# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007238
**Filing Date:** 2026-5
**Character Count:** 312720
**Document Hash:** 8d10da37f9fc395e9eb604d720fc09fe
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007238.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007238

**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:** 261043421

**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 ESG Income Fund (Series ID: S000069193)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000221062 | Class C       | PEGBX           |
| C000221063 | Class A       | PEGAX           |
| C000221064 | Institutional | PEGIX           |
| C000221065 | I-2           | PEGPX           |
| C000221066 | I-3           | PEGQX           |

## 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 ESG Income Fund

- **b. EDGAR series identifier (if any):** S000069193

- **c. LEI of Series:** 549300KQNYNNUS6TOH07

**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:** $698090830.89

**Total Liabilities:** $302740210.66

**Net Assets:** $395350620.23

**Cash Not Reported:** $5768321.01

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 7836.210700 | **1-Year:** 28838.266800 | **5-Year:** 91285.388900 | **10-Year:** 14929.935700 | **30-Year:** -4734.220300

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

- **3-Month:** 3519.772100 | **1-Year:** 5949.093900 | **5-Year:** 12163.988800 | **10-Year:** 1557.722800 | **30-Year:** 55.292900

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000221063 | 0.43%                | 1.27%                | -2.44%               |
| Class ID C000221062 | 0.37%                | 1.21%                | -2.50%               |
| Class ID C000221065 | 0.46%                | 1.30%                | -2.41%               |
| Class ID C000221066 | 0.46%                | 1.29%                | -2.42%               |
| Class ID C000221064 | 0.47%                | 1.30%                | -2.41%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-96556.18               | $990353.22                                 |
| Month 2  | $409981.57               | $2326341.67                                |
| Month 3  | $-540582.72              | $-8476668.89                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                    | MITSUBISHI UFJ FIN GRP SR UNSECURED 10/32 VAR          | CUSIP: 606822CB8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $442340.28    | 0.11%             | 2032-10-13      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 C 144A  | CUSIP: 46653DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1174380.00   | 0.30%             | 2036-03-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.87000 10/17/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4704.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.85400 12/29/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1347.50     | -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      | $228.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL RJ1927 FR 07/54 FIXED 5              | CUSIP: 3142GSD96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4915571 | PA      | $4854928.15   | 1.23%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                         | GNMA II TBA 30 YR 5 JUMBOS                             | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2800000 | PA      | $2767705.92   | 0.70%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2005-BC1                                      | SPECIALTY UNDERWRITING + RESID SURF 2005 BC1 M4        | CUSIP: 84751PEU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102718 | PA      | $103420.76    | 0.03%             | 2035-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| TDC NET A/S                                                                  | TDC NET AS SR SECURED REGS 05/28 5.056                 | CUSIP: BNVQWHII7<br>LEI: 549300SH2G3R15Y3FX20 | Long             | DBT              | CORP              | DK        |    400000 | PA      | $474537.67    | 0.12%             | 2028-05-31      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260505                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-204.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/2.75000 06/21/23-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $581243.91    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS B 144A    | CUSIP: 61692AAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480000 | PA      | $178710.00    | 0.05%             | 2036-12-15      | Floating      | 5.09%                 | 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                                                                          | RFR USD SOFR/3.50000 05/22/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $365778.59    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                         | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20200000 | PA      | $20881984.12  | 5.28%             | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                           | AMERICAN TOWER CORP SR UNSECURED 06/30 2.1             | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    500000 | PA      | $450157.60    | 0.11%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                               | REPUBLIC OF COLOMBIA SR UNSECURED 01/33 6.5            | CUSIP: 195325EV3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   4400000 | PA      | $4314200.00   | 1.09%             | 2033-01-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TSY INFL IX N/B 07/33 1.375                            | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3426592 | PA      | $3350809.11   | 0.85%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $2602.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 06/20/24-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-70037.22    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                 | BARCLAYS PLC SR UNSECURED 08/28 VAR                    | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $1011741.96   | 0.26%             | 2028-08-09      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                    | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6      | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   5000000 | PA      | $1467111.12   | 0.37%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 04/27 4.5                              | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4500000 | PA      | $4534716.56   | 1.15%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.50000 06/20/24-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $344029.31    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| SABESP (NOVA SECURITISATION SARL)                                            | NOVA SECURITISATION SARL SR SECURED 144A 02/31 5.75    | CUSIP: 66984FAA5<br>LEI: 636700QG9R13IDZO4Y16 | Long             | DBT              | CORP              | LU        |   1000000 | PA      | $968730.60    | 0.25%             | 2031-02-03      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2025-4 DAC 25-4A                                         | GROSVENOR PLACE CLO BV GROSV 2025 4A B 144A            | CUSIP: ACI379JB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    300000 | PA      | $348139.14    | 0.09%             | 2039-08-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                       | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 D 144A      | CUSIP: 78432WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $446762.48    | 0.11%             | 2038-05-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| 1211 AVENUE OF THE AMERICAS TRUST 2015-1211                                  | 1211 AVENUE OF THE AMERICAS TR AOTA 2015 1211 C 144A   | CUSIP: 90117PAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $657387.50    | 0.17%             | 2035-08-10      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                    | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 C 144A    | CUSIP: 78486BAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $403971.02    | 0.10%             | 2038-04-18      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.3* 7/20/23-4Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2604.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2022-2CS                           | GOODLEAP SUSTAINABLE HOME IMPR GOOD 2022 2CS A 144A    | CUSIP: 38237KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    740238 | PA      | $639355.12    | 0.16%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 3.17900 11/29/23-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1399.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-134580.37   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.67000 01/08/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1235.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 317UC4ZA1 PIMCO SWAPTION 2.92 PUT EUR 20260416         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-741.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 317U0U6A8 PIMCO FPPSWAPTION 2.4 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    300000 | NC      | $842.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.65500 01/24/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-735.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PATTERN ENERGY OPERATIONS LP / PATTERN ENERGY OPERATIONS INC                 | PATTERN ENERGY OP LP/PAT COMPANY GUAR 144A 08/28 4.5   | CUSIP: 70339PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $488524.65    | 0.12%             | 2028-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.56900 08/14/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3710.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.13000 05/03/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4945.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP                         | KREST COMMERCIAL MORTGAGE SECU KREST 2021 CHIP D 144A  | CUSIP: 50085PAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1345992.60   | 0.34%             | 2044-11-05      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 11/45 4.625                            | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1376300 | PA      | $1327699.41   | 0.34%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260615                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-154.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                 | BARCLAYS PLC SR UNSECURED 11/28 VAR                    | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    800000 | PA      | $833405.76    | 0.21%             | 2028-11-02      | Floating      | 7.38%                 | 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        |   -750000 | PA      | $-630380.87   | -0.16%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PROD INC 2003-RS9                                      | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2003 RS9 MII1      | CUSIP: 760985B34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130547 | PA      | $131038.08    | 0.03%             | 2033-10-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 9.83243 03/13/24-01/04/27 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-95895.55    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                 | UBS GROUP AG SR UNSECURED 144A 01/34 VAR               | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    300000 | PA      | $313159.82    | 0.08%             | 2034-01-12      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.64750 01/08/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1548.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.78300 02/07/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $139.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.64300 08/28/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2527.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GAP INC                                                                      | GAP INC/THE COMPANY GUAR 144A 10/31 3.875              | CUSIP: 364760AQ1<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |    250000 | PA      | $226654.55    | 0.06%             | 2031-10-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.81000 01/02/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-363.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                 | ING GROEP NV JR SUBORDINA REGS 12/99 VAR               | CUSIP: BLGM75II1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $188664.30    | 0.05%             | 2029-05-16      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                     | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P B 144A    | CUSIP: 90205FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $990382.10    | 0.25%             | 2034-09-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERNATIONAL LLC                                          | GRAPHIC PACKAGING INTERN COMPANY GUAR REGS 02/29 2.625 | CUSIP: ACI21QJC6<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    400000 | PA      | $438637.90    | 0.11%             | 2029-02-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                 | HUDSON PACIFIC PROPERTIE COMPANY GUAR 11/27 3.95       | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    230000 | PA      | $217265.27    | 0.05%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL HOTELS GROUP PLC                                            | INTERCONTINENTAL HOTELS COMPANY GUAR REGS 10/28 3.375  | CUSIP: ACI1RXXZ8<br>LEI: 2138007ZFQYRUSLU3J98 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $378377.98    | 0.10%             | 2028-10-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | EURO-BUND OPTION  MAY26C 128 EXP 04/24/2026            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -2 | NC      | $-254.29      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.25000 09/16/26-2Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-124103.21   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| DISCOVERY GLOBAL HOLDINGS INC                                                | DISCOVERY HOLDINGS INC COMPANY GUAR 03/42 5.05         | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    200000 | PA      | $132261.14    | 0.03%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/2.00000 12/21/22-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $147296.57    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                                 | HUNGARY SR UNSECURED REGS 07/29 4                      | CUSIP: ACI2MJTC8<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |   1100000 | PA      | $1288815.76   | 0.33%             | 2029-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A2      | CUSIP: 23242GAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55432 | PA      | $52753.50     | 0.01%             | 2046-10-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.41000 11/05/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-20883.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.93300 01/06/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1961.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                      | GOLDMAN SACHS GROUP INC SR UNSECURED 04/32 VAR         | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $449285.94    | 0.11%             | 2032-04-22      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD BRL BOUGHT USD 20260602                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-7.41        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 05/26 0.00000                            | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      7000 | PA      | $6961.11      | 0.00%             | 2026-05-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.51500 11/06/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-24316.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDX ITRAXX XOV44 5Y 35-100% SP BOA                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $80048.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                     | HOST HOTELS + RESORTS LP SR UNSECURED 09/30 3.5        | CUSIP: 44107TAZ9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    200000 | PA      | $188090.02    | 0.05%             | 2030-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| XPLR INFRASTRUCTURE OPERATING PARTNERS LP                                    | XPLR INFRAST OPERATING SR UNSECURED 144A 01/29 7.25    | CUSIP: 65342QAM4<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |    800000 | PA      | $825548.80    | 0.21%             | 2029-01-15      | Fixed         | 7.25%                 | 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      | $-67546.99    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A3                               | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A3 2A2        | CUSIP: 76113WAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510334 | PA      | $59893.40     | 0.02%             | 2037-04-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918      | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1418273.79   | 0.36%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                   | SANTANDER HOLDINGS USA SR UNSECURED 01/30 VAR          | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    500000 | PA      | $516752.10    | 0.13%             | 2030-01-09      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                         | BOSTON PROPERTIES LP SR UNSECURED 06/29 3.4            | CUSIP: 10112RBB9<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95886.01     | 0.02%             | 2029-06-21      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | US 5YR NOTE (CBT) JUN26 XCBT 20260630                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       296 | NC      | $-468751.10   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260521                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-95.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VONOVIA SE                                                                   | VONOVIA SE SR UNSECURED REGS 06/28 1.875               | CUSIP: ACI24H5K0<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |    600000 | PA      | $672300.74    | 0.17%             | 2028-06-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                           | ORACLE CORP SR UNSECURED 03/28 2.3                     | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    300000 | PA      | $285881.86    | 0.07%             | 2028-03-25      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 D 144A  | CUSIP: 46653DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $163496.07    | 0.04%             | 2036-03-15      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 04/27 3.75                             | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $699776.46    | 0.18%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-9                                                | GSAA HOME EQUITY TRUST GSAA 2007 9 A1A                 | CUSIP: 3622EEAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       174 | PA      | $219.17       | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.97000 01/15/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1253.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR JPY MUTK/0.4000 06/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $127045.66    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.65000 03/05/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1617.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                         | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032666<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9400000 | PA      | $8598828.79   | 2.17%             | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 06/26 0.00000                            | CUSIP: 912797TZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    284000 | PA      | $282047.42    | 0.07%             | 2026-06-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL CB6416 FN 05/53 FIXED 4                      | CUSIP: 3140QSDW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    336863 | PA      | $319090.27    | 0.08%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $740.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                                                       | DIGITAL DUTCH FINCO BV COMPANY GUAR REGS 02/31 1.25    | CUSIP: ACI1N57Z2<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $203818.76    | 0.05%             | 2031-02-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GAP INC                                                                      | GAP INC/THE COMPANY GUAR 144A 10/29 3.625              | CUSIP: 364760AP3<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |    250000 | PA      | $233710.00    | 0.06%             | 2029-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                       | STANDARD CHARTERED PLC SR UNSECURED 144A 11/28 VAR     | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $524182.87    | 0.13%             | 2028-11-16      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA2                                       | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA2 A1        | CUSIP: 25150UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60148 | PA      | $55469.98     | 0.01%             | 2047-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.95000 04/16/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2071.08      | 0.00%             |  |  |  | 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        |   1011165 | PA      | $1011807.45   | 0.26%             | 2050-06-21      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| MODULAIRE (BCP V MODULAR SERVICES FINANCE II PLC)                            | BCP MODULAR SERVICES SR SECURED 144A 07/31 6.5         | CUSIP: ACI2YGQW0<br>LEI: 213800227GGD6UI7PI97 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $395690.96    | 0.10%             | 2031-07-10      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.83000 10/12/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5385.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARKS AND SPENCER PLC                                                        | MARKS + SPENCER PLC SR UNSECURED REGS 07/27 3.25       | CUSIP: ACI1D35Z0<br>LEI: 213800CN1RI3UCIZWB95 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $388185.42    | 0.10%             | 2027-07-10      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-28799.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR JPY MUTKCALM/0.00000 12/15/21-7Y LCH               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $288134.14    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                         | GNMA II POOL MA9106 G2 08/53 FIXED 5.5                 | CUSIP: 36179YDK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1541173 | PA      | $1563237.39   | 0.40%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.88000 12/19/23-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-699.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 1A1      | CUSIP: 45660LMF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332850 | PA      | $222072.53    | 0.06%             | 2035-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                          | DOLP TRUST DOLP 2021 NYC E 144A                        | CUSIP: 23345LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $574478.59    | 0.15%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL QF6943 FR 02/53 FIXED 5              | CUSIP: 3133BUWC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    507631 | PA      | $501981.10    | 0.13%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A                          | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A      | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197137 | PA      | $198204.05    | 0.05%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.39000 10/01/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $5319.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD PEN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $57460.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $519.10       | 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      | $3900.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.92000 12/13/23-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-941.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9                          | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE9 2A       | CUSIP: 07389MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20062 | PA      | $19862.96     | 0.01%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-6                                         | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 6 A1A          | CUSIP: 008684AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25886 | PA      | $22702.87     | 0.01%             | 2046-12-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD KWD BOUGHT USD 20300509                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $8052.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 317U0V7A5 PIMCO FPPSWAPTION 2.11 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    200000 | NC      | $3233.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE ASSURANCES                                                   | CREDIT AGRICOLE ASSRNCES SUBORDINATED REGS 10/31 1.5   | CUSIP: ACI20SW61<br>LEI: 969500K2MUPSI57XK083 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $510422.65    | 0.13%             | 2031-10-06      | Fixed         | 1.50%                 | 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      | $8894.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                 | HUDSON PACIFIC PROPERTIE COMPANY GUAR 02/28 5.95       | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    400000 | PA      | $379842.95    | 0.10%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP SR UNSECURED 11/28 VAR            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1644146.61   | 0.42%             | 2028-11-10      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| SUNNOVA HELIOS XI ISSUER LLC 2023-A                                          | HELIOS ISSUER, LLC SNVA 2023 A A 144A                  | CUSIP: 86746AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    937400 | PA      | $863839.74    | 0.22%             | 2050-05-20      | Fixed         | 5.30%                 | 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        |    188782 | PA      | $182351.31    | 0.05%             | 2036-01-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2006-HE1                                       | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE1 M2       | CUSIP: 04541GVM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2097416 | PA      | $1945428.92   | 0.49%             | 2036-01-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS NZD 4.75000 06/19/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $39032.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 01/02/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $54.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                      | BPCE SA 144A 10/27 VAR                                 | CUSIP: 05583JAK8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $493076.25    | 0.12%             | 2027-10-19      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC                                                             | COSTAR GROUP INC COMPANY GUAR 144A 07/30 2.8           | CUSIP: 22160NAA7<br>LEI: 984500Q1D53D08E2E698 | Long             | DBT              | CORP              | US        |    800000 | PA      | $723747.40    | 0.18%             | 2030-07-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL CB6417 FN 05/53 FIXED 4.5                    | CUSIP: 3140QSDX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    586246 | PA      | $568301.05    | 0.14%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-134.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.71500 08/07/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1442.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                              | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR        | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $309627.45    | 0.08%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2005-1                                         | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2005 1 M7           | CUSIP: 29445FCU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210446 | PA      | $195024.00    | 0.05%             | 2035-04-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.70000 06/06/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $58326.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-16715.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL SD8403 FR 02/54 FIXED 6.5            | CUSIP: 3132DWKQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    176056 | PA      | $182136.50    | 0.05%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TSY INFL IX N/B 07/34 1.875                            | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7151367 | PA      | $7189241.64   | 1.82%             | 2034-07-15      | Fixed         | 1.88%                 | 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      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -627750 | PA      | $-633024.84   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                                                       | ASIAN DEVELOPMENT BANK SR UNSECURED 02/28 6.72         | CUSIP: ACI2MPXZ8<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | CORP              | N/A       | 187400000 | PA      | $1935718.50   | 0.49%             | 2028-02-08      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC (AKA: ALLIED IRISH BANKS)                                      | AIB GROUP PLC SUBORDINATED REGS 05/31 VAR              | CUSIP: BMBQMGII4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    400000 | PA      | $462254.54    | 0.12%             | 2031-05-30      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2007-QS8                                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS8 A10       | CUSIP: 74922UAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166107 | PA      | $134871.60    | 0.03%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.00 9/16/23-4Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $23567.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-17                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 17 2A3         | CUSIP: 12666VAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179327 | PA      | $172467.99    | 0.04%             | 2047-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| MV CREDIT EURO CLO III DAC 3A                                                | MV CREDIT EURO CLO MVCLO 3A AR 144A                    | CUSIP: ACI35DCS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   3200000 | PA      | $3698659.31   | 0.94%             | 2038-02-15      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2005-HE2                                        | MASTR ASSET BACKED SECURITIES MABS 2005 HE2 M4         | CUSIP: 57643LKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $211652.89    | 0.05%             | 2035-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| WEIR GROUP INC                                                               | WEIR GROUP INC COMPANY GUAR 144A 05/30 5.35            | CUSIP: 94877DAA2<br>LEI: 2138009WEPEV2V98AV65 | Long             | DBT              | CORP              | US        |    600000 | PA      | $608345.95    | 0.15%             | 2030-05-06      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A3                               | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A3 2A1        | CUSIP: 76113WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510334 | PA      | $92642.39     | 0.02%             | 2037-04-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                          | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 11A4      | CUSIP: 161630BK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45996 | PA      | $43818.09     | 0.01%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL RA8648 FR 06/53 FIXED 5.5            | CUSIP: 3133KQTD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17164285 | PA      | $17316193.91  | 4.38%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ZF NORTH AMERICA CAPITAL INC                                                 | ZF NA CAPITAL COMPANY GUAR 144A 04/30 6.75             | CUSIP: 98877DAF2<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    250000 | PA      | $242020.58    | 0.06%             | 2030-04-23      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                                     | SNAM SPA SR UNSECURED 144A 05/30 5                     | CUSIP: 83304JAA5<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |   1200000 | PA      | $1212814.58   | 0.31%             | 2030-05-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPERATING LIMITED PARTNERSHIP                                | SUN COMMUNITIES OPER LP COMPANY GUAR 04/32 4.2         | CUSIP: 866677AH0<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    300000 | PA      | $285772.92    | 0.07%             | 2032-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.08000 06/05/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4188.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                           | ORACLE CORP SR UNSECURED 08/28 4.8                     | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    280000 | PA      | $280163.73    | 0.07%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                              | AES CORP/THE JR SUBORDINA 01/55 VAR                    | CUSIP: 00130HCK9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    500000 | PA      | $496221.55    | 0.13%             | 2055-01-15      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL CB7589 FN 11/53 FIXED 5.5                    | CUSIP: 3140QTNF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2128387 | PA      | $2143321.57   | 0.54%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                       | LOGICOR FINANCING SARL COMPANY GUAR REGS 11/28 3.25    | CUSIP: ACI167F39<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |    700000 | PA      | $803726.25    | 0.20%             | 2028-11-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.51000 04/09/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $3130.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQT AB                                                                       | EQT AB SR UNSECURED REGS 05/31 0.875                   | CUSIP: ACI1XP2B5<br>LEI: 213800U7P9GOIRKCTB34 | Long             | DBT              | CORP              | SE        |    800000 | PA      | $791137.43    | 0.20%             | 2031-05-14      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2016-GS3                                        | GS MORTGAGE SECURITIES TRUST GSMS 2016 GS3 WMB 144A    | CUSIP: 36251PBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $187296.36    | 0.05%             | 2049-10-10      | Fixed         | 3.60%                 | 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        |   1011854 | PA      | $956608.74    | 0.24%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NETAPP INC                                                                   | NETAPP INC SR UNSECURED 03/32 5.5                      | CUSIP: 64110DAM6<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |    350000 | PA      | $358467.61    | 0.09%             | 2032-03-17      | Fixed         | 5.50%                 | 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        |   1400000 | PA      | $1415971.44   | 0.36%             | 2029-10-16      | Fixed         | 5.09%                 | 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        |    300000 | PA      | $302814.31    | 0.08%             | 2028-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR GBP SONIO/4.00000 03/18/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $74152.65     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                           | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP AJ 144A   | CUSIP: 68249DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $946437.50    | 0.24%             | 2036-01-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-409.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL CB5401 FN 12/52 FIXED 4.5                    | CUSIP: 3140QRAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    821074 | PA      | $796282.01    | 0.20%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-5522.44     | -0.00%            |  |  |  | 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      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                          | ALEXANDRIA REAL ESTATE E COMPANY GUAR 05/32 2          | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    400000 | PA      | $334824.35    | 0.08%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CTP NV                                                                       | CTP NV SR UNSECURED REGS 06/29 1.25                    | CUSIP: ACI1YLP85<br>LEI: 3157000YTVO4TN65UM14 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $213735.36    | 0.05%             | 2029-06-21      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.56436 06/30/26-7Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $924.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS & ELECTRIC COMPANY                                             | SAN DIEGO G + E 1ST MORTGAGE 08/51 2.95                | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    350000 | PA      | $219988.34    | 0.06%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SIRIUS REAL ESTATE LIMITED                                                   | SIRIUS REAL ESTATE LTD SR UNSECURED REGS 06/26 1.125   | CUSIP: ACI1YMJ56<br>LEI: 213800NURUF5W8QSK566 | Long             | DBT              | CORP              | GG        |    300000 | PA      | $345208.87    | 0.09%             | 2026-06-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.86000 02/21/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2637.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                                      | CENTERPOINT ENER HOUSTON GENL REF MOR 04/53 5.3        | CUSIP: 15189XBC1<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    700000 | PA      | $659074.49    | 0.17%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.23200 09/10/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4453.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                                   | CDW LLC/CDW FINANCE COMPANY GUAR 12/31 3.569           | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $457235.99    | 0.12%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-4                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2005 4 M5          | CUSIP: 86358ESP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1639000 | PA      | $1550089.00   | 0.39%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD BRL BOUGHT USD 20260602                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-17.46       | -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      | $-38.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                            | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875             | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  90375000 | PA      | $5249053.70   | 1.33%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.86500 11/20/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2962.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | EURO-BUND OPTION  MAY26P 125.5 EXP 04/24/2026          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -2 | NC      | $-2103.65     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.73800 01/23/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-157.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6                                   | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 F5TC 144A | CUSIP: 05492TBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1599000 | PA      | $1074701.81   | 0.27%             | 2053-02-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| SIRIUS REAL ESTATE LIMITED                                                   | SIRIUS REAL ESTATE LTD SR UNSECURED REGS 11/28 1.75    | CUSIP: ACI21W3V8<br>LEI: 213800NURUF5W8QSK566 | Long             | DBT              | CORP              | GG        |    200000 | PA      | $220564.56    | 0.06%             | 2028-11-24      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 05/07/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3655.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE FIVE LLC                                                  | GOODMAN US FIN FIVE LLC COMPANY GUAR 144A 05/32 4.625  | CUSIP: 38239PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $984249.33    | 0.25%             | 2032-05-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SLM CORP (SALLIE MAE)                                                        | SLM CORP SR UNSECURED 11/26 3.125                      | CUSIP: 78442PGE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $892225.69    | 0.23%             | 2026-11-02      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.94000 02/22/24-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5071.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                 | ROMANIA UNSECURED 144A 04/33 2                         | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    200000 | PA      | $181614.12    | 0.05%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                 | REPUBLIC OF CHILE SR UNSECURED 01/34 3.5               | CUSIP: 168863DV7<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    300000 | PA      | $271275.00    | 0.07%             | 2034-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL SD8012 FR 09/49 FIXED 4              | CUSIP: 3132DV3V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    129746 | PA      | $124166.98    | 0.03%             | 2049-09-01      | Fixed         | 4.00%                 | 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        |   1547314 | PA      | $1465394.66   | 0.37%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                  | BNP PARIBAS JR SUBORDINA 144A 12/99 VAR                | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $356350.32    | 0.09%             | 2031-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| WEST AFRICAN DEVELOPMENT BANK (AKA: BANQUE OUEST AFRICAINE DE DEVELOPPEMENT) | BANQUE OUEST AFRICAINE D SR UNSECURED REGS 01/33 2.75  | CUSIP: ACI1V4PH6<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | CORP              | N/A       |    770000 | PA      | $744812.58    | 0.19%             | 2033-01-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COTY INC/HFC PRESTIGE PRODUCTS INC/HFC PRESTIGE INTERNATIONAL US LLC         | COTY/HFC PRESTIGE/INT US COMPANY GUAR 144A 01/31 5.6   | CUSIP: 22207AAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1130000 | PA      | $1094563.99   | 0.28%             | 2031-01-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| WEST AFRICAN DEVELOPMENT BANK (AKA: BANQUE OUEST AFRICAINE DE DEVELOPPEMENT) | BANQUE OUEST AFRICAINE D SR UNSECURED 144A 01/33 2.75  | CUSIP: ACI1V4M48<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | CORP              | N/A       |    100000 | PA      | $96728.91     | 0.02%             | 2033-01-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| VERISIGN INC                                                                 | VERISIGN INC SR UNSECURED 06/31 2.7                    | CUSIP: 92343EAM4<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |    400000 | PA      | $358399.79    | 0.09%             | 2031-06-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                             | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 3A1              | CUSIP: 125438AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31613 | PA      | $29212.97     | 0.01%             | 2047-02-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.77000 04/29/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $21.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR35                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR35 2A1A     | CUSIP: 45667SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53562 | PA      | $49144.17     | 0.01%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| SHINHAN BANK CO LTD                                                          | SHINHAN BANK SUBORDINATED REGS 04/29 4                 | CUSIP: 82460EAN0<br>LEI: 5493003P813VL21KG928 | Long             | DBT              | CORP              | KR        |    200000 | PA      | $196155.00    | 0.05%             | 2029-04-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.45000 10/11/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5446.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.44600 10/23/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5506.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/53 6.7          | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1139715.27   | 0.29%             | 2053-04-01      | Fixed         | 6.70%                 | 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                                                                          | RFR USD SOFR/4.08000 04/17/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4129.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BRITISH TELECOMMUNICATIONS PL SNR SE ICE               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $15404.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.10000 01/21/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2244.45      | 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        |    115000 | PA      | $114601.83    | 0.03%             | 2026-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.25000 03/19/25-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-314989.14   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.61000 12/12/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1214.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.82700 05/06/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $3774.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WORKSPACE GROUP PLC                                                          | WORKSPACE GROUP PLC SR UNSECURED REGS 03/28 2.25       | CUSIP: ACI1W93R6<br>LEI: 2138003GUZRFIN3UT430 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $745503.76    | 0.19%             | 2028-03-11      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.99400 07/02/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4303.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                     | LLOYDS BANKING GROUP PLC SR UNSECURED 11/28 VAR        | CUSIP: 539439AQ2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $394659.48    | 0.10%             | 2028-11-07      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1320.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD BRL BOUGHT USD 20260602                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-11.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                   | JAPAN (30 YEAR ISSUE) BONDS 09/55 3.2                  | CUSIP: ACI30Y3M3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  81000000 | PA      | $469111.50    | 0.12%             | 2055-09-20      | Fixed         | 3.20%                 | 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      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL CB8465 FN 05/54 FIXED 4.5                    | CUSIP: 3140QUMP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3865907 | PA      | $3734819.80   | 0.94%             | 2054-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC 2015-SRCH                        | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2015 SRCH D 144A  | CUSIP: 05547HAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $836705.43    | 0.21%             | 2035-08-10      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.95000 06/12/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $2341.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDX ITRAXX XOV44 5Y 35-100% SP JPM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $20012.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.90000 04/10/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1271.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.4* 07/16/23-8Y CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $30839.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL MB0298 FN 01/55 FIXED 6                      | CUSIP: 3138MTKL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2318653 | PA      | $2365689.89   | 0.60%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.08316 06/30/26-27Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1385.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $1040.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.00000 06/20/24-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3046.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.67900 08/13/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1996.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.97000 12/15/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-301.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 07/32 4                                | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $6269115.26   | 1.59%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOUTH AFRICA EM SP MYC                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $2285.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.52000 03/27/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-4708.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD BRL BOUGHT USD 20260702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-31.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                     | HOST HOTELS + RESORTS LP SR UNSECURED 07/34 5.7        | CUSIP: 44107TBB1<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    300000 | PA      | $303261.38    | 0.08%             | 2034-07-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                         | VASA TRUST VASA 2021 VASA C 144A                       | CUSIP: 92230AAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $377311.44    | 0.10%             | 2039-07-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                              | SANTANDER UK GROUP HLDGS SR UNSECURED 11/28 VAR        | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1400000 | PA      | $1382466.05   | 0.35%             | 2028-11-03      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.71000 08/06/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1592.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 13.3537 05/12/25-01/02/29 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-223134.73   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                          | CENTENE CORP SR UNSECURED 10/30 3                      | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    500000 | PA      | $438474.65    | 0.11%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| URUGUAY GOVT                                                                 | REPUBLICA ORIENT URUGUAY SR UNSECURED 04/55 4.975      | CUSIP: 760942BD3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    100000 | PA      | $88765.00     | 0.02%             | 2055-04-20      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL BW7921 FN 08/52 FIXED 5                      | CUSIP: 3140N0YT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    399232 | PA      | $395935.05    | 0.10%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL BF0399 FN 08/59 FIXED 3.5                    | CUSIP: 3140FXNR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1172366 | PA      | $1068418.33   | 0.27%             | 2059-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.00000 03/19/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $655683.59    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 06/26 0.00000                            | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $99102.13     | 0.03%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                   | VERIZON COMMUNICATIONS SR UNSECURED 05/33 5.05         | CUSIP: 92343VGT5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1723012.54   | 0.44%             | 2033-05-09      | Fixed         | 5.05%                 | 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        |   2740329 | PA      | $2653057.72   | 0.67%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.90000 04/15/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $638.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.72500 02/07/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-262.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | US 2YR NOTE (CBT) JUN26 XCBT 20260630                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       368 | NC      | $-554684.97   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $11434.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                         | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -750000 | PA      | $-603955.07   | -0.15%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-3                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 4A2         | CUSIP: 00703QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    603457 | PA      | $207356.91    | 0.05%             | 2036-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 1A1A       | CUSIP: 41161QAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113466 | PA      | $45605.60     | 0.01%             | 2036-06-19      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                                                       | DIGITAL DUTCH FINCO BV COMPANY GUAR REGS 01/32 1       | CUSIP: ACI1RH4P7<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $290365.23    | 0.07%             | 2032-01-15      | Fixed         | 1.00%                 | 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        |    112799 | PA      | $89099.53     | 0.02%             | 2048-03-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL RJ0135 FR 11/53 FIXED 4              | CUSIP: 3142GQEH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    754226 | PA      | $712422.15    | 0.18%             | 2053-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 3.25500 11/22/23-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1645.95     | -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      | $4527.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-43.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AES ANDES SA                                                                 | AES ANDES SA SR UNSECURED 144A 03/29 6.3               | CUSIP: 00111VAA5<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |    350000 | PA      | $358326.42    | 0.09%             | 2029-03-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2005-RS1                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS1 MII2      | CUSIP: 76112BJH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    626070 | PA      | $610370.85    | 0.15%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.86600 11/14/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3023.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                                | GSAA HOME EQUITY TRUST GSAA 2006 5 2A1                 | CUSIP: 362334GR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48241 | PA      | $15317.40     | 0.00%             | 2036-03-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| 1211 AVENUE OF THE AMERICAS TRUST 2015-1211                                  | 1211 AVENUE OF THE AMERICAS TR AOTA 2015 1211 D 144A   | CUSIP: 90117PAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1455800.00   | 0.37%             | 2035-08-10      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                 | REPUBLIC OF CHILE SR UNSECURED 04/36 3.875             | CUSIP: ACI37XN53<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    700000 | PA      | $782953.29    | 0.20%             | 2036-04-14      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.66500 01/24/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1331.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11                         | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE11 M3      | CUSIP: 073879PA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197005 | PA      | $199309.86    | 0.05%             | 2034-12-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT JPY SOLD USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $19604.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                      | BPCE SA 144A 07/33 VAR                                 | CUSIP: 05583JAM4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $306368.13    | 0.08%             | 2033-07-19      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 3.45000 10/20/23-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $4766.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-15                                                      | LEHMAN XS TRUST LXS 2006 15 A4                         | CUSIP: 52523MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100641 | PA      | $92766.11     | 0.02%             | 2036-10-25      | Floating      | 4.13%                 | 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      | $1041045.62   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC)                  | HAT HOLDINGS I LLC/HAT COMPANY GUAR 144A 09/30 3.75    | CUSIP: 418751AD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $276282.05    | 0.07%             | 2030-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                 | ING GROEP NV SR UNSECURED 04/32 VAR                    | CUSIP: 456837AW3<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $181074.29    | 0.05%             | 2032-04-01      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-WM1                                                 | ACE SECURITIES CORP. ACE 2007 WM1 A2C                  | CUSIP: 004424AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    454521 | PA      | $185772.05    | 0.05%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                      | GOLDMAN SACHS GROUP INC JR SUBORDINA 12/99 VAR         | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EP               | CORP              | US        |    100000 | NS      | $99130.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 08/32 2.75                             | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2200000 | PA      | $2035257.82   | 0.51%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 08/35 4.25                             | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    330000 | PA      | $328814.06    | 0.08%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                           | ALTICE FRANCE SA 2025 TERM LOAN B13                    | CUSIP: BA000QF03<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |   1893674 | PA      | $1885388.98   | 0.48%             | 2029-05-14      | Floating      | 9.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20270610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-120.94      | -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      | $56.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20270610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-121.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                              | AES CORP/THE SR UNSECURED 01/31 2.45                   | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    720000 | PA      | $637281.95    | 0.16%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A                          | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2021 2A A 144A      | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254369 | PA      | $252919.57    | 0.06%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTG BKD SEC 2007-15                                              | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 15 A1        | CUSIP: 949797AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63085 | PA      | $61574.28     | 0.02%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.08500 04/22/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4213.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                                | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE D 144A    | CUSIP: 26210YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    996471 | PA      | $974673.20    | 0.25%             | 2043-10-15      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 3.27000 11/08/23-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-3452.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 08/54 4.25                             | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $537515.63    | 0.14%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1287.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL DA3487 FN 10/53 FIXED 6                      | CUSIP: 3140A32V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    150182 | PA      | $153809.90    | 0.04%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.68500 01/24/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1053.99     | -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      | $-535.07      | -0.00%            |  |  |  | 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      | $-1095635.30  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS AUD 4.50000 03/20/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-91680.56    | -0.02%            |  |  |  | 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      | $5508.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                  | FED REPUBLIC OF BRAZIL SR UNSECURED 03/34 6.125        | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    700000 | PA      | $700490.00    | 0.18%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TSY INFL IX N/B 02/47 0.875                            | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1077792 | PA      | $765267.41    | 0.19%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                               | WORLDWIDE PLAZA TRUST WPT 2017 WWP C 144A              | CUSIP: 98162JAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1310000 | PA      | $178704.96    | 0.05%             | 2036-11-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.59400 01/09/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2293.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.00000 06/21/23-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $45373.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORPORATION                                                       | FAIR ISAAC CORP SR UNSECURED 144A 06/28 4              | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    570000 | PA      | $553566.84    | 0.14%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.79500 08/06/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $196.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | LONG GILT FUTURE  JUN26 IFLL 20260626                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        69 | NC      | $-382835.15   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS7                                          | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS7 A2B3      | CUSIP: 76110WB54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70654 | PA      | $71442.98     | 0.02%             | 2034-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TSY INFL IX N/B 02/53 1.5                              | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    656436 | PA      | $503740.85    | 0.13%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $458.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO IV DAC 4A                                                   | CAPITAL FOUR CLO CFOUR 4A BRR 144A                     | CUSIP: ACI38KY90<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1600000 | PA      | $1850583.52   | 0.47%             | 2038-04-15      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.47000 09/04/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2606.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | US ULTRA BOND CBT JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        67 | NC      | $-74623.09    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                                                           | REGENCY CENTERS LP COMPANY GUAR 06/30 3.7              | CUSIP: 75884RBA0<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97106.45     | 0.02%             | 2030-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR GBP SONIO/3.70000 03/28/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $5715.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CNP ASSURANCES                                                               | CNP ASSURANCES SA SUBORDINATED REGS 01/29 1.25         | CUSIP: ACI232Q39<br>LEI: 969500QKVPV2H8UXM738 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $543192.34    | 0.14%             | 2029-01-27      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| DHAFRAH PV2 ENERGY CO LLC                                                    | DHAFRAH PV2 ENERGY COMPA SR SECURED 144A 06/53 5.794   | CUSIP: 25241MAA5<br>LEI: 529900AHXZA1YRZN9C67 | Long             | DBT              | CORP              | AE        |    700000 | PA      | $680554.16    | 0.17%             | 2053-06-30      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.70000 03/05/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-462.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                           | ALLY FINANCIAL INC SR UNSECURED 11/28 2.2              | CUSIP: 02005NBP4<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    800000 | PA      | $753536.37    | 0.19%             | 2028-11-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                     | AMERICAN HOMES 4 RENT SR UNSECURED 02/34 5.5           | CUSIP: 02666TAG2<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    450000 | PA      | $454347.72    | 0.11%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2006-BC2                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC2 M2         | CUSIP: 22237JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242916 | PA      | $231177.70    | 0.06%             | 2045-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH E 144A  | CUSIP: 46654EAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $856047.00    | 0.22%             | 2038-06-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                       | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 1A1        | CUSIP: 61749LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243230 | PA      | $46794.74     | 0.01%             | 2036-06-25      | Floating      | 4.11%                 | 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        |   1950138 | PA      | $1888534.37   | 0.48%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $191166.10    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ZF FINANCE GMBH                                                              | ZF FINANCE GMBH COMPANY GUAR REGS 05/27 2              | CUSIP: ACI1XFRX2<br>LEI: 5493001N9T6QDCCXB426 | Long             | DBT              | CORP              | DE        |    700000 | PA      | $797718.04    | 0.20%             | 2027-05-06      | Fixed         | 2.00%                 | 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        |        -5 | NC      | $-665.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.65000 01/08/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $5015.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.38500 10/17/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-6460.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W11                                               | ARGENT SECURITIES INC. ARSI 2004 W11 M5                | CUSIP: 040104MK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300170 | PA      | $286041.25    | 0.07%             | 2034-11-25      | Floating      | 5.59%                 | 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        |   6980000 | PA      | $7181934.54   | 1.82%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-775.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING COMPANY INC                                        | HILTON DOMESTIC OPERATIN COMPANY GUAR 144A 05/31 4     | CUSIP: 432833AL5<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    200000 | PA      | $187865.70    | 0.05%             | 2031-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                  | PROLOGIS LP SR UNSECURED 02/33 4.2                     | CUSIP: 74340XCP4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1003251.64   | 0.25%             | 2033-02-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD PEN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $44598.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-R4                                               | COUNTRYWIDE HOME LOANS CWHL 2003 R4 2A 144A            | CUSIP: 12669FFS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61631 | PA      | $55944.64     | 0.01%             | 2034-01-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                 | ING GROEP NV SR UNSECURED 03/36 VAR                    | CUSIP: 456837BS1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $303613.79    | 0.08%             | 2036-03-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                         | BOSTON PROPERTIES LP SR UNSECURED 04/32 2.55           | CUSIP: 10112RBE3<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    150000 | PA      | $128781.86    | 0.03%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 02/56 4.75                             | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6595000 | PA      | $6433216.41   | 1.63%             | 2056-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | US LONG BOND(CBT) JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        20 | NC      | $-80496.34    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT JPY SOLD USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $5487.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL RA8572 FR 06/53 FIXED 4.5            | CUSIP: 3133KQQZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    385967 | PA      | $374073.07    | 0.09%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                       | STANDARD CHARTERED PLC SUBORDINATED 144A 01/33 VAR     | CUSIP: 853254CH1<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $181531.88    | 0.05%             | 2033-01-12      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.9* 9/23/23-28Y* CME               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $38565.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                               | BRIDGEGATE FUNDING PLC BRGTE 2023 1A D 144A            | CUSIP: ACI2C6Q30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    950000 | PA      | $1258214.00   | 0.32%             | 2062-10-16      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                  | REPUBLIC OF SERBIA SR UNSECURED REGS 09/28 1           | CUSIP: ACI20JG85<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    300000 | PA      | $320568.12    | 0.08%             | 2028-09-23      | Fixed         | 1.00%                 | 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        |    463024 | PA      | $405987.33    | 0.10%             | 2053-01-20      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.95000 12/19/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2707.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                      | GOLDMAN SACHS GROUP INC SR UNSECURED 07/32 VAR         | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $353244.58    | 0.09%             | 2032-07-21      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                         | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX D 144A   | CUSIP: 05493LAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $938318.30    | 0.24%             | 2038-09-15      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 3A3A      | CUSIP: 12668ACZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111298 | PA      | $100594.14    | 0.03%             | 2035-11-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.37000 07/12/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-13397.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.36000 10/07/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $3562.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONVATEC (180 MEDICAL INC)                                                   | 180 MEDICAL INC COMPANY GUAR 144A 10/29 3.875          | CUSIP: 682357AA6<br>LEI: 254900ZB648OPWVFVX59 | Long             | DBT              | CORP              | US        |    700000 | PA      | $680425.62    | 0.17%             | 2029-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO II 2022-1A                                                    | 37 CAPITAL CLO LTD PUTNM 2022 1A A1R 144A              | CUSIP: 88429PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1300000 | PA      | $1301307.70   | 0.33%             | 2034-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.84200 12/26/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-591.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-NEMA                       | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 NEMA X 144A   | CUSIP: 63874RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23885000 | PA      | $329395.65    | 0.08%             | 2039-02-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| ACEF HOLDING SCA                                                             | ACEF HOLDING SCA COMPANY GUAR REGS 06/28 0.75          | CUSIP: ACI1YGTT6<br>LEI: 213800KW7LHVG5QUS111 | Long             | DBT              | CORP              | LU        |    500000 | PA      | $542117.93    | 0.14%             | 2028-06-14      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.56500 08/28/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3744.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $17.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.25000 06/21/23-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7167.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 07/26 0.00000                            | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $197783.08    | 0.05%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 3.06300 12/06/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-971.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.42000 03/07/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-5373.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL BX4267 FN 12/52 FIXED 5.5                    | CUSIP: 3140N8W53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    280072 | PA      | $282231.20    | 0.07%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORPORATION                                                  | ONEMAIN FINANCE CORP ONEMAIN FINANCE CORP              | CUSIP: 682691AG5<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    600000 | PA      | $595003.02    | 0.15%             | 2031-11-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 3.37000 10/09/23-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $4280.86      | 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      | $482.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $521.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                       | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 C 144A      | CUSIP: 78432WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $447746.36    | 0.11%             | 2038-05-15      | Floating      | 5.59%                 | 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        |  34380000 | PA      | $34994806.54  | 8.85%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                                | COMM MORTGAGE TRUST COMM 2021 2400 D 144A              | CUSIP: 20048FAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $977180.30    | 0.25%             | 2038-12-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.62000 01/31/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-986.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 3.12800 12/04/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1524.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL CB7220 FN 09/53 FIXED 5.5                    | CUSIP: 3140QTAW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    238068 | PA      | $239793.53    | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.55800 08/21/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3868.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.3* 8/15/23-4Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $14170.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.24000 09/16/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4384.13      | 0.00%             |  |  |  | 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        |   1600000 | PA      | $1845050.05   | 0.47%             | 2037-07-15      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/2.45000 10/04/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $16696.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                     | LLOYDS BANKING GROUP PLC SR UNSECURED 03/28 VAR        | CUSIP: 53944YAS2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $496762.13    | 0.13%             | 2028-03-18      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/2.43000 09/30/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $17853.19     | 0.00%             |  |  |  | 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        |   1291209 | PA      | $1084288.79   | 0.27%             | 2049-02-22      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 3.30500 11/27/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-3015.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-63.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.52500 09/04/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4356.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                         | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A2A        | CUSIP: 59024FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    724251 | PA      | $192882.25    | 0.05%             | 2037-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.59000 08/19/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1928.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                          | SVB FINL TR COMMON STOCK UNIT                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1159 | NS      | $547627.50    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-111367.84   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD AUD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $17590.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE1                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE1 M2        | CUSIP: 59020U3F0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    926039 | PA      | $896735.05    | 0.23%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-LIH                                    | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 LIH D 144A    | CUSIP: 78486EAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1099054.66   | 0.28%             | 2036-11-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.07800 04/29/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4114.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL CB8271 FN 04/54 FIXED 5                      | CUSIP: 3140QUFM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3926303 | PA      | $3881986.52   | 0.98%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.35000 12/14/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2225.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.53200 08/20/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4279.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.09000 01/22/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4333.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                           | AMERICAN TOWER CORP SR UNSECURED 06/50 3.1             | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    300000 | PA      | $192801.07    | 0.05%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.07100 01/15/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4060.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                 | ROMANIA SR UNSECURED 144A 09/33 6.375                  | CUSIP: ACI2JSF94<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    500000 | PA      | $594927.67    | 0.15%             | 2033-09-18      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MFT TRUST 2020-B6                                                            | MFT TRUST MOFT 2020 B6 B 144A                          | CUSIP: 55316TAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $752147.40    | 0.19%             | 2040-08-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $11.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                | ARGENT SECURITIES INC. ARSI 2006 M1 A1                 | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130160 | PA      | $119252.94    | 0.03%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.0593* 03/13/26-30Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1162.96      | 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      | $-736.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                | UNICREDIT SPA SUBORDINATED 144A 06/35 VAR              | CUSIP: 904678AS8<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    400000 | PA      | $399433.41    | 0.10%             | 2035-06-30      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260630                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-38.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MSCI INC                                                                     | MSCI INC COMPANY GUAR 144A 09/30 3.625                 | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    600000 | PA      | $567408.90    | 0.14%             | 2030-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.84000 01/08/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $528.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                                  | TRINITY SQUARE TRINI 2021 1A BR                        | CUSIP: ACI2NNG16<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1800000 | PA      | $2384388.48   | 0.60%             | 2059-07-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                               | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A              | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $79935.01     | 0.02%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  MAR26 XCME 20260616                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $15058.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 02/36 4.125                            | CUSIP: 91282CPZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $295335.94    | 0.07%             | 2036-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MFT TRUST 2020-ABC E                                                         | MFT TRUST MOFT 2020 ABC A 144A                         | CUSIP: 55317BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $84231.67     | 0.02%             | 2042-02-10      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $32230.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.75000 09/16/26-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $25466.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.03000 12/15/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3832.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORPORATION                                                  | ONEMAIN FINANCE CORP COMPANY GUAR 01/27 3.5            | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    781000 | PA      | $766742.45    | 0.19%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-3134.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                    | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7      | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   4800000 | PA      | $1511381.36   | 0.38%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.00000 03/18/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-78104.96    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.91000 12/29/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $342.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 1.00000 05/18/22-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-9715.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED UTILITIES WATER FINANCE PLC                                           | UNITED UTILITIES WAT FIN COMPANY GUAR REGS 05/34 3.75  | CUSIP: ACI2MYMZ1<br>LEI: 213800313INX42GDLR44 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $680344.64    | 0.17%             | 2034-05-23      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.45000 05/05/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $3830.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.55100 09/17/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5017.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 10.25622 04/03/24-01/04/27 CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-250330.05   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                              | PENNYMAC FIN SVCS INC COMPANY GUAR 144A 09/31 5.75     | CUSIP: 70932MAC1<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    200000 | PA      | $185294.52    | 0.05%             | 2031-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-EQ1A                                          | STRUCTURED ASSET SECURITIES CO SASC 2006 EQ1A M1 144A  | CUSIP: 86360RAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1569643 | PA      | $1622669.87   | 0.41%             | 2036-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL BF0091 FN 05/56 FIXED 3.5                    | CUSIP: 3140FXC59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    153214 | PA      | $140008.69    | 0.04%             | 2056-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.0520* 03/16/26-30Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1277.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.35000 04/29/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1614.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.06000 07/02/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3904.59     | -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      | $465.45       | 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      | $-94458.23    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.89000 12/22/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1010.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR JPY MUTK/0.00000 06/16/21-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $352220.77    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBALWORTH REAL ESTATE INVESTMENTS LIMITED                                  | GLOBALWORTH REAL ESTATE SR UNSECURED REGS 03/30 6.25   | CUSIP: ACI2NWFK5<br>LEI: 213800R3E823B1UBIA81 | Long             | DBT              | CORP              | GG        |    376001 | PA      | $442673.48    | 0.11%             | 2030-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                    | VMED O2 UK FINAN SR SECURED REGS 07/31 4.5             | CUSIP: ACI1YSZV8<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $223149.67    | 0.06%             | 2031-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIA OUTLETS BV                                                               | VIA OUTLETS BV SR UNSECURED REGS 11/28 1.75            | CUSIP: ACI21N9Q3<br>LEI: 2594009AT1MND8D7E216 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $549805.78    | 0.14%             | 2028-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BRITISH TELECOMMUNICATIONS PL SNR SE ICE               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $3975.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TERRAFORM POWER OPERATING LLC                                                | TERRAFORM POWER OPERATIN COMPANY GUAR 144A 01/28 5     | CUSIP: 88104LAE3<br>LEI: 5493000S2OLR3UT5BE13 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197899.02    | 0.05%             | 2028-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $10309.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IBERDROLA INTERNATIONAL BV                                                   | IBERDROLA INTL BV COMPANY GUAR 09/33 6.75              | CUSIP: 29266MAE9<br>LEI: 549300ZMLFJKWC63XN87 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $272716.79    | 0.07%             | 2033-09-15      | Fixed         | 6.75%                 | 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      | $-660.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6                                   | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 F5TB 144A | CUSIP: 05492TBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    854000 | PA      | $650714.61    | 0.16%             | 2053-02-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-535.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL RA8571 FR 06/53 FIXED 4              | CUSIP: 3133KQQY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    377249 | PA      | $357276.12    | 0.09%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                            | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                 | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   2400000 | PA      | $132930.61    | 0.03%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                              | BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1              | CUSIP: 07387QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244469 | PA      | $226376.55    | 0.06%             | 2046-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.48100 10/29/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4957.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.46500 10/30/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-10400.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.08000 02/23/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-35254.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RENEW PRIVATE LIMITED                                                        | RENEW POWER PVT LTD SR SECURED REGS 03/27 5.875        | CUSIP: Y7279WAA9<br>LEI: 335800BITJZHVZ1CN475 | Long             | DBT              | CORP              | IN        |    200000 | PA      | $197996.98    | 0.05%             | 2027-03-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.50000 09/16/26-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-47015.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                  | MEXICAN UDIBONOS BONDS 08/34 4                         | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1229944 | PA      | $64088.41     | 0.02%             | 2034-08-24      | Fixed         | 4.00%                 | 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      | $3213.76      | 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        |   1052910 | PA      | $994768.88    | 0.25%             | 2053-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUBLIC SERVICE COMPANY                                          | SOUTHWESTERN PUBLIC SERV 1ST MORTGAGE 05/50 3.15       | CUSIP: 845743BU6<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    100000 | PA      | $64863.59     | 0.02%             | 2050-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                                       | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A10       | CUSIP: 18976GAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204795 | PA      | $187937.59    | 0.05%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                  | BNP PARIBAS JR SUBORDINA 144A 12/99 VAR                | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $1032403.00   | 0.26%             | 2029-08-16      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL MA5009 FN 05/53 FIXED 5                      | CUSIP: 31418ER77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    160512 | PA      | $159144.92    | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                          | CENTENE CORP SR UNSECURED 08/31 2.625                  | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    600000 | PA      | $502024.68    | 0.13%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.97000 02/27/24-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2204.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE4                                       | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE4 M7       | CUSIP: 04541GRR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402516 | PA      | $386659.62    | 0.10%             | 2035-05-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                        | CPI PROPERTY GROUP SA SR UNSECURED REGS 01/31 1.5      | CUSIP: ACI1V7SM5<br>LEI: 222100CO2ZOTEPGJO223 | Long             | DBT              | CORP              | LU        |    100000 | PA      | $90371.44     | 0.02%             | 2031-01-27      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.76000 03/04/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1709.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-2A                                                     | FIRST HELP FINANCIAL LLC FHF 2024 2A A2 144A           | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    983688 | PA      | $990583.51    | 0.25%             | 2030-06-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $825.30       | 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      | $570.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DISCOVERY GLOBAL HOLDINGS INC                                                | DISCOVERY HOLDINGS INC COMPANY GUAR 03/29 4.054        | CUSIP: 55903VBY8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    500000 | PA      | $484062.50    | 0.12%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.0658* 03/13/26-20Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1225.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CTP NV                                                                       | CTP NV SR UNSECURED REGS 09/31 1.5                     | CUSIP: ACI20LMV2<br>LEI: 3157000YTVO4TN65UM14 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $500200.49    | 0.13%             | 2031-09-27      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-4012.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-9                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 9 2A3        | CUSIP: 54251WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    717315 | PA      | $218391.14    | 0.06%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.59500 08/19/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $6600.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CMBX.NA.AAA.14 SP MYI                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $4011.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.88000 07/10/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2189.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 317U0U5A9 PIMCO FPPSWAPTION 2.4 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    300000 | NC      | $86683.05     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 03/18/26-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-23621.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.00 9/16/23-7Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $234301.85    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD KWD BOUGHT USD 20290502                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $11485.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                     | HOST HOTELS + RESORTS LP SR UNSECURED 12/31 2.9        | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    250000 | PA      | $222373.45    | 0.06%             | 2031-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.55500 03/05/24-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9926.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JDE PEETS NV                                                                 | JDE PEET S NV COMPANY GUAR 144A 09/31 2.25             | CUSIP: 47216QAC7<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    800000 | PA      | $695992.37    | 0.18%             | 2031-09-24      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AHLSTROM OYJ                                                                 | SPA HOLDINGS 3 OY 2025 USD TERM LOAN B                 | CUSIP: 78475BAB3<br>LEI: 743700UEY0YM039XN974 | Long             | LON              | CORP              | FI        |    298502 | PA      | $296200.42    | 0.07%             | 2030-05-23      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.37500 10/15/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-6623.70     | -0.00%            |  |  |  | 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        |    432976 | PA      | $435630.32    | 0.11%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                         | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052656<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6400000 | PA      | $-6421227.84  | -1.62%            | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                         | GNMA II POOL MA9017 G2 07/53 FIXED 5.5                 | CUSIP: 36179YAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1753954 | PA      | $1778002.43   | 0.45%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL RJ0137 FR 12/53 FIXED 5              | CUSIP: 3142GQEK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1457449 | PA      | $1441002.05   | 0.36%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.81800 06/26/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-3562.14     | -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      | $-397.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR GBP SONIO/4.32000 10/20/23-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $197.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                       | NXP BV/NXP FDG/NXP USA COMPANY GUAR 05/31 2.5          | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    300000 | PA      | $269404.16    | 0.07%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD GBP BOUGHT USD 20260505                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $53854.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.89600 01/08/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1390.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                          | FS KKR CAPITAL CORP SR UNSECURED 10/28 3.125           | CUSIP: 302635AK3<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    400000 | PA      | $365407.26    | 0.09%             | 2028-10-12      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| TRANSURBAN FINANCE COMPANY PTY LTD                                           | TRANSURBAN FINANCE CO SR SECURED 144A 03/31 2.45       | CUSIP: 89400PAK9<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |    600000 | PA      | $542424.70    | 0.14%             | 2031-03-16      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                 | ING GROEP NV SR UNSECURED 03/33 VAR                    | CUSIP: 456837BC6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $481787.57    | 0.12%             | 2033-03-28      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.08244 06/30/26-27Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1270.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                          | INTESA SANPAOLO SPA 144A 06/33 6.625                   | CUSIP: 46115HBZ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    700000 | PA      | $759513.71    | 0.19%             | 2033-06-20      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| MFT TRUST 2020-B6                                                            | MFT TRUST MOFT 2020 B6 A 144A                          | CUSIP: 55316TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180000 | PA      | $144157.23    | 0.04%             | 2040-08-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                 | ING GROEP NV JR SUBORDINA 12/99 VAR                    | CUSIP: 456837AY9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $193331.54    | 0.05%             | 2027-05-16      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.4* 8/17/23-4Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $12477.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDX HY46 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $267718.02    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD AUD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $4027.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEGAL & GENERAL GROUP PLC                                                    | LEGAL + GENERAL GROUP JR SUBORDINA REGS 12/99 VAR      | CUSIP: ACI1N5DJ1<br>LEI: 213800JH9QQWHLO99821 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $245831.48    | 0.06%             | 2031-03-24      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| STAR ENERGY GEOTHERMAL WAYANG WINDU LTD                                      | STAR ENERGY GEOTHERMAL SR SECURED REGS 04/33 6.75      | CUSIP: G84393AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |    255000 | PA      | $256337.61    | 0.06%             | 2033-04-24      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.39500 10/17/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9458.65     | -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      | $-14077.03    | -0.00%            |  |  |  | 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      |
| N/A                                                                          | RFR JPY MUTK/0.00000 12/15/21-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $33772.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                   | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                  | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  91000000 | PA      | $444905.45    | 0.11%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-15772.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $7.40         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XIV-B LTD                                                 | NORTHWOODS CAPITAL LTD WOODS 2018 14BA AR 144A         | CUSIP: 66860CAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    997547 | PA      | $998668.13    | 0.25%             | 2031-11-13      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.00000 12/20/23-3Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-30867.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.7* 8/12/23-28Y CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $105618.51    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                            | NATWEST GROUP PLC JR SUBORDINA 12/99 VAR               | CUSIP: ACI1SQVK7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $260724.80    | 0.07%             | 2027-05-12      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                              | NORDEA BANK ABP JR SUBORDINA 144A 12/99 VAR            | CUSIP: 65559CAD3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    500000 | PA      | $464034.60    | 0.12%             | 2029-03-01      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.01528 06/30/26-27Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5196.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD AUD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $2398.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                  | UNITED MEXICAN STATES SR UNSECURED 05/36 4.875         | CUSIP: ACI381P50<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1100000 | PA      | $1240526.65   | 0.31%             | 2036-05-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.25000 03/19/25-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-254872.30   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/0.7* 9/16/23-8Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $104179.13    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                      | BPCE SA 144A 05/31 VAR                                 | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1080000 | PA      | $1095022.68   | 0.28%             | 2031-05-28      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-3503.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | US 10YR NOTE (CBT)JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       810 | NC      | $-1664788.53  | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAST MORTGAGE TRUST 2022-1700                                               | BSST MORTGAGE TRUST BSST 2022 1700 D 144A              | CUSIP: 055742AL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $264620.64    | 0.07%             | 2037-02-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                  | UNITED MEXICAN STATES UNITED MEXICAN STATES            | CUSIP: ACI2MJSF2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1100000 | PA      | $1266184.21   | 0.32%             | 2032-05-25      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.99000 12/08/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-365.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                                         | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 11A1         | CUSIP: 026935AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110491 | PA      | $108195.69    | 0.03%             | 2037-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| VILMORIN & CIE                                                               | VILMORIN ET COMP SR UNSECURED REGS 03/28 1.375         | CUSIP: ACI1WKXC1<br>LEI: 969500TQ4OAZZXSUPZ18 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $441289.82    | 0.11%             | 2028-03-26      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 3.14800 11/20/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1714.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-B                                       | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 B M2         | CUSIP: 64352VNL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1620840.42   | 0.41%             | 2035-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 09/29 3.875                            | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3000761.73   | 0.76%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                             | ABN AMRO BANK NV 144A 12/29 VAR                        | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $473428.36    | 0.12%             | 2029-12-13      | Floating      | 2.47%                 | 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      | $69192.43     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AIB GROUP PLC (AKA: ALLIED IRISH BANKS)                                      | AIB GROUP PLC SR UNSECURED 144A 09/29 VAR              | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    500000 | PA      | $523412.26    | 0.13%             | 2029-09-13      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| INDIA GREEN POWER HOLDINGS                                                   | INDIA GREEN POWER HOLD SECURED 144A 02/27 4            | CUSIP: 45410LAA0<br>LEI: 254900I7N0GT4VVL6V29 | Long             | DBT              | CORP              | MU        |    200000 | PA      | $195547.79    | 0.05%             | 2027-02-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-3                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 4A33        | CUSIP: 00703QAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241992 | PA      | $73505.34     | 0.02%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.00000 03/18/26-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-50819.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                 | ING GROEP NV JR SUBORDINA 12/99 VAR                    | CUSIP: 456837AZ6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $173927.06    | 0.04%             | 2031-05-16      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-142.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                          | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 11M1      | CUSIP: 161630BD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42664 | PA      | $39955.46     | 0.01%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GRAINGER PLC (AKA: GRAINGER TRUST PLC)                                       | GRAINGER PLC SR SECURED REGS 07/30 3                   | CUSIP: ACI1NGD16<br>LEI: 2138007CEIRKZMNI2979 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $119383.63    | 0.03%             | 2030-07-03      | Fixed         | 3.00%                 | 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        |    167547 | PA      | $164864.76    | 0.04%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL QF0107 FR 09/52 FIXED 5.5            | CUSIP: 3133BMDL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    814611 | PA      | $822005.91    | 0.21%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.75000 03/05/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1782.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR JPY MUTK/1.00000 09/18/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $168258.01    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 06/20/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $55934.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                | CLEARWAY ENERGY OP LLC COMPANY GUAR 144A 01/34 5.75    | CUSIP: 18539UAG0<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |    800000 | PA      | $786716.40    | 0.20%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL CB4806 FN 07/52 FIXED 3                      | CUSIP: 3140QQKU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    409009 | PA      | $360377.04    | 0.09%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.07585 03/13/26-20Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1102.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 3.28000 11/22/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-2809.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                         | JPMORGAN CHASE + CO SR UNSECURED 11/32 VAR             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1245006.22   | 0.31%             | 2032-11-08      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.61100 08/28/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $6053.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-53.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260707                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-103.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 317U0VAA1 PIMCO FPPSWAPTION 2.11 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    300000 | NC      | $88832.37     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                            | HSBC HOLDINGS PLC SR UNSECURED 03/34 VAR               | CUSIP: 404280DV8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $636078.25    | 0.16%             | 2034-03-09      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL CORPORATION                                         | FIRST AMERICAN FINANCIAL SR UNSECURED 08/31 2.4        | CUSIP: 31847RAH5<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |    600000 | PA      | $517152.72    | 0.13%             | 2031-08-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.71199 06/30/26-9Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1191.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 3.27000 08/21/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $4463.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR JPY MUTK/0.5000 03/15/22-20Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $137575.46    | 0.03%             |  |  |  | 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        |   6300000 | PA      | $5945675.53   | 1.50%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT BRL SOLD USD 20260602                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $134896.68    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.00000 06/21/23-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $192992.21    | 0.05%             |  |  |  | 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      |
| N/A                                                                          | RFR USD SOFR/3.73500 01/23/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-178.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.46000 04/01/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-3661.42     | -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      | $-17527.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/1.75000 12/21/22-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-39730.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REPO BANK AMERICA REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  31200000 | PA      | $31200000.00  | 7.89%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $31.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BALL CORPORATION                                                             | BALL CORP COMPANY GUAR 09/31 3.125                     | CUSIP: 058498AX4<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |    580000 | PA      | $522825.98    | 0.13%             | 2031-09-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO X DAC 10A                                                   | CAPITAL FOUR CLO CFOUR 10A A 144A                      | CUSIP: ACI2ZN408<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   2800000 | PA      | $3230750.61   | 0.82%             | 2038-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-19967.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT JPY SOLD USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $13990.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 3.00000 09/16/26-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $127244.05    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL BF0332 FN 01/59 FIXED 3                      | CUSIP: 3140FXLN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1117657 | PA      | $973000.34    | 0.25%             | 2059-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                                      | UDR INC COMPANY GUAR 11/34 3.1                         | CUSIP: 90265EAS9<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    100000 | PA      | $85769.21     | 0.02%             | 2034-11-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.22000 01/08/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-7095.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF4                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF4 M1         | CUSIP: 362334FV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1508455 | PA      | $1466480.78   | 0.37%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG04            | FHLMC MULTIFAMILY STRUCTURED P FHMS KG04 X1            | CUSIP: 3137F84T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2745580 | PA      | $85874.88     | 0.02%             | 2030-11-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TSY INFL IX N/B 01/31 0.125                            | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2248740 | PA      | $2114863.45   | 0.53%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                           | COOPERATIEVE RABOBANK UA JR SUBORDINA REGS 12/99 VAR   | CUSIP: ACI1NVLN6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    400000 | PA      | $464464.54    | 0.12%             | 2027-06-29      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-53840.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DEL NORTE SA/ GRAND CAYMAN BRANCH                            | BANCO MERCANTIL DE NORTE JR SUBORDINA 144A 12/99 VAR   | CUSIP: 05973KAB3<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |    200000 | PA      | $190758.98    | 0.05%             | 2032-01-24      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A16      | CUSIP: 74922EAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109537 | PA      | $89984.09     | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.78000 05/02/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $3391.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NETAPP INC                                                                   | NETAPP INC SR UNSECURED 03/35 5.7                      | CUSIP: 64110DAN4<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |    350000 | PA      | $356714.44    | 0.09%             | 2035-03-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.8* 7/24/23-29Y* CME               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-21119.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 3.30000 10/03/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $12719.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                               | BRIDGEGATE FUNDING PLC BRGTE 2023 1A E 144A            | CUSIP: ACI2C6RF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    950000 | PA      | $1257989.93   | 0.32%             | 2062-10-16      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.4* 8/24/23-4Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10085.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-7897.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                                    | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A BR 144A         | CUSIP: ACI2VPZ11<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1400000 | PA      | $1616860.97   | 0.41%             | 2033-08-15      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                 | UBS GROUP AG JR SUBORDINA 144A 12/99 VAR               | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $177211.82    | 0.04%             | 2031-02-10      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                         | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX XCP 144A | CUSIP: 05493LAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 261000000 | PA      | $274.05       | 0.00%             | 2038-09-15      | Variable      | 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      | $17154.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REPO BANK AMERICA REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   5300000 | PA      | $5300000.00   | 1.34%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -162500 | PA      | $-162531.51   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                                | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE C 144A    | CUSIP: 26210YAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $991862.70    | 0.25%             | 2043-10-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 12/13/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-983.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                       | STANDARD CHARTERED PLC SR UNSECURED 144A 06/32 VAR     | CUSIP: 853254CC2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $178066.46    | 0.05%             | 2032-06-29      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD PEN BOUGHT USD 20260803                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $10650.18     | 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        |    582835 | PA      | $529792.98    | 0.13%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER COMPANY                                                         | WEYERHAEUSER CO SR UNSECURED 11/29 4                   | CUSIP: 962166BX1<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98025.40     | 0.02%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                                         | SARTORIUS FINANCE BV COMPANY GUAR REGS 09/35 4.875     | CUSIP: ACI2JQ1Z5<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $717161.09    | 0.18%             | 2035-09-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | EURO-BUND FUTURE  JUN26 XEUR 20260608                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         6 | NC      | $-21700.17    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.52000 04/09/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $3027.73      | 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      | $16617.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260602                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-50.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-10                                               | GSAA HOME EQUITY TRUST GSAA 2006 10 AF5                | CUSIP: 362375AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210795 | PA      | $45363.99     | 0.01%             | 2036-06-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP SR UNSECURED 07/32 VAR            | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1236305.27   | 0.31%             | 2032-07-21      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                         | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3600000 | PA      | $3471067.26   | 0.88%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                 | REPUBLIC OF CHILE SR UNSECURED 01/27 2.75              | CUSIP: 168863DX3<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    300000 | PA      | $296085.00    | 0.07%             | 2027-01-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.88000 10/16/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4536.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.61000 03/24/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-3826.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260518                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-49.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260528                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-194.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                  | EQUINIX INC SR UNSECURED 04/32 3.9                     | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    400000 | PA      | $377805.52    | 0.10%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD KWD BOUGHT USD 20290702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1431.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENKO WIND PROJECTS (MAURITIUS) LTD                                        | GREENKO WIND PROJECTS MU COMPANY GUAR 144A 09/28 7.25  | CUSIP: 39531JAB0<br>LEI: 254900MSUXE1FF83DP82 | Long             | DBT              | CORP              | MU        |    788000 | PA      | $782956.92    | 0.20%             | 2028-09-27      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO VI DAC 6A                                                         | ARBOUR CLO ARBR 6A AR 144A                             | CUSIP: ACI2RC930<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   2600000 | PA      | $3005681.49   | 0.76%             | 2037-11-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                             | DEUTSCHE BANK AG REGS 02/28 VAR                        | CUSIP: ACI23QT82<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $228601.51    | 0.06%             | 2028-02-23      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.77000 04/16/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $3359.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| METALSA SA DE CV                                                             | METALSA SA DE CV COMPANY GUAR 144A 05/31 3.75          | CUSIP: 59132VAB4<br>LEI: 549300F2FONGJR575V67 | Long             | DBT              | CORP              | MX        |    450000 | PA      | $390656.25    | 0.10%             | 2031-05-04      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.71000 03/05/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-785.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NE PROPERTY BV                                                               | NE PROPERTY BV COMPANY GUAR REGS 07/27 3.375           | CUSIP: ACI1NVNL8<br>LEI: 7245006AG9J70KOIJH36 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $346283.38    | 0.09%             | 2027-07-14      | Fixed         | 3.38%                 | 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      | $-3569.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE INCORPORATED                                              | JONES LANG LASALLE INC SR UNSECURED 12/28 6.875        | CUSIP: 48020QAB3<br>LEI: 6SYKCME112RT8TQUO411 | Long             | DBT              | CORP              | US        |    500000 | PA      | $527986.43    | 0.13%             | 2028-12-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHOBANI LLC / CHOBANI FINANCE CORP INC                                       | CHOBANI LLC/FINANCE CORP SR UNSECURED 144A 07/29 7.625 | CUSIP: 17027NAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $511553.50    | 0.13%             | 2029-07-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                          | DOLP TRUST DOLP 2021 NYC D 144A                        | CUSIP: 23345LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $764710.92    | 0.19%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                    | DUKE ENERGY CAROLINAS 1ST MORTGAGE 03/52 3.55          | CUSIP: 26442CBH6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    402000 | PA      | $284144.70    | 0.07%             | 2052-03-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | EURO-BOBL FUTURE  JUN26 XEUR 20260608                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         1 | NC      | $-2104.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                          | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345          | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    380000 | PA      | $369941.51    | 0.09%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| UZBEKISTAN GOVT                                                              | UZBEKISTAN INTL BOND SR UNSECURED 144A 05/27 5.375     | CUSIP: ACI2P7GV3<br>LEI: 213800L6VDKUM3TCM927 | Long             | DBT              | NUSS              | UZ        |    400000 | PA      | $466598.24    | 0.12%             | 2027-05-29      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CAD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $4618.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 317UC50A6 PIMCO SWAPTION 2.54 CALL EUR 2026041         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-30.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.90000 01/08/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1451.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.00000 03/19/25-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $535834.18    | 0.14%             |  |  |  | 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      | $-910.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL RJ1504 FR 05/54 FIXED 6.5            | CUSIP: 3142GRU65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2819492 | PA      | $2918537.43   | 0.74%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                  | UNITED MEXICAN STATES SR UNSECURED 02/34 5.625         | CUSIP: 91087BBQ2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    500000 | PA      | $489625.00    | 0.12%             | 2034-02-09      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NEXI SPA                                                                     | NEXI SPA SR UNSECURED REGS 04/26 1.625                 | CUSIP: ACI1X5NT7<br>LEI: 5493000P70CQRQG8SN85 | Long             | DBT              | CORP              | IT        |    550000 | PA      | $634648.99    | 0.16%             | 2026-04-30      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL SD8526 FR 04/55 FIXED 6.5            | CUSIP: 3132DWPK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9333352 | PA      | $9655726.94   | 2.44%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL CB4615 FN 07/52 FIXED 4.5                    | CUSIP: 3140QQDV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     83208 | PA      | $80699.57     | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                        | BBCCRE TRUST BBCCR 2015 GTP D 144A                     | CUSIP: 05490TAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2660000 | PA      | $2239040.64   | 0.57%             | 2033-08-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT AG (MUNICHRE)                     | MUNICH RE SUBORDINATED 144A 05/42 VAR                  | CUSIP: 62582PAA8<br>LEI: 529900MUF4C20K50JS49 | Long             | DBT              | CORP              | DE        |    400000 | PA      | $409163.38    | 0.10%             | 2042-05-23      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL CB6608 FN 07/53 FIXED 4                      | CUSIP: 3140QSKW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1845668 | PA      | $1746429.31   | 0.44%             | 2053-07-01      | Fixed         | 4.00%                 | 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        |   1020723 | PA      | $995646.99    | 0.25%             | 2058-04-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                 | ROMANIA SR UNSECURED 144A 09/28 5.5                    | CUSIP: ACI2JSF11<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    500000 | PA      | $597042.87    | 0.15%             | 2028-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE COMPANY SA                                                   | CELLNEX FINANCE COMPANY GUAR 144A 07/41 3.875          | CUSIP: 15118JAA3<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $158426.75    | 0.04%             | 2041-07-07      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| EQT AB                                                                       | EQT AB SR UNSECURED REGS 04/28 2.375                   | CUSIP: ACI24Q3R7<br>LEI: 213800U7P9GOIRKCTB34 | Long             | DBT              | CORP              | SE        |    800000 | PA      | $902563.14    | 0.23%             | 2028-04-06      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 9.815 03/13/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-208637.31   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| HERO FUTURE ENERGIES (CLEAN RENEWABLE POWER MAURITIUS PTE LTD)               | CLEAN RENEWABLE POWER SR SECURED 144A 03/27 4.25       | CUSIP: 18452NAB0<br>LEI: 2138003P9CSDW7P4MT75 | Long             | DBT              | CORP              | MU        |    147000 | PA      | $143585.82    | 0.04%             | 2027-03-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-335.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.25000 11/22/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-6928.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.7547* 03/13/26-10Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2507.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.38000 12/31/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-5598.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                                                 | ILLUMINA INC SR UNSECURED 03/31 2.55                   | CUSIP: 452327AM1<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |    300000 | PA      | $268823.21    | 0.07%             | 2031-03-23      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.25000 06/21/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5342.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                       | BROOKFIELD FINANCE INC COMPANY GUAR 04/31 2.724        | CUSIP: 11271LAH5<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    350000 | PA      | $317561.89    | 0.08%             | 2031-04-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.85000 01/08/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $341.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                       | NXP BV/NXP FDG/NXP USA COMPANY GUAR 01/33 5            | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1300000 | PA      | $1294307.99   | 0.33%             | 2033-01-15      | 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      | $943.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP/THE                                                       | HOWARD HUGHES CORP COMPANY GUAR 144A 02/31 4.375       | CUSIP: 44267DAF4<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |    600000 | PA      | $551313.12    | 0.14%             | 2031-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS D 144A    | CUSIP: 61692AAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1097000 | PA      | $23509.26     | 0.01%             | 2036-12-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                             | KILROY REALTY LP COMPANY GUAR 11/33 2.65               | CUSIP: 49427RAR3<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    900000 | PA      | $716174.79    | 0.18%             | 2033-11-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                       | STANDARD CHARTERED PLC SR UNSECURED 144A 01/29 6.301   | CUSIP: 853254CS7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $616455.66    | 0.16%             | 2029-01-09      | Floating      | 6.30%                 | 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        |        -5 | NC      | $-1860.67     | -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      | $-19718.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR JPY MUTK/0.70000 09/18/24-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $108254.11    | 0.03%             |  |  |  | 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      | $-164166.10   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-D                                                    | CENTEX HOME EQUITY CXHE 2004 D MV1                     | CUSIP: 152314LQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51590 | PA      | $51056.44     | 0.01%             | 2034-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING COMPANY INC                                        | HILTON DOMESTIC OPERATIN COMPANY GUAR 144A 02/32 3.625 | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    250000 | PA      | $227412.53    | 0.06%             | 2032-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/0.9* 8/06/23-3Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1293.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                                           | VODAFONE GROUP PLC JR SUBORDINA 06/81 VAR              | CUSIP: 92857WBX7<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    110000 | PA      | $85554.82     | 0.02%             | 2081-06-04      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                         | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5900000 | PA      | $5174344.72   | 1.31%             | 2056-06-11      | Fixed         | 3.00%                 | 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      | $6143.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 3.25000 11/06/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-2619.02     | -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      | $1854.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.89000 03/03/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-577.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                          | NISSAN MOTOR CO SR UNSECURED 144A 07/29 5.25           | CUSIP: ACI2YQ7R0<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $458146.66    | 0.12%             | 2029-07-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                         | VASA TRUST VASA 2021 VASA D 144A                       | CUSIP: 92230AAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $371461.44    | 0.09%             | 2039-07-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL RJ1108 FR 03/54 FIXED 5              | CUSIP: 3142GRGS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2144724 | PA      | $2118540.27   | 0.54%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.42145 07/06/26-4Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1372.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACCOR                                                                        | ACCOR SA SR UNSECURED REGS 11/28 2.375                 | CUSIP: ACI21X8H2<br>LEI: 969500QZC2Q0TK11NV07 | Long             | DBT              | CORP              | FR        |    900000 | PA      | $1007781.44   | 0.25%             | 2028-11-29      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 1.00000 05/13/22-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-14964.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 08/45 4.875                            | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    203000 | PA      | $202381.48    | 0.05%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $5216.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/2.53700 07/24/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-27601.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.50 7/12/23-6Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7438.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 11/54 4.5                              | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3200000 | PA      | $2990249.98   | 0.76%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                    | VMED O2 UK FINAN SR SECURED 144A 07/31 4.75            | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |   1700000 | PA      | $1464433.18   | 0.37%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT KWD SOLD USD 20260713                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-148.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL RJ0138 FR 12/53 FIXED 5.5            | CUSIP: 3142GQEL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1971367 | PA      | $1984747.74   | 0.50%             | 2053-12-01      | Fixed         | 5.50%                 | 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      | $-1998.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                        | CROWN CASTLE INC SR UNSECURED 11/29 3.1                | CUSIP: 22822VAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    400000 | PA      | $377764.39    | 0.10%             | 2029-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | US 10YR ULTRA FUT JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -45 | NC      | $120564.45    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.68400 01/03/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $513.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR JPY MUTK/0.55000 09/14/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-35965.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.54700 03/09/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-13917.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-1918                              | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 1918 A 144A   | CUSIP: 95004QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1692923.41   | 0.43%             | 2040-09-15      | Variable      | 5.20%                 | 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      |
| UMBS PASS THRU POOLS                                                         | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4700000 | PA      | $4629838.21   | 1.17%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.55000 04/16/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $2731.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL CB8752 FN 06/54 FIXED 5                      | CUSIP: 3140QUWN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15471055 | PA      | $15273046.11  | 3.86%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL DISTRIBUTION SERVICES PLC                                      | INT DISTRIBUTION SERV COMPANY GUAR REGS 09/30 7.375    | CUSIP: ACI2JQ0Q6<br>LEI: 213800TCZZU84G8Z2M70 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $689828.50    | 0.17%             | 2030-09-14      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.46300 10/23/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5242.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                          | NOMURA HOLDINGS INC SR UNSECURED 07/28 2.172           | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    700000 | PA      | $663365.10    | 0.17%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                           | ALLY FINANCIAL INC COMPANY GUAR 11/31 8                | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    450000 | PA      | $499765.72    | 0.13%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF1                                           | STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A1        | CUSIP: 86358BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61602 | PA      | $60745.81     | 0.02%             | 2037-02-25      | Floating      | 4.21%                 | 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      | $-3421.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TSY INFL IX N/B 01/32 0.125                            | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9854880 | PA      | $9072573.90   | 2.29%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.76000 01/03/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $44.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL CB8464 FN 05/54 FIXED 4                      | CUSIP: 3140QUMN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3822410 | PA      | $3610544.21   | 0.91%             | 2054-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                         | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25           | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1451462.85   | 0.37%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MNSN HOLDINGS INC                                                            | MNSN HOLDINGS INC COMMON STOCK                         | CUSIP: 55339C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1017 | NS      | $63054.00     | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.01500 12/30/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3242.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.40000 10/17/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3114.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                        | CPI PROPERTY GROUP SA SR UNSECURED REGS 01/28 VAR      | CUSIP: ACI1J42H5<br>LEI: 222100CO2ZOTEPGJO223 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $255022.43    | 0.06%             | 2028-01-22      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.49500 10/30/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4735.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                                | BSST MORTGAGE TRUST BSST 2021 1818 D 144A              | CUSIP: 07403PAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $107221.90    | 0.03%             | 2036-03-15      | Floating      | 6.29%                 | 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      | $-1365.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.75000 06/20/24-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-23229.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ST MARYS CEMENT INC (CANADA)                                                 | ST MARYS CEMENT INC COMPANY GUAR 144A 04/34 5.75       | CUSIP: 78478EAC2<br>LEI: 5493009981WBHS86CJ89 | Long             | DBT              | CORP              | CA        |    400000 | PA      | $411680.40    | 0.10%             | 2034-04-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HANWHA LIFE INSURANCE CO LTD                                                 | HANWHA LIFE INSURANCE SUBORDINATED 144A 02/32 VAR      | CUSIP: 41135UAB1<br>LEI: 988400ZKCI3R9DQHR320 | Long             | DBT              | CORP              | KR        |    300000 | PA      | $296089.37    | 0.07%             | 2032-02-04      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.09000 04/30/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10765.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/4.15000 04/22/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5241.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.60000 01/17/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2221.56      | 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        |    200000 | PA      | $198308.26    | 0.05%             | 2026-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS2                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS2 1A4       | CUSIP: 761118UK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181266 | PA      | $151115.06    | 0.04%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.4* 8/10/23-8Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $91156.46     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | AUST 10Y BOND FUT JUN26 XSFE 20260615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        80 | NC      | $-28822.57    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| KILROY REALTY LP                                                             | KILROY REALTY LP COMPANY GUAR 11/32 2.5                | CUSIP: 49427RAQ5<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    200000 | PA      | $162952.12    | 0.04%             | 2032-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-B                                                    | CENTEX HOME EQUITY CXHE 2005 B M4                      | CUSIP: 152314NE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204297 | PA      | $203864.63    | 0.05%             | 2035-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDX ITRAXX XOV44 5Y 35-100% SP BPS                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $38022.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                      | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 D 144A     | CUSIP: 62955HAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1488240.30   | 0.38%             | 2038-11-15      | Floating      | 6.33%                 | 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      | $1606.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                        | MICRON TECHNOLOGY INC SR UNSECURED 04/32 2.703         | CUSIP: 595112BS1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    200000 | PA      | $180518.77    | 0.05%             | 2032-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MODULAIRE (BCP V MODULAR SERVICES FINANCE II PLC)                            | BCP MODULAR SERVICES SR SECURED REGS 11/28 4.75        | CUSIP: ACI210QC5<br>LEI: 213800227GGD6UI7PI97 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $109221.93    | 0.03%             | 2028-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                        | FED HM LN PC POOL RA9049 FR 05/53 FIXED 4              | CUSIP: 3133KRBS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    407728 | PA      | $385719.56    | 0.10%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                  | UNITED MEXICAN STATES SR UNSECURED 08/36 2.25          | CUSIP: ACI1Z2SX8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    610000 | PA      | $547944.09    | 0.14%             | 2036-08-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT MXN SOLD USD 20260521                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-10382.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | US TREASURY N/B 02/46 4.625                            | CUSIP: 912810UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $192828.12    | 0.05%             | 2046-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                         | FNMA POOL MB0297 FN 01/55 FIXED 5.5                    | CUSIP: 3138MTKK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4490372 | PA      | $4515708.40   | 1.14%             | 2055-01-01      | Fixed         | 5.50%                 | 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                                                                          | RFR USD SOFR/3.61300 08/22/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3007.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT CAD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-4644.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                            | HSBC HOLDINGS PLC SR UNSECURED 11/32 VAR               | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $626585.26    | 0.16%             | 2032-11-22      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $503.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SHINHAN BANK CO LTD                                                          | SHINHAN BANK SUBORDINATED 144A 04/32 4.375             | CUSIP: 82460CAR5<br>LEI: 5493003P813VL21KG928 | Long             | DBT              | CORP              | KR        |    500000 | PA      | $488866.28    | 0.12%             | 2032-04-13      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFRF USD SF+26.161/1.8* 7/26/23-29Y* CME               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-20705.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.58000 08/29/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $2024.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/3.40694 07/06/26-4Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $747.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                              | COSTA RICA GOVERNMENT BONDS 144A 11/30 5.4995          | CUSIP: ACI3721X4<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |    500000 | PA      | $591604.60    | 0.15%             | 2030-11-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.86000 04/24/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $2070.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOISE CASCADE LLC                                                            | BOISE CASCADE COMPANY COMPANY GUAR 144A 07/30 4.875    | CUSIP: 09739DAD2<br>LEI: 549300Z8B8LSRHC7XA55 | Long             | DBT              | CORP              | US        |    500000 | PA      | $491976.95    | 0.12%             | 2030-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                     | HOST HOTELS + RESORTS LP SR UNSECURED 12/29 3.375      | CUSIP: 44107TAY2<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    600000 | PA      | $570395.64    | 0.14%             | 2029-12-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO XIII DAC 13A                                                      | ARBOUR CLO ARBR 13A BR 144A                            | CUSIP: ACI38J132<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1100000 | PA      | $1264096.14   | 0.32%             | 2038-08-15      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.67000 04/03/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $817.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 2.95000 12/29/23-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-582.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                 | CAIXABANK SA JR SUBORDINA REGS 12/99 VAR               | CUSIP: ACI1RXY95<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $234653.89    | 0.06%             | 2027-10-09      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME IMPROVEMENT LOAN TRUST 2022-3CS                    | GOODLEAP SUSTAINABLE HOME IMPR GOOD 2022 3CS A 144A    | CUSIP: 38237TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    751763 | PA      | $679268.43    | 0.17%             | 2049-07-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LENOVO GROUP LIMITED                                                         | LENOVO GROUP LTD SR UNSECURED REGS 11/30 3.421         | CUSIP: Y5257YAJ6<br>LEI: 254900VUZRGD5U73RE46 | Long             | DBT              | CORP              | HK        |    400000 | PA      | $378125.07    | 0.10%             | 2030-11-02      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| SOLAR STAR FUNDING LLC                                                       | SOLAR STAR FUNDING LLC SR SECURED 144A 06/35 5.375     | CUSIP: 83416WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    129673 | PA      | $130296.26    | 0.03%             | 2035-06-30      | Fixed         | 5.38%                 | 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