# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001099263-26-003053
**Filing Date:** 2026-3
**Character Count:** 241413
**Document Hash:** fb358bd85d5b1678c9003ef8ed49c47d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003053.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003053

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 26705865

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-12-31

**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:** $902563840.44

**Total Liabilities:** $482465640.80

**Net Assets:** $420098199.64

**Amount of Assets Invested in Other Investment Companies:** $132043098.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 8292.267700 | **1-Year:** 5561.355100 | **5-Year:** 25513.451500 | **10-Year:** 14353.707100 | **30-Year:** -6367.149600

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

- **3-Month:** 299.218300 | **1-Year:** 366.623400 | **5-Year:** 2248.204000 | **10-Year:** 281.945400 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026493 | 2.83%                | 2.59%                | -0.43%               |
| Class ID C000030986 | 2.77%                | 2.54%                | -0.45%               |
| Class ID C000148731 | 2.69%                | 2.46%                | -0.36%               |
| Class ID C000030994 | 2.84%                | 2.44%                | -0.24%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $314952.87               | $-2302774.14                               |
| Month 2  | $-107280.72              | $-78680.78                                 |
| Month 3  | $144620.99               | $-2289281.42                               |

**Designated Index Information**

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

- **Index Identifier:** BCOMTR

### Schedule of Portfolio Investments

| Name                                                       | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                        | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-6492.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SUGAR  11 (WORLD) MAY26 IFUS 20260430                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -3 | NC      | $-2040.71     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2100000 | PA      | $1990871.25   | 0.47%             | 2056-02-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4779                                    | FREDDIE MAC FHR 4779 WF                                 | CUSIP: 3137F4BX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94419 | PA      | $92602.50     | 0.02%             | 2044-07-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.645 09/10/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $34280.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR USD SOFR/3.37500 03/31/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $11099.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD THB BOUGHT USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-146.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | LME NICKEL FUTURE MAR26 XLME 20260316                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         4 | NC      | $44582.08     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $2703.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US LONG BOND(CBT) MAR26 XCBT 20260320                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -191 | NC      | $230792.07    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.72 06/15/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-5686.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                              | ARGENT SECURITIES INC. ARSI 2006 W4 A2C                 | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535529 | PA      | $128550.15    | 0.03%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      OCT31 IFED 20310926                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-18.93       | -0.00%            |  |  |  | No            |                  1 | 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        |   2100000 | PA      | $2220558.14   | 0.53%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-58.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $789.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP BCOMF1NTC BPS                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-575.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-20.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TREASURY BILL 03/26 0.00000                             | CUSIP: 912797SZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    602000 | PA      | $597691.67    | 0.14%             | 2026-03-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA17                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A     | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440735 | PA      | $396588.73    | 0.09%             | 2046-12-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  JUN27 IFEU 20270430                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -10 | NC      | $26856.18     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-6225.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD KRW BOUGHT USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-689.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | LME ZINC FUTURE   MAR26 XLME 20260316                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         4 | NC      | $7121.69      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  JUN26 XNYM 20260519                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -5 | NC      | $3741.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOYBEAN OIL FUTR  MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -6 | NC      | $9538.99      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260227                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $3324.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 3.435 08/01/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $15688.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOYBEAN OIL FUTR  JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -10 | NC      | $5300.57      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  FEB27 IFEU 20261230                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -6 | NC      | $3409.86      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ST PAULS CLO II DAC 2A                                     | ST PAULS CLO SPAUL 2A AR4 144A                          | CUSIP: ACI21LGL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $588151.22    | 0.14%             | 2035-10-25      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-47                                  | FANNIE MAE FNR 2025 47 FJ                               | CUSIP: 3136BWNH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1776464 | PA      | $1789097.18   | 0.43%             | 2055-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | PLATINUM FUTURE   APR26 XNYM 20260428                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $21142.88     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GSAMP TRUST 2005-HE2                                       | GSAMP TRUST GSAMP 2005 HE2 M2                           | CUSIP: 36242DA60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59287 | PA      | $57588.37     | 0.01%             | 2035-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352416 | PA      | $342091.88    | 0.08%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |  -1200000 | NC      | $-12334.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SILVER OPTION     DEC26C 65 EXP 11/24/2026              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -10 | NC      | $-763400.00   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  OCT26 IFEU 20260828                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         7 | NC      | $-1071.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | 317U7XVA7 PIMCO FPPSWAPTION 2.35 CALL EUR               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -12500000 | NC      | $-39200.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US 10YR NOTE (CBT)MAR26 XCBT 20260320                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -15 | NC      | $5370.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | VARS GOLDLNPM 0.059049 01/19/26 JPM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2979.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/30 0.125                             | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10134201 | PA      | $9566825.80   | 2.28%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                     | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15631 | PA      | $15248.29     | 0.00%             | 2045-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $3234.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR USD SOFR/4.01000 03/31/26-28Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $128620.14    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US ULTRA BOND CBT MAR26 XCBT 20260320                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       173 | NC      | $-300383.79   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/28 1.25                              | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32565900 | PA      | $32440412.19  | 7.72%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.573 08/26/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $84601.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $409.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                     | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1          | CUSIP: 75971FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    864842 | PA      | $345343.42    | 0.08%             | 2037-09-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | GASOLINE RBOB FUT JUN26 XNYM 20260529                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-3429.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  OCT26 XNYM 20260922                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -8 | NC      | $41002.85     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CARVAL CLO III LTD                                         | CARVAL CLO LTD CARVL 2019 2A AR2 144A                   | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1857258 | PA      | $1858530.78   | 0.44%             | 2032-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT ZAR SOLD USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $2745.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | GOLD 100 OZ FUTR  FEB26 XCEC 20260225                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         5 | NC      | $37536.36     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 3.365 09/15/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-20436.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      NOV31 IFED 20311029                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $566.07       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1       | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2160 | PA      | $1985.20      | 0.00%             | 2036-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260129                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $48044.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP SPGCINP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-10173.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD PLN BOUGHT USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-4397.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.165 04/16/19-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-146784.05   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO2                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO2 A1         | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33100 | PA      | $28784.95     | 0.01%             | 2045-09-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | WHEAT FUTURE(CBT) MAY26 XCBT 20260514                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $425.32       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMF1TC JPM                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $45270.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  DEC26 IFEU 20261119                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $2509.74      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD NZD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $677.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.034 09/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-18967.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $333.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  DEC26 XNYM 20261120                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        16 | NC      | $-57448.79    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1897.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8               | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 8 1A1           | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338730 | PA      | $326738.44    | 0.08%             | 2037-11-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | RFRF USD SOFR/2.30000 11/15/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-57540.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1318000 | PA      | $1316591.01   | 0.31%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  DEC27 IFEU 20271029                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -6 | NC      | $19514.41     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 5532                                    | FREDDIE MAC FHR 5532 FA                                 | CUSIP: 3137HKPJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1382844 | PA      | $1389018.16   | 0.33%             | 2055-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD KRW BOUGHT USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-377.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  MAR26 IFEU 20260130                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        78 | NC      | $-104526.22   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-3421.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD NZD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $480.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NAT GAS EURO OPT  MAR26P 3 EXP 02/24/2026               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-4408.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD NZD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-9005.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  APR27 XNYM 20270329                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         4 | NC      | $1427.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 10/29 1.625                             | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32181969 | PA      | $32506527.38  | 7.74%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $339.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5       | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5774 | PA      | $5770.19      | 0.00%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 1.636 06/15/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $3757.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WHEAT FUTURE(CBT) JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -4 | NC      | $832.44       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 2A AR1 144A   | CUSIP: ACI1XGH29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    110576 | PA      | $130029.92    | 0.03%             | 2031-11-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT CNH SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2170.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $3590.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $10984.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | VARS GOLDLNPM 0.06325225 04/10/26 JPM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $140920.75    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                 | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/30 0 | CUSIP: BK5MSXII1<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    748050 | PA      | $855565.83    | 0.20%             | 2030-05-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $295.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-6252.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT KRW SOLD USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $6491.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | JPN 10Y BOND(OSE) MAR26 XOSE 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -3 | NC      | $17134.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SNG KEROS V SNG GAJAN26 IFEU 20260130                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $194.14       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | 317U80OA6 PIMCO FPPSWAPTION 2.5 PUT EUR                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -5000000 | NC      | $-23164.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA8                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA8 1A7       | CUSIP: 32052DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36740 | PA      | $12935.87     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/29 2.125                             | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28948975 | PA      | $29566394.98  | 7.04%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $2657.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2670.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                       | EUROSAIL PLC ESAIL 2007 3X A3A REGS                     | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     40976 | PA      | $55241.26     | 0.01%             | 2045-06-13      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/CB CIXBSTR3 CBK                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $324831.09    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | CRUDE OIL FUT OPT MAR26C 64 EXP 02/17/2026              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -11 | NC      | $-6050.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                     | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A3 144A   | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30002 | PA      | $20169.08     | 0.00%             | 2037-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-24148.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-472.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.7975 08/25/20-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $52190.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-8850.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.68 04/15/23-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $92874.21     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-100          | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 100 FA          | CUSIP: 38385GQ77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3791119 | PA      | $3808486.16   | 0.91%             | 2055-06-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.703 05/25/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $12647.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD NZD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $1537.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS3                      | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS3 M1         | CUSIP: 76113ABL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12585 | PA      | $12542.93     | 0.00%             | 2036-04-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOYBEAN MEAL FUTR JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $485.37       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                         | TREASURY BILL 03/26 0.00000                             | CUSIP: 912797TA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    118000 | PA      | $117067.76    | 0.03%             | 2026-03-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17712 | PA      | $14097.82     | 0.00%             | 2037-10-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U84TA3 PIMCO SWAPTION 2.44 PUT EUR 20270125          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1400000 | NC      | $-7698.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $1479.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                           | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    579135 | PA      | $579449.13    | 0.14%             | 2037-06-19      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT GBP SOLD USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $5271.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.15 09/25/17-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-84495.10    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                    | FREDDIE MAC FHR 5508 AF                                 | CUSIP: 3137HJFR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1423749 | PA      | $1432124.84   | 0.34%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $325.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COCOA FUTURE      MAR26 IFUS 20260316                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        56 | NC      | $148171.92    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| HAYFIN EMERALD CLO VI DAC 6A                               | HAYFIN EMERALD CLO HAYEM 6A AR 144A                     | CUSIP: ACI30X675<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2352443.42   | 0.56%             | 2038-10-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $2247.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   5600000 | PA      | $5600000.00   | 1.33%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-1036.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |      8326 | PA      | $81100.30     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2007-20N                            | LEHMAN XS TRUST LXS 2007 20N A1                         | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269850 | PA      | $273525.49    | 0.07%             | 2037-12-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | IODEX IO FUT      FEB26 XSIM 20260227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | SG        |        14 | NC      | $3917.19      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $12040.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-4759.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT ILS SOLD USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $1055.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 2.12000 09/03/25-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $24665.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VOYA EURO CLO II DAC                                       | VOYA EURO CLO VOYE 2A AR 144A                           | CUSIP: ACI1YXDJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    400000 | PA      | $470663.08    | 0.11%             | 2035-07-15      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.58 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $11282.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/43 0.625                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    212433 | PA      | $158286.73    | 0.04%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-94076.49    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 2A1       | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19834 | PA      | $18429.24     | 0.00%             | 2035-12-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-3674.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 1.38 03/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-27041.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT ILS SOLD USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $519.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.89 08/27/20-7Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $50046.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      JAN31 IFED 20301227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $2571.07      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | ECX EMISSION      DEC26 NDEX 20261214                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | NL        |        18 | NC      | $70993.57     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FRANCE GOVT                                                | FRANCE (GOVT OF) BONDS 144A REGS 03/26 0.1              | CUSIP: ACI1N4959<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   2823756 | PA      | $3306266.03   | 0.79%             | 2026-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | EURO-SCHATZ FUT   MAR26 XEUR 20260306                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       184 | NC      | $-32108.39    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                     | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 2A1        | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3003 | PA      | $3535.43      | 0.00%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-8                         | HOME EQUITY ASSET TRUST HEAT 2005 8 M2                  | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150249 | PA      | $148503.12    | 0.04%             | 2036-02-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 11A1       | CUSIP: 07384M3X8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24846 | PA      | $25333.48     | 0.01%             | 2035-01-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-71.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A2         | CUSIP: 23245LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116129 | PA      | $43226.68     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT EUR SOLD USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $78.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $130.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR USD SOFR/3.50000 06/20/24-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $271657.76    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 1A1              | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1535 | PA      | $1534.32      | 0.00%             | 2035-07-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 278                                     | FREDDIEMAC STRIP FHS 278 F1                             | CUSIP: 3132HTBH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    194375 | PA      | $192064.48    | 0.05%             | 2042-09-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD EUR BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1685.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U7XUA8 PIMCO FPPSWAPTION 2.35 PUT EUR                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -12500000 | NC      | $-79327.47    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                       | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                  | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5410967 | PA      | $4932179.04   | 1.17%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-2711.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  MAR26 IFEU 20260219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $528.37       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOYBEAN FUTURE    NOV26 XCBT 20261113                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $84.11        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMF1TC CBK                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $511.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR MEI                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $90.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      DEC31 IFED 20311125                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $1648.57      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.736 10/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $69397.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  SEP26 XNYM 20260820                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $2430.39      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA1                        | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA1 A1        | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2224 | PA      | $2221.78      | 0.00%             | 2034-06-25      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $2533.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US 2YR NOTE (CBT) MAR26 XCBT 20260331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -274 | NC      | $-43370.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                            | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A          | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1390405 | PA      | $1390784.04   | 0.33%             | 2032-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                 | JAPAN GOVT CPI LINKED BONDS 03/29 0.1                   | CUSIP: ACI1BXN03<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 966627440 | PA      | $6272834.48   | 1.49%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD NOK BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-2294.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $273.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $1809.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $9451.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ZAR BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-1463.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    112065 | PA      | $105171.31    | 0.03%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-4.52        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | TRS R SOFRRATE+18/912828Y38 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-36879.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH3 M3        | CUSIP: 17309QAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $395889.56    | 0.09%             | 2036-10-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SNG KEROS V SNG GAFEB26 IFEU 20260227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -2 | NC      | $11.72        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | LIVE CATTLE FUTR  APR26 XCME 20260430                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        10 | NC      | $16497.54     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR2 MEI                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $599055.55    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT CNH SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $291.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NY HARB ULSD FUT  JUN26 XNYM 20260529                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -3 | NC      | $2902.57      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                     | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A          | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1600022.61   | 0.38%             | 2034-10-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.59 12/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $82358.86     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMF1TC BPS                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $149312.57    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10          | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB          | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    108708 | PA      | $110032.73    | 0.03%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD EUR BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1972.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | CCA VINTAGE 2026  DEC26 IFED 20261224                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       414 | NC      | $492400.08    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | EURO-BUND FUTURE  MAR26 XEUR 20260306                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        30 | NC      | $-62366.45    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR1 MYC                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $749900.82    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/28 0.5                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26700045 | PA      | $26235638.12  | 6.25%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-5                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 5 M4            | CUSIP: 126673V33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4263 | PA      | $4253.40      | 0.00%             | 2035-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  NOV26 XNYM 20261020                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -5 | NC      | $14245.01     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260227                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $3402.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $0.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.421 05/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $4756.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT CNH SOLD USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $44.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-12                                  | FANNIE MAE FNR 2025 12 FG                               | CUSIP: 3136BVFH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1507131 | PA      | $1514517.59   | 0.36%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/30 0.125                             | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20375194 | PA      | $19330868.53  | 4.60%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A        | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14900 | PA      | $13982.93     | 0.00%             | 2036-03-19      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  MAR26 XNYM 20260225                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $4180.54      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1         | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 1 2A1         | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17363 | PA      | $15969.59     | 0.00%             | 2035-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $382.10       | 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      | $-21822.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                      | FED HM LN PC POOL 972136 FH 01/34 FLOATING VAR          | CUSIP: 31336CLR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       621 | PA      | $638.21       | 0.00%             | 2034-01-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $2315.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 10/27 1.625                             | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27204210 | PA      | $27414637.56  | 6.53%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | US 5YR NOTE (CBT) MAR26 XCBT 20260331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       278 | NC      | $-29655.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-8328.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77782 | PA      | $73190.74     | 0.02%             | 2037-09-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    910000 | PA      | $900934.44    | 0.21%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3611 | PA      | $3587.56      | 0.00%             | 2034-11-21      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                      | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C        | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125158 | PA      | $40885.11     | 0.01%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-7                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 7 3CB         | CUSIP: 93934FBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8677 | PA      | $7497.67      | 0.00%             | 2035-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                 | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/36 1 | CUSIP: ACI2NDKJ4<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    312654 | PA      | $366832.06    | 0.09%             | 2036-05-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      FEB31 IFED 20310129                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $1771.07      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  JUN26 IFEU 20260430                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         5 | NC      | $1560.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT EUR SOLD USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1084.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.954 06/03/19-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-61384.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1886.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $125.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U84SA4 PIMCO SWAPTION 2.44 CALL EUR 2027012          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1400000 | NC      | $-5649.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | LOW SU GASOIL G   MAR26 IFEU 20260312                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -72 | NC      | $180098.81    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $10452.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.19000 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $596868.66    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 10/26 0.125                             | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6827639 | PA      | $6764681.83   | 1.61%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SNG KEROS V SNG GAJAN26 IFEU 20260130                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         3 | NC      | $-963.81      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | GOLD 100 OZ FUTR  APR26 XCEC 20260428                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $-17723.48    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  DEC26 IFEU 20261030                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        58 | NC      | $-120202.52   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD PLN BOUGHT USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-3279.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.36 05/09/18-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-100366.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                        | SAXON ASSET SECURITIES TRUST SAST 2007 3 1A             | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61796 | PA      | $60091.57     | 0.01%             | 2037-09-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 3.323 04/23/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3136.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  AUG26 XNYM 20260721                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        12 | NC      | $-8054.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD INR BOUGHT USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-130.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IODEX IO FUT      MAR26 XSIM 20260331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | SG        |       213 | NC      | $107399.43    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD INR BOUGHT USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-143.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | VARS GOLDLNPM 0.06125625 01/19/26 DUB                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1538.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NAT GAS EURO OPT  MAR26C 4.5 EXP 02/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         9 | NC      | $3726.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE3                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A2D        | CUSIP: 17310VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32479 | PA      | $22737.83     | 0.01%             | 2036-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-4                                   | FANNIE MAE FNR 2025 4 FB                                | CUSIP: 3136BUU65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    884352 | PA      | $887690.63    | 0.21%             | 2053-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/34 1.75                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2330350 | PA      | $2318026.22   | 0.55%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT2                        | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A2        | CUSIP: 00075XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    541064 | PA      | $510037.17    | 0.12%             | 2036-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.37 06/06/18-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-191140.58   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD PLN BOUGHT USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-3728.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC1                     | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC1 A         | CUSIP: 585525FN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6436 | PA      | $4409.35      | 0.00%             | 2030-09-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | LOW SU GASOIL G   JUN26 IFEU 20260611                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -42 | NC      | $-39777.51    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                        | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1        | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2767 | PA      | $2667.83      | 0.00%             | 2045-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                       | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3150 | PA      | $3306.08      | 0.00%             | 2034-11-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MORTGAGE LOAN TR 2006-1                       | INDYMAC INDB MORTGAGE LOAN TRU INDB 2006 1 A1           | CUSIP: 45661JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208445 | PA      | $65652.63     | 0.02%             | 2036-07-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | EURO-BUXL 30Y BND MAR26 XEUR 20260306                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -18 | NC      | $36974.99     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-1                    | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A      | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11863 | PA      | $11663.38     | 0.00%             | 2037-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-55.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | CRUDE OIL FUT OPT MAR26P 50 EXP 02/17/2026              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        11 | NC      | $4510.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | RFR USD SOFR/3.29000 03/31/26-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $36033.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO VII DAC 7A                          | BLACKROCK EUROPEAN CLO DAC BECLO 7A AR 144A             | CUSIP: ACI1W2WD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    166336 | PA      | $195715.81    | 0.05%             | 2031-10-15      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                       | FNMA POOL 826128 FN 07/35 FLOATING VAR                  | CUSIP: 31407BYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2739 | PA      | $2820.30      | 0.00%             | 2035-07-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.79375 08/24/20-7Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $104639.83    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-4734.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY11 A1       | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237289 | PA      | $229110.10    | 0.05%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| TIKEHAU CLO V BV 5A                                        | TIKEHAU TIKEH 5A AR 144A                                | CUSIP: ACI2YQ816<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $588039.93    | 0.14%             | 2038-10-15      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/40 2.125                             | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    346484 | PA      | $343328.35    | 0.08%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H22          | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H22 F           | CUSIP: 38384LA58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4089900 | PA      | $4108102.28   | 0.98%             | 2075-10-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | CORN FUTURE       JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -20 | NC      | $2859.28      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  JUL26 XNYM 20260622                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        10 | NC      | $-27453.33    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.1015 07/20/17-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-257848.91   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX4                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX4 A4        | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118218 | PA      | $117389.10    | 0.03%             | 2036-06-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMF1TC GST                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $405392.48    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR USD SOFR/4.07500 03/31/26-28Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $73383.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      SEP31 IFED 20310827                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-208.93      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | NAT GAS EURO OPT  MAR26P 3.5 EXP 02/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -9 | NC      | $-48060.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  APR26 IFEU 20260227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -6 | NC      | $17393.66     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/35 1.875                             | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6692598 | PA      | $6676770.14   | 1.59%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  JUL26 XNYM 20260626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $977.36       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT KRW SOLD USD 20260213                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-828.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                        | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1              | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       208 | PA      | $207.56       | 0.00%             | 2031-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.049 08/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-62813.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/26 0.125                             | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38197364 | PA      | $37975707.00  | 9.04%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                 | JAPAN GOVT CPI LINKED BONDS 03/35 0.005                 | CUSIP: ACI2XCPX9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 102096000 | PA      | $635818.74    | 0.15%             | 2035-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $138.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM3          | SECURITIZED ASSET BACKED RECEI SABR 2006 WM3 A3         | CUSIP: 81377EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3586075 | PA      | $1188756.89   | 0.28%             | 2036-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-5677.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFRF USD SOFR/2.34000 11/21/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-59179.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT ZAR SOLD USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $1458.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-2286.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT KRW SOLD USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $6605.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.82 02/05/25-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1335.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 3.3 06/04/2025-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10085.14     | 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      | $1445.88      | 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      | $-9662.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STEELE CREEK CLO LTD 2018-1A                               | STEELE CREEK CLO LTD STCR 2018 1A A 144A                | CUSIP: 85815CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     65240 | PA      | $65319.98     | 0.02%             | 2031-04-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  MAR26 XNYM 20260220                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -5 | NC      | $-3579.35     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  JAN27 XNYM 20261221                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-1597.39     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD CHF BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-1582.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $548.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2006-19                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 2A3          | CUSIP: 12667CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65573 | PA      | $65165.10     | 0.02%             | 2037-03-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1426.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $342.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                | CANADIAN GOVERNMENT RRB BONDS 12/26 4.25                | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   1129284 | PA      | $849531.04    | 0.20%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-6110.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                 | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                   | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 383886880 | PA      | $2493647.22   | 0.59%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CHF BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $494.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG          | CUSIP: 38380LJY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    280767 | PA      | $282708.76    | 0.07%             | 2068-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT ZAR SOLD USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $2243.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD AUD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-29491.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-6987.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-7722.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260224                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $7730.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SNG KEROS V SNG GAFEB26 IFEU 20260227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         2 | NC      | $-557.55      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-10XS                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A1         | CUSIP: 61751MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39742 | PA      | $22368.83     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR GST                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $49573.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 3.5 08/15/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $80800.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN 52 EURO CLO 2017 17-52A                             | DRYDEN EURO CLO DRYD 2017 52A AR 144A                   | CUSIP: ACI1YL2T4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    212437 | PA      | $249938.09    | 0.06%             | 2034-05-15      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                | FRANCE (GOVT OF) BONDS 144A REGS 07/31 0.1              | CUSIP: ACI1VB392<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   3197012 | PA      | $3556009.39   | 0.85%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | CMBX.NA.AAA.12 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $2482.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOYBEAN MEAL FUTR MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        69 | NC      | $-191727.27   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $9522.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD INR BOUGHT USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-160.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.59 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $41767.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR MAC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $12820.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $264.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-1021.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1943.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD SGD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-50215.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-2                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 2 3A2         | CUSIP: 07388DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14066 | PA      | $12073.13     | 0.00%             | 2036-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      JUL31 IFED 20310626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-306.43      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-7                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 2A2         | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    447697 | PA      | $178320.87    | 0.04%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD EUR BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-304084.26   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT CNH SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1971.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $4955.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                              | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1                  | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33662 | PA      | $29212.02     | 0.01%             | 2036-07-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| EURO-GALAXY III CLO BV 13-3A                               | EURO GALAXY CLO DAC EGLXY 2013 3A ARRR 144A             | CUSIP: ACI1W6FF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    497633 | PA      | $585513.10    | 0.14%             | 2034-04-24      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                                     | LEHMAN XS TRUST LXS 2006 7 1A1A                         | CUSIP: 52522EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59195 | PA      | $52565.31     | 0.01%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT CNH SOLD USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $337.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/27 0.125                             | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21910990 | PA      | $21518440.59  | 5.12%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260309                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $3853.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SILVER OPTION     DEC26C 120 EXP 11/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -4 | NC      | $-78540.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  SEP26 IFEU 20260731                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         7 | NC      | $-12036.16    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | COTTON NO.2 FUTR  JUL26 IFUS 20260709                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -5 | NC      | $-1322.05     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ARBOUR CLO VI DAC 6A                                       | ARBOUR CLO ARBR 6A AR 144A                              | CUSIP: ACI2RC930<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1177447.21   | 0.28%             | 2037-11-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-9065.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SILVER OPTION     DEC26P 65 EXP 11/24/2026              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -10 | NC      | $-379300.00   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | COFFEE 'C' FUTURE MAR26 IFUS 20260319                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $32638.85     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | ARGEURBOBRTBVSBR1LDEC25 IFEU 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -1 | NC      | $-1734.86     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.122 08/01/17-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-269196.78   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COM FWD NAPGASFO 4Q25 5.88 12/31/25 BPS                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $6084.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK EURO FUNDING XIII DAC 13A                     | MADISON PARK EURO FUNDING MDPKE 13A AR 144A             | CUSIP: ACI268DG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    686803 | PA      | $807739.80    | 0.19%             | 2032-01-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/28 0.75                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5811187 | PA      | $5742798.71   | 1.37%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR CIB                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $28031.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-89.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                 | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A            | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382744 | PA      | $388956.05    | 0.09%             | 2037-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 3.0 05/15/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $18085.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $19379.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD INR BOUGHT USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $2241.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUUNDING TRUST 2006-AR4                    | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR4 A6A        | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55774 | PA      | $52668.56     | 0.01%             | 2046-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-54.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                              | FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2                    | CUSIP: 31393CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1184 | PA      | $1180.90      | 0.00%             | 2042-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                          | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3         | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402243 | PA      | $217220.07    | 0.05%             | 2036-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                | LETRA TESOURO NACIONAL BILLS 04/26 0.00000              | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  47100000 | PA      | $8314583.82   | 1.98%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CHF BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-1452.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A            | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A   | CUSIP: ACI1YDTG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    248303 | PA      | $291970.38    | 0.07%             | 2031-01-15      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR USD SOFR/2.86500 02/13/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1548657.24   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/27 0.375                             | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17011075 | PA      | $16816407.01  | 4.00%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | WHEAT FUTURE(CBT) MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -41 | NC      | $74400.15     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT THB SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $0.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $771.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CHF BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-5219.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2          | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2C        | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257944 | PA      | $98433.93     | 0.02%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOYBEAN FUTURE    MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        22 | NC      | $-95034.69    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                           | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 2A1              | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8616 | PA      | $8221.44      | 0.00%             | 2035-08-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $790.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  MAR27 XNYM 20270224                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $27.41        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  JUN26 IFEU 20260518                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -4 | NC      | $1919.16      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2          | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1842 | PA      | $1782.29      | 0.00%             | 2034-02-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY LD1 FIX FUT FEB26 IFED 20260128                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -3 | NC      | $4096.89      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD CHF BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-173.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.31125 02/24/21-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1002994.98   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $92265.03     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24900000 | PA      | $24288432.35  | 5.78%             | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                      | FED HM LN PC POOL 1J1334 FH 09/36 FLOATING VAR          | CUSIP: 3128NHPT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9623 | PA      | $9891.59      | 0.00%             | 2036-09-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-1040.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2900000 | PA      | $3014590.63   | 0.72%             | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD PLN BOUGHT USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-9298.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD EUR BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1972.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA4                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A         | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76937 | PA      | $68872.22     | 0.02%             | 2047-05-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-4661.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $11409.76     | 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      | $-5582.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.682 10/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $31232.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-4877.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A            | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    236903 | PA      | $236492.46    | 0.06%             | 2039-02-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-4                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 4 M1          | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59675 | PA      | $58804.87     | 0.01%             | 2035-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.364 05/10/18-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-101060.58   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $508439.43    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 3.0425 02/21/25-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $6417.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP FR NI 1.91 01/15/18-20Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | FR        |         1 | NC      | $-6736.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.4875 05/15/22-15Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1042.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $805.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                      | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A5         | CUSIP: 57645MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157257 | PA      | $51447.31     | 0.01%             | 2036-10-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $5759.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $5243.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A4         | CUSIP: 05949CKT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4450 | PA      | $4063.38      | 0.00%             | 2035-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-4R                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 4R 1A1 144A      | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21951 | PA      | $19960.67     | 0.00%             | 2036-10-26      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | UK NATURAL GAS FUTMAR26 IFEU 20260226                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |       -15 | NC      | $-6088.56     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DRYDEN LEVERAGED LOAN CDO 2019-69A                         | DRYDEN LEVERAGED LOAN CDO DRYD 2019 69A AR 144A         | CUSIP: ACI2Q4GN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1900000 | PA      | $2234952.32   | 0.53%             | 2034-10-18      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | DEUTSCHE BANK REPO REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   2705000 | PA      | $2705000.00   | 0.64%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 10/28 2.375                             | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29233600 | PA      | $30110269.77  | 7.17%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  JUL26 IFEU 20260529                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        12 | NC      | $-21745.75    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1474.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-1769.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-650.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP GB NI 3.466 09/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $31523.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                       | FNMA POOL 806506 FN 10/44 FLOATING VAR                  | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       978 | PA      | $990.43       | 0.00%             | 2044-10-01      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-4526.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/35 2.125                             | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2476176 | PA      | $2520759.67   | 0.60%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $12797.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP BACVWSAV BOA                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $2825.57      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $198.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-29CB                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 29CB A4       | CUSIP: 12667GUG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34039 | PA      | $18120.77     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-0.67        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $2792.94      | 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      | $77565.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR BPS                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $401913.82    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | GASOLINE RBOB FUT MAR26 XNYM 20260227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -37 | NC      | $159032.73    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | COPPER FUTURE     MAR26 XCEC 20260327                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $26955.23     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1          | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68950 | PA      | $68241.45     | 0.02%             | 2047-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                       | GSAMP TRUST GSAMP 2007 FM1 A2A                          | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38957 | PA      | $19348.53     | 0.00%             | 2036-12-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                       | FNMA POOL 847996 FN 11/35 FLOATING VAR                  | CUSIP: 31408DC93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2469 | PA      | $2534.81      | 0.00%             | 2035-11-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | EURO-BOBL FUTURE  MAR26 XEUR 20260306                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -2 | NC      | $2101.35      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1651.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      MAY31 IFED 20310428                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-1081.43     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-3919.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $10499.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.155 10/17/17-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-195172.26   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/46 1                                 | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2885778 | PA      | $2178259.08   | 0.52%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT THB SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $898.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR JPY MUTK/0.50000 12/15/21-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $120841.14    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  MAY26 IFEU 20260331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -5 | NC      | $6490.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT CNH SOLD USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $107.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2004-3A                             | SLM STUDENT LOAN TRUST SLMA 2004 3A A6B 144A            | CUSIP: 78442GLL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195840 | PA      | $194714.29    | 0.05%             | 2064-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 1.945 11/15/18-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-12724.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR5                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR5 1A1        | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2550 | PA      | $2473.54      | 0.00%             | 2034-10-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT ZAR SOLD USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $877.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SILVER FUTURE     MAR26 XCEC 20260327                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -11 | NC      | $-693043.38   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/30 1.625                             | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30787785 | PA      | $30950746.90  | 7.37%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD AUD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-40340.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD INR BOUGHT USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-151.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 10/30 1.125                             | CUSIP: 91282CPH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22145420 | PA      | $21813208.36  | 5.19%             | 2030-10-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.763 09/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $54817.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 3.00000 03/18/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $146090.62    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD KRW BOUGHT USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-6188.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-1851.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 1A1       | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    487859 | PA      | $338996.48    | 0.08%             | 2037-06-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  JAN27 IFEU 20261130                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -5 | NC      | $9135.13      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-7284.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.18 09/20/17-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-89175.68    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                      | FED HM LN PC POOL 847614 FH 10/36 FLOATING VAR          | CUSIP: 3128JRN77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10362 | PA      | $10646.82     | 0.00%             | 2036-10-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $4489.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 15 LTD                                         | ELMWOOD CLO 15 LTD ELM15 2022 2A A1R 144A               | CUSIP: 29003JAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1500000 | PA      | $1500248.22   | 0.36%             | 2035-04-22      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 2.75000 03/18/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-376262.14   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $6265.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                 | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A               | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499594.45    | 0.12%             | 2034-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/54 2.125                             | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    106093 | PA      | $95428.51     | 0.02%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      JUN31 IFED 20310528                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-708.93      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD NZD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-2879.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT GBP SOLD USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $41039.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/27 0.375                             | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26028528 | PA      | $25709331.09  | 6.12%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SILVER FUTURE     DEC26 XCEC 20261229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         7 | NC      | $111219.21    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LEHMAN XS TRUST 2006-8                                     | LEHMAN XS TRUST LXS 2006 8 3A4                          | CUSIP: 52522HAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67913 | PA      | $67079.22     | 0.02%             | 2036-06-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                          | FANNIE MAE FNR 2006 5 3A2                               | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3837 | PA      | $3932.72      | 0.00%             | 2035-05-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                      | FED HM LN PC POOL 1A1082 FH 07/36 FLOATING VAR          | CUSIP: 3128NFFX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29874 | PA      | $30484.17     | 0.01%             | 2036-07-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT GBP SOLD USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $10297.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR USD SOFR/3.25000 06/18/25-9Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $58914.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                    | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1541029 | PA      | $1547621.86   | 0.37%             | 2054-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $1398.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $13905.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TRY SOLD USD 20260327                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $18336.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD AUD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-21495.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | CORN FUTURE       MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |      -101 | NC      | $-17653.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD KRW BOUGHT USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $635.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 3.13 05/15/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $804.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20260303                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $221.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | RFR JPY MUT+5.89/0.3000 09/20/17-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $18792.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 3.43375 08/27/25-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $16859.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SILVER OPTION     DEC26C 100 EXP 11/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -5 | NC      | $-149625.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT CNH SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3368.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.335 02/05/18-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-223920.87   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE XXIX CLO LTD 2017-29A                              | VENTURE CDO LTD VENTR 2017 29A AR 144A                  | CUSIP: 92331EAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11715 | PA      | $11720.98     | 0.00%             | 2030-09-07      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT THB SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $2.63         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COM FWD NAPGASFO 2H25 7.86 12/31/25 BPS                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $4104.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $9138.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      AUG31 IFED 20310729                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-176.43      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $9923.77      | 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      | $-1153.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.842 02/13/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2023.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  APR26 XNYM 20260327                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -34 | NC      | $236016.54    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/29 0.875                             | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19084748 | PA      | $18794501.05  | 4.47%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CNH BOUGHT USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-8692.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCM 29 LTD                                                 | LCM LTD PARTNERSHIP LCM 29A AR 144A                     | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    189210 | PA      | $189336.03    | 0.05%             | 2031-04-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT CHF SOLD USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $4302.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SNG KEROS V SNG GAMAR26 IFEU 20260331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         1 | NC      | $67.91        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3300000 | PA      | $3343306.63   | 0.80%             | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT GBP SOLD USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $2607.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1677.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE 36 CLO LTD                                         | VENTURE CDO LTD VENTR 2019 36A A1AR 144A                | CUSIP: 92332LAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    318001 | PA      | $318216.23    | 0.08%             | 2032-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $7759.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.3525 05/09/18-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-67098.03    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CIFC EUROPEAN FUNDING CLO 3A                               | CIFC EUROPEAN FUNDING CLO CIFCE 3A A 144A               | CUSIP: ACI27MSP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1175867.27   | 0.28%             | 2034-01-15      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        | 125400000 | PA      | $125400000.00 | 29.85%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                       | GNMA II POOL MA8487 G2 12/52 FIXED 3.5                  | CUSIP: 36179XNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5321765 | PA      | $4884101.68   | 1.16%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.55 04/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $11197.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-7                              | GSAA HOME EQUITY TRUST GSAA 2006 7 AF4A                 | CUSIP: 362334ND2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33838 | PA      | $17528.09     | 0.00%             | 2046-03-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR1                           | GSR MORTGAGE LOAN TRUST GSR 2005 AR1 1A1                | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4232 | PA      | $4040.89      | 0.00%             | 2035-01-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR CBK                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $18429.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1634.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XIII                                | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 13A A1NR 144A     | CUSIP: 04942VAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     20099 | PA      | $20123.37     | 0.00%             | 2031-04-22      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| ALLIANCE BANCORP TRUST 2007-OA1                            | ALLIANCE BANCORP TRUST ALBT 2007 OA1 A1                 | CUSIP: 01852TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101928 | PA      | $91232.42     | 0.02%             | 2037-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | KC HRW WHEAT FUT  JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -3 | NC      | $161.41       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | RFRF USD SOFR/2.23650 11/21/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $517481.01    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                             | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                 | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69144 | PA      | $64039.63     | 0.02%             | 2036-10-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  MAY26 XNYM 20260428                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        25 | NC      | $-186187.60   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $7979.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMF1NTC GST                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-510.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                  | ROMARK CLO LTD RMRK 2021 4A A1R 144A                    | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000865.86   | 0.48%             | 2034-07-10      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  JUN27 XNYM 20270520                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -5 | NC      | $4061.48      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | TRS R SOFRRATE+18/91282CDC2 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-49962.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-58.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT CNH SOLD USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $4839.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 2A1               | CUSIP: 126694BH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    588725 | PA      | $556780.20    | 0.13%             | 2035-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-15475.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20K                   | SMALL BUSINESS ADMINISTRATION SBAP 2007 20K 1           | CUSIP: 83162CRK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12898 | PA      | $13011.51     | 0.00%             | 2027-11-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | EURO-OAT FUTURE   MAR26 XEUR 20260306                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |      -138 | NC      | $180684.55    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | RFR GBP SONIO/3.75000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $38944.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | CORN FUTURE       DEC26 XCBT 20261214                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -4 | NC      | $764.59       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                       | FNMA POOL 846937 FN 01/36 FLOATING VAR                  | CUSIP: 31408B4W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7676 | PA      | $7829.12      | 0.00%             | 2036-01-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 02/44 1.375                             | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    139709 | PA      | $117104.52    | 0.03%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                              | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    173454 | PA      | $173676.62    | 0.04%             | 2037-01-17      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVI SENIOR LOAN FUND 2013-26A                      | DRYDEN SENIOR LOAN FUND DRSLF 2013 26A AR 144A          | CUSIP: 26250UAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     17884 | PA      | $17905.46     | 0.00%             | 2029-04-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOYBEAN FUTURE    JUL26 XCBT 20260714                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         6 | NC      | $-12663.67    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  NOV26 IFEU 20260930                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -6 | NC      | $10691.67     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-6201.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COFFEE 'C' FUTURE JUL26 IFUS 20260721                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $-929.76      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                             | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1         | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8318 | PA      | $7631.37      | 0.00%             | 2035-06-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      APR31 IFED 20310327                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-1028.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | COMM SWAP JMABFNJ2 JPM                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-49328.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2969.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SUGAR  11 (WORLD) JUL26 IFUS 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -20 | NC      | $-5792.09     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD PLN BOUGHT USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-1090.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  MAY26 XNYM 20260421                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -2 | NC      | $-2260.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1181.86      | 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      | $5617.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                 | JAPAN GOVT CPI LINKED BONDS 03/34 0.005                 | CUSIP: ACI2P6LT4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 199815400 | PA      | $1250759.70   | 0.30%             | 2034-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260224                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $3214.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.08 07/25/17-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-189869.42   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | 317U80NA7 PIMCO FPPSWAPTION 2.5 CALL EUR                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -5000000 | NC      | $-23283.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-1505.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                       | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9500000 | PA      | $9749828.91   | 2.32%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-53388.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $6817.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP EM NI 2.7 04/15/23-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $64508.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | LEAN HOGS FUTURE  APR26 XCME 20260415                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -21 | NC      | $-19401.71    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | PALLADIUM FUTURE  MAR26 XNYM 20260327                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $16946.21     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | RFRF USD SOFR/2.28500 11/15/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $669160.08    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2020-4 DAC 20-4A                              | OCP EURO CLO OCPE 2020 4A ARR 144A                      | CUSIP: ACI2YYN53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    600000 | PA      | $705700.59    | 0.17%             | 2039-10-20      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | NATURAL GAS FUTR  JAN27 XNYM 20261229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -5 | NC      | $13560.89     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  APR26 XNYM 20260320                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -6 | NC      | $3533.58      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $49.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | US 10YR ULTRA FUT MAR26 XCBT 20260320                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        44 | NC      | $-29620.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1         | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4364 | PA      | $4060.26      | 0.00%             | 2035-01-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD INR BOUGHT USD 20260112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-341.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5549                                    | FREDDIE MAC FHR 5549 BF                                 | CUSIP: 3137HLS52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1423505 | PA      | $1429818.75   | 0.34%             | 2055-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                    | FREDDIE MAC FHR 5511 FG                                 | CUSIP: 3137HKKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    760502 | PA      | $763137.67    | 0.18%             | 2055-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD NZD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $809.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | KC HRW WHEAT FUT  MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        20 | NC      | $-19855.53    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $4193.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD GBP BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $1092.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | LME LEAD FUTURE   MAR26 XLME 20260316                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -7 | NC      | $475.52       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | NAT GAS EURO OPT  MAR26C 3.75 EXP 02/24/2026            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         2 | NC      | $2286.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BRENT CRUDE FUTR  AUG26 IFEU 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        12 | NC      | $-36371.29    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | CMBX.NA.AAA.8 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $0.45         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD MXN BOUGHT USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-197.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $226.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 2.70 01/14/25-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8526.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-677.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | CMBX.NA.AAA.8 SP DUB                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1.20         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT KRW SOLD USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $3827.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1   | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    484733 | PA      | $487654.23    | 0.12%             | 2037-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W1                              | ARGENT SECURITIES INC. ARSI 2005 W1 A1                  | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45474 | PA      | $41745.04     | 0.01%             | 2035-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT TWD SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $129.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM XVII LP 17A                                            | LCM LTD PARTNERSHIP LCM 17A A1AR 144A                   | CUSIP: 50190AAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     38824 | PA      | $38872.32     | 0.01%             | 2031-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                | BANK OF AMERICA CORP JR SUBORDINA 12/99 VAR             | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |    230000 | NS      | $232479.40    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/BCOMTR SOG                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $44162.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CHF BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-407.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-15XS                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 15XS A6A        | CUSIP: 61750YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    657000 | PA      | $139551.14    | 0.03%             | 2036-11-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.19500 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $628997.04    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/28 1.75                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9594200 | PA      | $9667485.26   | 2.30%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  FEB26 XNYM 20260120                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -10 | NC      | $45539.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | SOLD KRW BOUGHT USD 20260108                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-3856.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | MT BELV ETHAN 5DE FEB26 XNYM 20260227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         3 | NC      | $-5204.03     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                              | ARGENT SECURITIES INC. ARSI 2006 M1 A1                  | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194923 | PA      | $178302.48    | 0.04%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 01/29 2.5                               | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2487158 | PA      | $2567891.29   | 0.61%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT INR SOLD USD 20260130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-7000.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | IRS EUR 0.19700 11/08/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1190533.41   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1346.61      | 0.00%             |  |  |  | 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        |   5292117 | PA      | $5315228.84   | 1.27%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD CAD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-109544.30   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 04/29 3.875                             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    895249 | PA      | $964652.72    | 0.23%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | EURO-BTP FUTURE   MAR26 XEUR 20260306                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        49 | NC      | $-17630.51    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $10625.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                           | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1              | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9425 | PA      | $9193.17      | 0.00%             | 2035-02-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $11730.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD ILS BOUGHT USD 20260115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-1894.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | KC HRW WHEAT FUT  MAY26 XCBT 20260514                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -1 | NC      | $1578.66      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | TTF NAT GAS F     MAR26 NDEX 20260226                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | NL        |       -25 | NC      | $-11262.32    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                        | INF SWAP US IT 1.9975 07/25/19-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-410646.77   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT PLN SOLD USD 20260116                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $7095.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT BRL SOLD USD 20260303                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-8849.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | HENRY HB LD1      MAR31 IFED 20310226                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $71.07        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE REMICS 2025-52                                  | FANNIE MAE FNR 2025 52 FB                               | CUSIP: 3136BWUZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1560360 | PA      | $1567502.41   | 0.37%             | 2055-07-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT EUR SOLD USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $2616.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | LME PRI ALUM FUTR MAR26 XLME 20260316                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |        -7 | NC      | $-35802.48    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                     | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A1 144A   | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6993 | PA      | $4701.53      | 0.00%             | 2037-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/29 0.25                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18330048 | PA      | $17665393.13  | 4.21%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS GROUP AG SR UNSECURED REGS 01/28 VAR                | CUSIP: ACI1HYKW8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    100000 | PA      | $115343.36    | 0.03%             | 2028-01-14      | Floating      | 0.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD EUR BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-14192.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A5                        | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A5 A3          | CUSIP: 45660LJZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46413 | PA      | $27479.57     | 0.01%             | 2035-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT BRL SOLD USD 20260203                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-571.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $6919.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260309                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $2162.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | BOUGHT MXN SOLD USD 20260224                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $3280.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD JPY BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $4529.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD NZD BOUGHT USD 20260114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $892.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | WTI CRUDE FUTURE  DEC27 XNYM 20271119                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -15 | NC      | $42382.39     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                         | TSY INFL IX N/B 07/33 1.375                             | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2358620 | PA      | $2299870.67   | 0.55%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | SOLD THB BOUGHT USD 20260121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-2027.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP TBL/RBCAEC0T RBC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $40694.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP JMABNIC5 JPM                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $168249.59    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP CMDSKEWLS GST                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $149842.97    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                        | COMM SWAP PIMCODB MAC                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $293219.78    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer