | 0.17%             | 2048-03-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB2786 FN 01/52 FIXED 3                       | CUSIP: 3140QNCY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3810515 | PA      | $3361307.76   | 1.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 BF          | CUSIP: 38382YC27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4110042 | PA      | $4207039.45   | 1.31%             | 2072-11-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797SW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $5965493.16   | 1.86%             | 2026-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1940.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $2221.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2183540 | PA      | $2103785.87   | 0.66%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY SR UNSECURED 04/28 VAR                   | CUSIP: 61747YFN0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    800000 | PA      | $802991.80    | 0.25%             | 2028-04-13      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797TU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $397515.41    | 0.12%             | 2026-06-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-2304.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $352.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-178.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ              | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA          | CUSIP: 38376RC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    110159 | PA      | $110523.69    | 0.03%             | 2066-10-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3029 FN 06/32 FIXED 3                       | CUSIP: 31418CLK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    431035 | PA      | $419571.77    | 0.13%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-460.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAHOA6 PIMCO SWAPTION 3.757 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  12000000 | NC      | $26638.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNNOVA HELIOS VIII ISSUER 2022-A                                 | SUNNOVA HELIOS VIII ISSUER, LL SNVA 2022 A A 144A       | CUSIP: 86745AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1917250 | PA      | $1610004.54   | 0.50%             | 2049-02-22      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-6306.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $287.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.51400 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2263.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUTK/1.00000 03/18/26-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $111718.56    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -131 | NC      | $292606.58    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $15783.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC)       | HAT HOLDINGS I LLC/HAT COMPANY GUAR 144A 06/26 3.375    | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    183000 | PA      | $182366.39    | 0.06%             | 2026-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H10                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H10 FM          | CUSIP: 38376RAT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13686 | PA      | $13679.19     | 0.00%             | 2065-04-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1073.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $432.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90500 03/12/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-682.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-1493.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-1402.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.30000 09/25/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $803.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2008-RR1                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2008 RR1 A1A1 144A  | CUSIP: 173145AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16261 | PA      | $14562.29     | 0.00%             | 2037-01-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                            | MORGAN STANLEY BANK NA SR UNSECURED 01/29 VAR           | CUSIP: 61690DK72<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    800000 | PA      | $808694.82    | 0.25%             | 2029-01-12      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                           | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC A 144A     | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3152845 | PA      | $2999962.78   | 0.93%             | 2038-08-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                  | PROJECT CASHMERE CLASS A1 144A                          | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   5100000 | PA      | $3518745.95   | 1.10%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-7083.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG46 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1759.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9860 | PA      | $9512.49      | 0.00%             | 2035-09-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-6944.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $-1022.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOUR CLO VII DAC 7A                                             | ARBOUR CLO ARBR 7A AR 144A                              | CUSIP: ACI2S2CF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    900000 | PA      | $1042085.56   | 0.32%             | 2038-12-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1193332.72   | 0.37%             | 2026-05-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 303742 FN 08/29 FLOATING VAR                  | CUSIP: 31373ULX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       545 | PA      | $540.00       | 0.00%             | 2029-08-01      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-802.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $51712.27     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-168.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-32303.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.60500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1560.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R1                                   | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R1 M4          | CUSIP: 03072SYB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550584 | PA      | $545431.77    | 0.17%             | 2035-03-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BM9250 G2 05/49 FIXED 3.5                  | CUSIP: 3617K1H30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    112025 | PA      | $103984.97    | 0.03%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-84780.14    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.65000 08/14/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-999.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-6566.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                               | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1             | CUSIP: 31394JD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26558 | PA      | $27411.63     | 0.01%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $29274.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-111                                               | FANNIE MAE FNR 2009 111 EZ                              | CUSIP: 31398GRQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32834 | PA      | $33177.20     | 0.01%             | 2040-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G1727 FH 07/35 FLOATING VAR          | CUSIP: 3128QJ4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1788 | PA      | $1840.29      | 0.00%             | 2035-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $3917.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       459 | PA      | $466.10       | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-269.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA8480 FR 07/53 FIXED 4               | CUSIP: 3133KQM52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2152389 | PA      | $2036207.19   | 0.63%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BM8966 G2 06/49 FIXED 3.5                  | CUSIP: 3617K06B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    187328 | PA      | $174315.94    | 0.05%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-12168.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-366.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 918103 FN 05/37 FIXED 6                       | CUSIP: 31411YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       326 | PA      | $342.13       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KEB HANA BANK (AKA: KOREA EXCHANGE BANK)                          | HANA BANK SR UNSECURED 144A 04/27 5.375                 | CUSIP: 48723RAE5<br>LEI: 6RPK2YDJN6L35AS0M510 | Long             | DBT              | CORP              | KR        |   1500000 | PA      | $1519229.87   | 0.47%             | 2027-04-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1L0174 FH 08/35 FLOATING VAR          | CUSIP: 3128Q2FP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3037 | PA      | $3129.58      | 0.00%             | 2035-08-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      1291 | NC      | $-1931627.43  | -0.60%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-892.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-1888.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1658.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1.62        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $56.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $3388.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5                            | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 5 1APT        | CUSIP: 68383NCU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14823 | PA      | $14753.87     | 0.00%             | 2035-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| SUNNOVA SOL V ISSUER LLC 2023-1A                                  | SUNNOVA SOL V ISSUER, LLC SNVA 2023 1A A 144A           | CUSIP: 86745XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    463965 | PA      | $452566.81    | 0.14%             | 2058-04-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1        | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8 | PA      | $8.51         | 0.00%             | 2033-02-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-1 DAC 24-1A              | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 1A AR 144A    | CUSIP: ACI2W0KY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    476777 | PA      | $551604.29    | 0.17%             | 2033-08-15      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2073.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAHFA6 PIMCO SWAPTION 3.757 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  18800000 | NC      | $41734.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $1048.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-353.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                           | BPCE SA 144A 10/27 VAR                                  | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    800000 | PA      | $808965.60    | 0.25%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                      | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 04/29 5.875  | CUSIP: 147918AC0<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |   1000000 | PA      | $1043765.71   | 0.33%             | 2029-04-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2200000 | PA      | $2191997.50   | 0.68%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5189 FN 11/53 FIXED 5                       | CUSIP: 31418EXT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1366199 | PA      | $1352043.71   | 0.42%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-51591.02    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 07/26 0.00000                             | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2500000 | PA      | $2472288.55   | 0.77%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KOREA HOUSING FINANCE CORP (KHFC)                                 | KOREA HOUSING FINANCE CO SR UNSECURED 144A 08/27 4.875  | CUSIP: 50065RAP2<br>LEI: 9884002AAOBT56QW9B80 | Long             | DBT              | CORP              | KR        |    400000 | PA      | $404254.56    | 0.13%             | 2027-08-27      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H17 FL          | CUSIP: 38376REV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14923 | PA      | $14917.86     | 0.00%             | 2065-06-20      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTICLASS CERTIFICATES SERIES 2020-P003              | FREDDIE MAC MULTICLASS CERTIFI FHMR 2020 P003 A1        | CUSIP: 3137FWHY9<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |   1945363 | PA      | $1770555.84   | 0.55%             | 2031-02-25      | Fixed         | 0.83%                 | 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        |      6558 | PA      | $6373.28      | 0.00%             | 2034-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H31                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H31 FT          | CUSIP: 38376RMX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10475 | PA      | $10516.46     | 0.00%             | 2065-11-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $365.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $584.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-1990.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030660<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -10264195 | PA      | $-9001776.82  | -2.80%            | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 03/28 5.5    | CUSIP: 86563VBH1<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $408341.32    | 0.13%             | 2028-03-09      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                      | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                      | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18355 | PA      | $18286.20     | 0.01%             | 2042-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                             | BBCCRE TRUST BBCCR 2015 GTP A 144A                      | CUSIP: 05490TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2056984.60   | 0.64%             | 2033-08-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $391.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH A 144A   | CUSIP: 46654EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2129412.56   | 0.66%             | 2038-06-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080579 G2 02/32 FLOATING VAR               | CUSIP: 36225CUD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2269 | PA      | $2294.47      | 0.00%             | 2032-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1463.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-78                                         | FANNIE MAE FNR 2010 78 PE                               | CUSIP: 31398TAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35461 | PA      | $35871.15     | 0.01%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA9795 FR 09/53 FIXED 4               | CUSIP: 3133KR3C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    703866 | PA      | $665436.24    | 0.21%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $1405.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-26854.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797TZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $99312.47     | 0.03%             | 2026-06-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-146                                        | FANNIE MAE FNR 2012 146 QA                              | CUSIP: 3136ABFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3117 | PA      | $2707.15      | 0.00%             | 2043-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 679708 FN 09/41 FLOATING VAR                  | CUSIP: 31391XDM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7717 | PA      | $7765.79      | 0.00%             | 2041-09-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                   | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5053 | PA      | $2645.42      | 0.00%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $9213.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $-7351.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-1297.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $1281.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $2290.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BM1355 G2 07/49 FIXED 3.5                  | CUSIP: 3617JRQG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    152402 | PA      | $141846.18    | 0.04%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DA0566 FN 09/53 FIXED 5                       | CUSIP: 3140A0TY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1013742 | PA      | $1001989.89   | 0.31%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $389.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.74800 03/03/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2839.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG2351 FR 05/53 FIXED 5               | CUSIP: 3133C2TG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    136699 | PA      | $135510.92    | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $1489.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797QX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3600000 | PA      | $3574498.21   | 1.11%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-64457.23    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BX9727 FN 04/53 FIXED 5                       | CUSIP: 3140NEYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    427525 | PA      | $423535.82    | 0.13%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LN TR 2004-2                          | STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4           | CUSIP: 86358EGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29616 | PA      | $31687.07     | 0.01%             | 2034-03-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK8838 FN 08/48 FIXED 4                       | CUSIP: 3140HNZC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    134223 | PA      | $128987.44    | 0.04%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QH2698 FR 09/53 FIXED 5               | CUSIP: 3133CE7K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    836658 | PA      | $832414.58    | 0.26%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DA2947 FN 10/53 FIXED 5                       | CUSIP: 3140A3HZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1196297 | PA      | $1185007.47   | 0.37%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-1021.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.00000 12/21/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $761514.16    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-583.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-593.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                          | AMERICAN EXPRESS CO SR UNSECURED 04/27 VAR              | CUSIP: 025816DT3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1001027.20   | 0.31%             | 2027-04-23      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG6858 FR 07/53 FIXED 5               | CUSIP: 3133C7TP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    364518 | PA      | $361264.66    | 0.11%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                              | COLLEGE AVE STUDENT LOANS CASL 2018 A A1 144A           | CUSIP: 19423DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1246778 | PA      | $1248837.41   | 0.39%             | 2047-12-26      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-99.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84200 03/04/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3838.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-3.62        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 4.50000 06/18/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-250157.68   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.15000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-239391.60   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| HARVEST CLO XVI DAC 16A                                           | HARVEST CLO HARVT 16A AR3 144A                          | CUSIP: ACI354S05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1155099.96   | 0.36%             | 2038-10-15      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1      | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3559 | PA      | $3598.77      | 0.00%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1        | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34123 | PA      | $13351.54     | 0.00%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 815195 FN 05/35 FLOATING VAR                  | CUSIP: 31406NUU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       511 | PA      | $519.14       | 0.00%             | 2035-05-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.59900 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1928.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                       | EUROSAIL PLC ESAIL 2007 4X A3 REGS                      | CUSIP: BTGD2JII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    165854 | PA      | $219217.78    | 0.07%             | 2045-06-13      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                   | AES CORP/THE SR UNSECURED 06/28 5.45                    | CUSIP: 00130HCH6<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1009381.04   | 0.31%             | 2028-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4733 FN 06/53 FIXED 5                       | CUSIP: 3140NMHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    472177 | PA      | $467284.30    | 0.15%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.68000 08/07/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1061.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QH2700 FR 10/53 FIXED 5               | CUSIP: 3133CE7M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1354727 | PA      | $1340315.30   | 0.42%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H07 FG          | CUSIP: 38376RY26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60300 | PA      | $60277.38     | 0.02%             | 2067-02-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-15407.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                              | NORINCHUKIN BANK SR UNSECURED 144A 10/29 5.094          | CUSIP: 656029AN5<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $505704.09    | 0.16%             | 2029-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-144.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2076599 | PA      | $2005864.47   | 0.62%             | 2036-01-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $49.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080409 G2 05/30 FLOATING VAR               | CUSIP: 36225CN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2398 | PA      | $2402.68      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-1A                           | HERTZ VEHICLE FINANCING LLC HERTZ 2023 1A A 144A        | CUSIP: 42806MBS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $500976.11    | 0.16%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 04/28 VAR          | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    800000 | PA      | $804042.82    | 0.25%             | 2028-04-23      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1688.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255884 FN 08/35 FLOATING VAR                  | CUSIP: 31371MFZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12044 | PA      | $12442.65     | 0.00%             | 2035-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.40750 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3091.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6829 FN 07/53 FIXED 4                       | CUSIP: 3140QSST9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1413727 | PA      | $1338879.60   | 0.42%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $398912.35    | 0.12%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-31                                         | FANNIE MAE FNR 2013 31 HI                               | CUSIP: 3136ADGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85657 | PA      | $2162.09      | 0.00%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.27750 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $8184.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $301.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-4405.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5106 FN 08/53 FIXED 5                       | CUSIP: 31418EU81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1564065 | PA      | $1548815.43   | 0.48%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-121.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-487.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-4879.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $423.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2871 FN 01/32 FIXED 3                       | CUSIP: 31418CFM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    284427 | PA      | $277089.53    | 0.09%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                              | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581        | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    530000 | PA      | $545333.14    | 0.17%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BV5376 FN 04/52 FIXED 3                       | CUSIP: 3140MJ6N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3363898 | PA      | $2960330.56   | 0.92%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $3276.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88400 03/25/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1007.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-114.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $12071.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-1150.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-1040.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1         | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2518 | PA      | $2417.56      | 0.00%             | 2034-01-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| JSW HYDRO ENERGY LIMITED                                          | JSW HYDRO ENERGY LTD SR SECURED REGS 05/31 4.125        | CUSIP: Y4S71YAA2<br>LEI: 3358006ZP5KO7VUH2790 | Long             | DBT              | CORP              | IN        |    764500 | PA      | $700309.17    | 0.22%             | 2031-05-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $622.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA8481 FR 07/53 FIXED 4.5             | CUSIP: 3133KQM60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2691521 | PA      | $2604418.12   | 0.81%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0048 FR 10/53 FIXED 4.5             | CUSIP: 3142GQBS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4237448 | PA      | $4094853.80   | 1.28%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A       | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000321.56   | 0.31%             | 2035-01-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $83435.86     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                        | GUGGENHEIM 1888 FUND LTD GUGG 2022 2A A1R 144A          | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700239.65    | 0.22%             | 2035-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1                          | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1           | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3480 | PA      | $3480.34      | 0.00%             | 2038-04-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2022-1A                                   | MOSAIC SOLAR LOANS LLC MSAIC 2022 1A A 144A             | CUSIP: 61946QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1358204 | PA      | $1190896.17   | 0.37%             | 2053-01-20      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1025.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-38                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 38 WF           | CUSIP: 38380V2S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    195763 | PA      | $189716.96    | 0.06%             | 2043-10-20      | Floating      | 4.08%                 | 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      | $-39139.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.23100 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4447.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89900 03/11/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1274.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SFE0 PIMCO FXVAN CALL USD JPY 157.7000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -815200 | NC      | $-9473.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                               | GLOBAL PAYMENTS INC SR UNSECURED 11/28 4.5              | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    300000 | PA      | $297163.41    | 0.09%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 813586 FN 03/35 FLOATING VAR                  | CUSIP: 31406L2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       229 | PA      | $234.23       | 0.00%             | 2035-03-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90750 03/04/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1423.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-592.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GLOBAL FUNDING II                                    | PACIFIC LIFE GF II SECURED 144A 04/26 1.375             | CUSIP: 6944PL2E8<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1898201.61   | 0.59%             | 2026-04-14      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-128.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $511.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QH2457 FR 10/53 FIXED 5               | CUSIP: 3133CEWS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    939617 | PA      | $928145.87    | 0.29%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-16.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                      | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                    | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1981 | PA      | $1974.66      | 0.00%             | 2042-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-7017.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-250.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SECURED REGS 02/27 VAR            | CUSIP: ACI2MZXR4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    600000 | PA      | $694295.99    | 0.22%             | 2027-02-23      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1162.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QH2697 FR 10/53 FIXED 5               | CUSIP: 3133CE7J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1433040 | PA      | $1426794.57   | 0.44%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $61.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG8791 FR 08/53 FIXED 5               | CUSIP: 3133C9XU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    563524 | PA      | $556713.34    | 0.17%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12005 | PA      | $10563.29     | 0.00%             | 2035-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3968 FN 12/26 FIXED 3                       | CUSIP: 31417AMS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49628 | PA      | $49364.10     | 0.02%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-2.82        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1               | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22592 | PA      | $21384.42     | 0.01%             | 2036-02-20      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.50000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-218274.40   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ8540 FN 01/27 FIXED 3                       | CUSIP: 3138E1P27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8735 | PA      | $8675.52      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $50.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $5505.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0241 FN 08/47 FIXED 4                       | CUSIP: 3140Q7HT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    314277 | PA      | $300389.55    | 0.09%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735813 FN 07/35 FLOATING VAR                  | CUSIP: 31402RN62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       298 | PA      | $305.49       | 0.00%             | 2035-07-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-1A                                          | FIRST HELP FINANCIAL LLC FHF 2024 1A A2 144A            | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    301201 | PA      | $303047.18    | 0.09%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                            | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2FP          | CUSIP: 61749KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7654 | PA      | $2740.73      | 0.00%             | 2036-07-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                         | BANQUE FED CRED MUTUEL 144A 02/28 5.194                 | CUSIP: 06675DCM2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $405348.00    | 0.13%             | 2028-02-16      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/30 1.625                             | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    715141 | PA      | $722532.54    | 0.22%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-1136.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080086 G2 06/27 FLOATING VAR               | CUSIP: 36225CCY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       512 | PA      | $513.60       | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SERVICE EXPERTS ISSUER 2021-1A LLC                                | SERVICE EXPERTS ISSUER SE 2021 1A A 144A                | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251320 | PA      | $247297.13    | 0.08%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $38036.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $201458.92    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2266                                                  | FREDDIE MAC FHR 2266 F                                  | CUSIP: 3133TQFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4 | PA      | $3.95         | 0.00%             | 2030-11-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7218 FN 10/53 FIXED 5                       | CUSIP: 3140QTAU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2547469 | PA      | $2524211.71   | 0.79%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BP1523 G2 08/49 FIXED 3.5                  | CUSIP: 3617L7VQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    424538 | PA      | $393545.74    | 0.12%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MTGE SEC 2004-G                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 G 2A7         | CUSIP: 05949ALH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6779 | PA      | $6827.43      | 0.00%             | 2034-08-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY HOUSING DEVELOPMENT CORP                            | NEW YORK CITY NY HSG DEV CORP NYCMFH 11/26 FIXED 1.123  | CUSIP: 64972EUB3<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |    250000 | PA      | $246105.63    | 0.08%             | 2026-11-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-245.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $32540.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                     | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                 | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       418 | PA      | $396.12       | 0.00%             | 2034-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-2.08        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREATAMERICA LEASING RECEIVABLES FUNDING LLC 2025-1               | GREAT AMERICA LEASING RECEIVAB GALC 2025 1 A2 144A      | CUSIP: 39154GAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    869241 | PA      | $871311.05    | 0.27%             | 2027-10-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       511 | NC      | $-813359.06   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030645<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -10100000 | PA      | $-8872768.70  | -2.76%            | 2056-04-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-22031.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  19300000 | PA      | $19300000.00  | 6.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3MO EURO EURIBOR  DEC26 IFLL 20261214                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        56 | NC      | $-51362.26    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| COOPERATIEVE RABOBANK UA/NEW YORK BRANCH                          | COOPERAT RABOBANK UA/NY 08/26 VAR                       | CUSIP: 21688ABG6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $500524.05    | 0.16%             | 2026-08-28      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO XII DAC  12A                                     | INVESCO EURO CLO XII DAC INVSC 12A A1R 144A             | CUSIP: ACI387VH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1300000 | PA      | $1498484.99   | 0.47%             | 2037-07-15      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $145.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-57.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $2420.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $2.89         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2004-AA6            | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA6 A1        | CUSIP: 32051GCB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39769 | PA      | $39523.05     | 0.01%             | 2035-01-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $2394.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $396408.50    | 0.12%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $4580472.06   | 1.43%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1397.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-247.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10264195 | PA      | $9017012.68   | 2.81%             | 2056-04-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-340.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XXX DAC 30A                                | CORDATUS CLO PLC CORDA 30A AR 144A                      | CUSIP: ACI354435<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $577581.65    | 0.18%             | 2037-05-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-262.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-1207.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -272 | NC      | $728745.12    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| WEIR GROUP PLC                                                    | WEIR GROUP PLC (THE) SR UNSECURED 144A 05/26 2.2        | CUSIP: 94876QAA4<br>LEI: 549300KDR56WHY9I3D10 | Long             | DBT              | CORP              | GB        |   2500000 | PA      | $2491555.80   | 0.78%             | 2026-05-13      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $25.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNRUN DEMETER ISSUER 2021-2A                                     | SUNRUN DEMETER ISSUER LLC SUNRN 2021 2A A 144A          | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2409049 | PA      | $2189810.89   | 0.68%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5071 FN 07/53 FIXED 5                       | CUSIP: 31418ET59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    259401 | PA      | $257112.41    | 0.08%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-565.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 FA          | CUSIP: 38383KGD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    625216 | PA      | $635427.69    | 0.20%             | 2073-08-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050643<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -700000 | PA      | $-690452.71   | -0.21%            | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS AG / STAMFORD BRANCH                                          | UBS AG STAMFORD CT SR UNSECURED 03/29 VAR               | CUSIP: 90261AAG7<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    300000 | PA      | $299677.74    | 0.09%             | 2029-03-16      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC COMPANY GUAR 144A 08/28 5.05         | CUSIP: 05565ECE3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    670000 | PA      | $679054.69    | 0.21%             | 2028-08-11      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QH1419 FR 08/53 FIXED 5               | CUSIP: 3133CDSG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1190724 | PA      | $1180647.68   | 0.37%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1042.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $1928.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAI6A4 PIMCO SWAPTION 3.757 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    100000 | NC      | $221.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-4226.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DA0936 FN 10/53 FIXED 5                       | CUSIP: 3140A1BE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1207702 | PA      | $1197482.11   | 0.37%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $678.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHF TRUST 2023-1A                                                 | FIRST HELP FINANCIAL LLC FHF 2023 1A A2 144A            | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94447 | PA      | $94779.82     | 0.03%             | 2028-06-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-1087.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  MAY26P 110 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $-1488.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-375.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-B                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 B 2A2         | CUSIP: 06050HD39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51677 | PA      | $49586.07     | 0.02%             | 2033-03-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $2705.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 654952 FN 07/42 FLOATING VAR                  | CUSIP: 31390STH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2509 | PA      | $2495.78      | 0.00%             | 2042-07-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC COMPANY GUAR 144A 03/28 4.75         | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    430000 | PA      | $432504.32    | 0.13%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2              | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20766 | PA      | $9000.91      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                   | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1              | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9653 | PA      | $9337.98      | 0.00%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-826.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1805970.33   | 0.56%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2350551 | PA      | $2218520.03   | 0.69%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2         | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1836 | PA      | $1786.30      | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $7.85         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-299.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 847415 FH 06/35 FLOATING VAR          | CUSIP: 3128JRGY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6895 | PA      | $7145.51      | 0.00%             | 2035-06-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| CTP NV                                                            | CTP NV SR UNSECURED REGS 09/26 0.625                    | CUSIP: ACI20LM91<br>LEI: 3157000YTVO4TN65UM14 | Long             | DBT              | CORP              | NL        |   1100000 | PA      | $1256957.58   | 0.39%             | 2026-09-27      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        | 109600000 | PA      | $109600000.01 | 34.13%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 332                                            | FREDDIEMAC STRIP FHS 332 V1                             | CUSIP: 3132HUCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     86258 | PA      | $88440.39     | 0.03%             | 2044-08-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                             | TORONTO DOMINION BANK SR UNSECURED 12/26 5.264          | CUSIP: 89115A2V3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1200000 | PA      | $1208263.92   | 0.38%             | 2026-12-11      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1237.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                           | EQUITABLE FINANCIAL LIFE SECURED 144A 07/26 1.3         | CUSIP: 29449W7M3<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1686239.86   | 0.53%             | 2026-07-12      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                   | SANTANDER UK GROUP HLDGS SR UNSECURED 09/29 VAR         | CUSIP: 80281LAW5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $300255.94    | 0.09%             | 2029-09-22      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                               | CONSTELLATION EN GEN LLC SR UNSECURED 01/28 3.9         | CUSIP: 210385AP5<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198486.47    | 0.06%             | 2028-01-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 144A 04/30 VAR                | CUSIP: 225401BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    800000 | PA      | $792953.90    | 0.25%             | 2030-04-10      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2945.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-24.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                    | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7607 | PA      | $7362.36      | 0.00%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-717.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-87.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2730.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-20Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10103.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS CLO XIX LTD                                              | TRINITAS CLO LTD TRNTS 2022 19A A1R 144A                | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    796918 | PA      | $796992.86    | 0.25%             | 2033-10-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H08                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H08 FT          | CUSIP: 38376RTW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12779 | PA      | $12833.46     | 0.00%             | 2066-02-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 01/29 VAR          | CUSIP: 38145GAP5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198820.29    | 0.06%             | 2029-01-21      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $1262.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87400 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1365.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUND FUTURE  JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         2 | NC      | $-7375.83     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-1052.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $158.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                | ORACLE CORP SR UNSECURED 02/29 VAR                      | CUSIP: 68389XDV4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    800000 | PA      | $793018.31    | 0.25%             | 2029-02-04      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 04/28 VAR              | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1316123.81   | 0.41%             | 2028-04-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $92.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0046 FR 10/53 FIXED 4               | CUSIP: 3142GQBQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    984255 | PA      | $929905.49    | 0.29%             | 2053-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                  | DEUTSCHE BANK NY 09/30 VAR                              | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    600000 | PA      | $602948.91    | 0.19%             | 2030-09-11      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.24800 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $8629.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-50.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-84                                                | FANNIE MAE FNR 2005 84 XM                               | CUSIP: 31394FN50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1526 | PA      | $1562.09      | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3376                                           | FREDDIE MAC FHR 3376 FD                                 | CUSIP: 31397KZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16039 | PA      | $16070.07     | 0.01%             | 2037-10-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.70000 08/13/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-2440.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FG          | CUSIP: 38376R4U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    203247 | PA      | $206021.34    | 0.06%             | 2067-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                              | VASA TRUST VASA 2021 VASA A 144A                        | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2849816.37   | 0.89%             | 2039-07-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-1489.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                         | COREBRIDGE GLOB FUNDING SR SECURED 144A 01/31 4.55      | CUSIP: 00138CBM9<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    600000 | PA      | $592689.70    | 0.18%             | 2031-01-09      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-1                                  | NOVASTAR HOME EQUITY LOAN NHEL 2006 1 A1A               | CUSIP: 669884AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24748 | PA      | $24617.99     | 0.01%             | 2036-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BX3483 FN 10/53 FIXED 5                       | CUSIP: 3140N72R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1163244 | PA      | $1153459.96   | 0.36%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.97500 03/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3611.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85000 08/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-330.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797TE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5400000 | PA      | $5354323.13   | 1.67%             | 2026-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA/NEW YORK BRANCH                            | GOLDMAN SACHS BANK USA SR UNSECURED 05/27 VAR           | CUSIP: 38151LAH3<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    800000 | PA      | $800186.77    | 0.25%             | 2027-05-21      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-231.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H15 FN          | CUSIP: 38376R5Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85805 | PA      | $85821.20     | 0.03%             | 2067-07-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                              | NORINCHUKIN BANK SR UNSECURED 144A 03/28 5.43           | CUSIP: 656029AL9<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    600000 | PA      | $609439.17    | 0.19%             | 2028-03-09      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844532 FN 11/35 FLOATING VAR                  | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1788 | PA      | $1816.84      | 0.00%             | 2035-11-01      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5164 FN 10/53 FIXED 5                       | CUSIP: 31418EW22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    602743 | PA      | $596868.83    | 0.19%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KSJ1       | FHLMC MULTIFAMILY STRUCTURED P FHMS KSG1 X1             | CUSIP: 3137FXLY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13570478 | PA      | $538404.63    | 0.17%             | 2030-09-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $7044.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $434.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1               | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       734 | PA      | $733.15       | 0.00%             | 2035-02-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4100000 | PA      | $3869407.88   | 1.20%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BM1356 G2 07/49 FIXED 3.5                  | CUSIP: 3617JRQH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    218470 | PA      | $202387.07    | 0.06%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797TD9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $992218.96    | 0.31%             | 2026-06-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | GOLDMAN SACHS GROUP INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $186.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-118.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $145.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A2           | CUSIP: 126673AX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    636586 | PA      | $626625.34    | 0.20%             | 2034-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1509.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BOBL FUTURE  JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         2 | NC      | $-4209.51     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY5837 FN 07/53 FIXED 5                       | CUSIP: 3140NNPX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69768 | PA      | $69140.48     | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 10/27 VAR              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1009622.05   | 0.31%             | 2027-10-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $7128.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMIT 2022-BVUE MORTGAGE TRUST                                    | SUMIT 2022 BVUE MORTGAGE TRUST SUMMT 2022 BVUE A 144A   | CUSIP: 865592AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1632653.46   | 0.51%             | 2041-02-12      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A14613 FG 10/33 FIXED 5               | CUSIP: 31296PDS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1689 | PA      | $1687.44      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5137 FN 09/53 FIXED 5                       | CUSIP: 31418EV72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1528952 | PA      | $1514044.55   | 0.47%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.41000 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3071.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-2721.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $98.71        | 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        |     19324 | PA      | $18050.36     | 0.01%             | 2035-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORPORATION                                   | TOYOTA MOTOR CREDIT CORP SR UNSECURED 08/26 4.55        | CUSIP: 89236TMJ1<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200269.60    | 0.06%             | 2026-08-07      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORP SR UNSECURED 05/29 VAR             | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    700000 | PA      | $703118.73    | 0.22%             | 2029-05-09      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY5850 FN 07/53 FIXED 5                       | CUSIP: 3140NNQC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1073878 | PA      | $1064074.26   | 0.33%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17884 FG 01/27 FIXED 3               | CUSIP: 3128PXXM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2499 | PA      | $2485.98      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4678                                           | FREDDIE MAC FHR 4678 AF                                 | CUSIP: 3137BWWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    254807 | PA      | $251690.84    | 0.08%             | 2042-12-15      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-5547.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO X 2020-10A                                       | OCEAN TRAILS CLO OCTR 2020 10A AR2 144A                 | CUSIP: 67516CAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001168.75   | 0.31%             | 2034-10-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 128776 FN 02/31 FLOATING VAR                  | CUSIP: 31365H6M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       844 | PA      | $858.03       | 0.00%             | 2031-02-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H13                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H13 FT          | CUSIP: 38376RUS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1225 | PA      | $1225.34      | 0.00%             | 2066-05-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE4276 G2 06/48 FIXED 4                    | CUSIP: 3617BXXD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    476984 | PA      | $449035.32    | 0.14%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $86.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $1103.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO 14A                                             | ARES EURO CLO ARESE 14A AR 144A                         | CUSIP: ACI2RNVJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    204231 | PA      | $236311.59    | 0.07%             | 2034-10-21      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A          | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2309 | PA      | $2194.85      | 0.00%             | 2042-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-678.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 02/26/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-713.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A         | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1358 | PA      | $1390.23      | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.77500 03/03/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1442.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 02/12/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $4957.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4128 FN 06/53 FIXED 5                       | CUSIP: 3140NLSS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1472066 | PA      | $1454322.10   | 0.45%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-148.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $15711.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-560.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-94.92       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-9227.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1128.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-1.63        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q56466 FG 06/48 FIXED 4               | CUSIP: 3132Y0FG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    327298 | PA      | $314439.70    | 0.10%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $72.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                   | DANSKE BANK A/S 144A 03/29 VAR                          | CUSIP: 23636ABM2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1000000 | PA      | $1002371.85   | 0.31%             | 2029-03-27      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-535.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer