# EDGAR Filing Document

**Accession Number:** 0000875186
**File Stem:** 0001003715-25-000986
**Filing Date:** 2025-10
**Character Count:** 357069
**Document Hash:** 03638669f06f3f21cbd1d5ed3d5d260f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001003715-25-000986.hdr.sgml**: 20251028

**ACCESSION NUMBER**: 0001003715-25-000986

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251028

**DATE AS OF CHANGE**: 20251028

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MORGAN STANLEY PATHWAY FUNDS
- **CENTRAL INDEX KEY:** 0000875186

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06318
- **FILM NUMBER:** 251421856

**BUSINESS ADDRESS:**
- **STREET 1:** 2000 WESTCHESTER AVENUE
- **CITY:** PURCHASE
- **STATE:** NY
- **ZIP:** 10577
- **BUSINESS PHONE:** 8883749999

**MAIL ADDRESS:**
- **STREET 1:** 2000 WESTCHESTER AVENUE
- **CITY:** PURCHASE
- **STATE:** NY
- **ZIP:** 10577

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CONSULTING GROUP CAPITAL MARKETS FUNDS
- **DATE OF NAME CHANGE:** 19950125

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TRUST FOR TRAK INVESTMENTS
- **DATE OF NAME CHANGE:** 19920929

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** INSTITUTIONAL ADVISORS PORTFOLIOS
- **DATE OF NAME CHANGE:** 19600201

## Series and Classes Contracts Data

### International Fixed Income Fund (Series ID: S000008439)

| Class ID   | Class Name                      | Ticker Symbol   |
|:---|:---|:---|
| C000023147 | International Fixed Income Fund | TIFUX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MORGAN STANLEY PATHWAY FUNDS

- **b. Investment Company Act file number:** 811-06318

- **c. CIK number of Registrant:** 0000875186

- **d. LEI of Registrant:** 549300P3RUTI9W6SLI87

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

  - **Street Address 1:** 2000 Westchester Avenue

  - **City:** Purchase

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10577

  - **Telephone number:** 888-454-3965

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

- **a. Name of Series:** International Fixed Income Fund

- **b. EDGAR series identifier (if any):** S000008439

- **c. LEI of Series:** Q50Z4ID12W7DFFPENU57

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

- **a. Date of fiscal year-end:** 2025-08-31

- **b. Date as of which information is reported:** 2025-08-31

**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:** $309600331.36

**Total Liabilities:** $129352066.95

**Net Assets:** $180248264.41

**Cash Not Reported:** $5109981.07

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -332.44060099 | **1-Year:** -6993.43391901 | **5-Year:** -17868.05830174 | **10-Year:** -18269.22502564 | **30-Year:** -3656.53692773

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

- **3-Month:** -12.79636074 | **1-Year:** -262.31489787 | **5-Year:** -820.43152644 | **10-Year:** -913.80348137 | **30-Year:** -25.59870811

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000023147 | 0.88%                | -0.29%               | 0.29%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $261754.32               | $2868809.93                                |
| Month 2  | $315605.27               | $-4001502.72                               |
| Month 3  | $-509251.55              | $2455340.48                                |

**Designated Index Information**

- **Index Name:** Securities Portfolio

- **Index Identifier:** SEC_PORT

### 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                                             | PEN/USD FWD 20250922 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-6782.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.90 03/12/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-3564.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNR 2024-H07 JF V/R 04/20/74                    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2024-H07 CL JF V/R 5.13503000                       | CUSIP: 38383KVX7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    477838 | PA      | $477912.44    | 0.27%             | 2074-04-20      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS P03.25RCAON 06/21/53 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $-3904.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVL 2018-1A AR V/R 07/16/31                   | CARVAL CLO I LTD SER 2018-1A CL AR V/R REGD 144A P/P 5.54777000                                  | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    480844 | PA      | $481551.72    | 0.27%             | 2031-07-16      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IRS R01.92PESTR 10/11/29 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-10607.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20251028 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-33.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND 1.75% 07/20/34/AUD/                  | QUEENSLAND TREASURY CORP /AUD/ REGD 1.75000000                                                   | CUSIP: Q7943QD89<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |    200000 | PA      | $101943.40    | 0.06%             | 2034-07-20      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| G2SF 30YR TBA 3.0% OCT 25                       | G2SF 30YR TBA 3.0% OCT 25      TO BE ANNOUNCED 3.00000000                                        | CUSIP: 21H0306A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1200000 | PA      | $1063538.71   | 0.59%             | 2055-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.88 03/25/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-8026.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD @ 7.8 GLM                   | OTC ECAL USD VS HKD @ 7.8 GLM 0.00000000                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    103000 | NC      | $120.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | PLN/USD FWD 20250917 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $382.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS PIN00R06.00 09/17/30 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | IN        |         1 | NC      | $-3656.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RC R/P CANAD 2.04% 9/05/25/EUR                  | RC R/P CANAD 2.04% 9/05/25/EUR 2.04000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -713566 | PA      | $-834836.54   | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (40 Y 2.2% 03/20/64/JPY/                  | JAPAN (40 YEAR ISSUE) /JPY/ REGD SER 17 2.20000000                                               | CUSIP: J2S39L2J2<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        | 120000000 | PA      | $617818.01    | 0.34%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG 4.282% 01/09/28                    | UBS GROUP AG REGD 144A P/P 4.28200000                                                            | CUSIP: 225401AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $249796.60    | 0.14%             | 2028-01-09      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | EUR/USD FWD 20250902 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-258819.68   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R00.65PER6M 04/12/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $-16555.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERALITA 4.22% 04/26/35/EUR/                  | GENERALITAT DE CATALUNYA /EUR/ REGD 4.22000000                                                   | CUSIP: E5645NBY9<br>LEI: 95980020140005848404 | Long             | DBT              | USGA              | ES        |    100000 | PA      | $119954.17    | 0.07%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REAL 1% 10/01/53/DKK/                  | NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01E* 1.00000000                                      | CUSIP: K741813A2<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.14         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA6106 4% 06/01/50                       | FANNIE MAE POOL UMBS P#CA6106 4.00000000                                                         | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74042 | PA      | $69967.53     | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| F/C CAN 10YR BOND FUT DEC25                     | FUTURE CONTRACT ON           CAN 10YR BOND FUT DEC25 /CAD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | CA        |        85 | NC      | $7459474.22   | 4.14%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS P#FM7441 3% 05/01/51                       | FANNIE MAE POOL UMBS P#FM7441 3.00000000                                                         | CUSIP: 3140XBHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    135648 | PA      | $117733.77    | 0.07%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKRE 1% 10/01/50/DKK/                  | JYSKE REALKREDIT A/S /DKK/ REGD REG S SER CCE 1.00000000                                         | CUSIP: K5S69JAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         8 | PA      | $1.04         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TWD/USD FWD 20251020 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $22835.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL  5.516% 03/25/27                  | ATHENE GLOBAL FUNDING REGD 144A P/P 5.51600000                                                   | CUSIP: 04685A3T6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    300000 | PA      | $305216.55    | 0.17%             | 2027-03-25      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| BSARM 2003-7 6A V/R 10/25/33                    | BEAR STEARNS ARM TRUST 2003-7 SER 2003-7 CL 6A V/R REGD 6.06405500                               | CUSIP: 07384MYW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1252 | PA      | $1212.72      | 0.00%             | 2033-10-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| LETRA TESOUR ZCP 04/01/26/BRL/                  | LETRA TESOURO NACIONAL /BRL/ REGD ZCP SER LTN 0.00000000                                         | CUSIP: P8T60NQH7<br>LEI: N/A                  | Long             | DBT              | USGA              | BR        |   7500000 | PA      | $1276354.26   | 0.71%             | 2026-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA4346 3% 10/01/49                       | FANNIE MAE POOL UMBS P#CA4346 3.00000000                                                         | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    247898 | PA      | $215545.33    | 0.12%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KOREA NATIONAL  4.25% 09/30/29                  | KOREA NATIONAL OIL CORP REGD 144A P/P 4.25000000                                                 | CUSIP: 50065LAL4<br>LEI: N/A                  | Long             | DBT              | USGA              | KR        |    400000 | PA      | $401473.26    | 0.22%             | 2029-09-30      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| JPMMT 2021-INV8  V/R 09/25/43                   | J.P. MORGAN MORTGAGE TRUST 2021-INV8 SER 2021-INV8 CL A2 V/R REGD 144A P/P 3.00000000            | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    730464 | PA      | $626036.50    | 0.35%             | 2052-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | KZT/USD FWD 20250917 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-221.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHR 4579 SD V/R 01/15/38                        | FREDDIE MAC REMICS SER 4579 CL SD V/R 1.91127800                                                 | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     48242 | PA      | $2514.05      | 0.00%             | 2038-01-15      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| RALI 2007-QO2 A1 V/R 02/25/47                   | RALI SERIES 2007-QO2 TRUST SER 2007-QO2 CL A1 V/R REGD 4.58703000                                | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40184 | PA      | $12229.63     | 0.01%             | 2047-02-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| REPUBLIC O 1.65% 03/03/33/EUR/                  | REPUBLIC OF SERBIA /EUR/ REGD 144A P/P 1.65000000                                                | CUSIP: X77765CC1<br>LEI: N/A                  | Long             | DBT              | USGA              | RS        |    100000 | PA      | $96836.49     | 0.05%             | 2033-03-03      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.50 12/20/38 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $149835.65    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C US 10YR ULTRA FUT DEC25                     | FUTURE CONTRACT ON           US 10YR ULTRA FUT DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        61 | NC      | $6978781.25   | 3.87%             |  |  |  | No            |                  1 | On Loan: No      |
| BONOS Y OB 1.45% 10/31/71/EUR/                  | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.45000000                                                   | CUSIP: E8922AKN9<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |    700000 | PA      | $358294.12    | 0.20%             | 2071-10-31      | Fixed         | 1.45%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IDR/USD FWD 20250917 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-700.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RC R/P J.P. M  4.480% 09/02/25                  | RC R/P J.P. M  4.480% 09/02/25 4.48000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3834739 | PA      | $-3834738.75  | -2.13%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (5 YE 0.4% 06/20/29/JPY/                  | JAPAN (5 YEAR ISSUE) /JPY/ REGD SER 171 0.40000000                                               | CUSIP: J2S39L3Z5<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  50000000 | PA      | $332065.22    | 0.18%             | 2029-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-HYB9 3 V/R 02/20/36                   | CHL MORTGAGE PASS-THROUGH TRUST 2005-HYB9 SER 2005-HYB9 CL 3A2A V/R REGD 6.66218000              | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5019 | PA      | $4349.98      | 0.00%             | 2036-02-20      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CHF/USD FWD 20251002 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-12.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RMACS 06-NS1X A2A V/R 6/12/44                   | RMACS 06-NS1X A2A V/R 6/12/44 4.45580000                                                         | CUSIP: G7604CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |    118148 | PA      | $157926.93    | 0.09%             | 2044-06-12      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| CWALT 2005-21C 5.25% 06/25/35                   | ALTERNATIVE LOAN TRUST 2005-21CB SER 2005-21CB CL A3 REGD 5.25000000                             | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2875 | PA      | $2133.80      | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 6% OCT 25                         | FNMA 30YR TBA 6% OCT 25        TO BE ANNOUNCED 6.00000000                                        | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3135000 | PA      | $3200217.78   | 1.78%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5389 6% 06/01/54                       | FANNIE MAE POOL UMBS P#MA5389 6.00000000                                                         | CUSIP: 31418E7B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    992234 | PA      | $1015318.72   | 0.56%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IDR/USD FWD 20250917 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1112.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RCAONP02.85 06/01/33 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $929.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R02.25PER6M 09/21/37 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $-291981.71   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.00 03/19/27 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $181871.88    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | EUR/RON FWD 20251107 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1193.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | MYR/USD FWD 20250917 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2458.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CDS US50064FAM68 01.000 BP 06/20/2030 BOFAUS6NGFX LONG                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-10541.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OZLM 2014-9A A1A V/R 10/20/31                   | OZLM IX LTD SER 2014-9A CL A1A4 V/R REGD 144A P/P 5.52549000                                     | CUSIP: 67109KBG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    229434 | PA      | $229536.80    | 0.13%             | 2031-10-20      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| JAPAN (20 YEA 2% 12/20/44/JPY/                  | JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 191 2.00000000                                              | CUSIP: J2S39L6N9<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        | 180000000 | PA      | $1120925.98   | 0.62%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | PLN/USD FWD 20250917 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2632.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | INR/USD FWD 20251017 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-994.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KI 4.375% 07/31/54/GBP/                  | UNITED KINGDOM GILT /GBP/ REGD REG S 4.37500000                                                  | CUSIP: G4527HF22<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |   1000000 | PA      | $1116286.42   | 0.62%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                             | MXN/USD FWD 20250917 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1774.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | KRW/USD FWD 20250917 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1705.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#DB5507 5% 06/01/54                       | FANNIE MAE POOL UMBS P#DB5507 5.00000000                                                         | CUSIP: 3140AFDM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    856224 | PA      | $845686.47    | 0.47%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | ILS/USD FWD 20251015 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1143.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW S WALES T 2% 03/08/33/AUD/                  | NEW S WALES TREASURY CRP /AUD/ REGD 2.00000000                                                   | CUSIP: Q6715PB65<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |    300000 | PA      | $165172.11    | 0.09%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 6% SEP 25                         | FNMA 30YR TBA 6% SEP 25        TO BE ANNOUNCED 6.00000000                                        | CUSIP: 01F060691<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -3500000 | PA      | $-3576092.17  | -1.98%            | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OTC EPUT EUR VS HUF @ 397.0  BOA 10/29/2025     | OTC EPUT EUR VS HUF @ 397.0  BOA 10/29/2025 0.00000000                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    294000 | NC      | $1961.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FAIRFAX FI 2.75% 03/29/28/EUR/                  | FAIRFAX FINL HLDGS LTD /EUR/ REGD REG S 2.75000000                                               | CUSIP: C33461AA9<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $117090.75    | 0.06%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CDS NA 04.750 SP 07/06/2026 DUB LONG                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $4418.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE  3.25% 06/01/54/SGD/                  | SINGAPORE GOVERNMENT /SGD/ REGD REG S 3.25000000                                                 | CUSIP: Y280CEYG6<br>LEI: N/A                  | Long             | DBT              | USGA              | SG        |   1269000 | PA      | $1262808.31   | 0.70%             | 2054-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| OTC EPUT USD VS TWD @ 28.9 JPM 9/9/2025         | OTC EPUT USD VS TWD @ 28.9 JPM 9/9/2025 0.00000000                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |   -532000 | NC      | $-21.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KIN 1.25% 07/31/51/GBP/                  | UNITED KINGDOM GILT /GBP/ REGD REG S 1.25000000                                                  | CUSIP: G4527HUU3<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |   1300000 | PA      | $723405.16    | 0.40%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CAD/USD FWD 20250902 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $15964.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (20 Y 0.4% 03/20/36/JPY/                  | JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 156 0.40000000                                              | CUSIP: J2S39KMW3<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  20000000 | PA      | $119308.98    | 0.07%             | 2036-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| BFAT 2007-SR1A V/R 03/25/37                     | BFAT 2007-SR1A V/R 03/25/37 4.88703000                                                           | CUSIP: 07325QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    122883 | PA      | $123762.01    | 0.07%             | 2037-03-25      | Variable      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | JPY/USD FWD 20250902 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-31881.94    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BIG 2022-BIG A V/R 02/15/27                     | BIG COMMERCIAL MORTGAGE TRUST 2022-BIG SER 2022-BIG CL A V/R REGD 144A P/P 5.70500000            | CUSIP: 05551UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    358066 | PA      | $357036.63    | 0.20%             | 2039-02-15      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| GROSV 2024- V/R 01/15/39 /EUR/                  | GROSVENOR PLACE CLO 2024-2 DAC SER 2024-2A CL A V/R REGD 144A P/P /EUR/ 3.26600000               | CUSIP: G4R829AF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $585265.56    | 0.32%             | 2039-01-15      | Variable      | 3.27%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | EGP/USD FWD 20250922 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-82.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.96 06/27/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $8944.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C CAN 5YR BOND FUT  DEC25                     | FUTURE CONTRACT ON           CAN 5YR BOND FUT  DEC25 /CAD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | CA        |        12 | NC      | $998747.45    | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                             | KZT/USD FWD 20251024 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $94.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RER6MP02.21 03/12/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $263176.86    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#QD8207 2% 03/01/52                       | FREDDIE MAC POOL UMBS P#QD8207 2.00000000                                                        | CUSIP: 3133B6DL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     80953 | PA      | $64792.97     | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ARSI 2005-W1 A1 V/R 05/25/35                    | ARGENT MORTGAGE LOAN TRUST 2005-W1 SER 2005-W1 CL A1 V/R REGD 4.91703000                         | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    305613 | PA      | $274855.54    | 0.15%             | 2035-05-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV V/R 10/13/26                   | ABN AMRO BANK NV REGD V/R 144A P/P MTN 6.57500000                                                | CUSIP: 00084DBC3<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    400000 | PA      | $400989.14    | 0.22%             | 2026-10-13      | Variable      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | EGP/USD FWD 20251202 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-30.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CWHL 2005-2 1A1 V/R 03/25/35                    | CHL MORTGAGE PASS-THROUGH TRUST 2005-2 SER 2005-2 CL 1A1 V/R REGD 5.07703000                     | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33469 | PA      | $31127.29     | 0.02%             | 2035-03-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA7882 3% 02/20/52                    | GINNIE MAE II POOL P#MA7882 3.00000000                                                           | CUSIP: 36179WXK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89737 | PA      | $79646.96     | 0.04%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNR 2025-6 GF V/R 02/25/55                      | FANNIE MAE REMICS SER 2025-6 CL GF V/R 5.74839000                                                | CUSIP: 3136BUVB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    436026 | PA      | $438688.09    | 0.24%             | 2055-02-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R04.25PBW6M 03/19/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |         1 | NC      | $7248.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 08/12/33                       | UBS GROUP AG REGD V/R 144A P/P 6.53700000                                                        | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    600000 | PA      | $658109.78    | 0.37%             | 2033-08-12      | Variable      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP04.11 11/15/54 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-1709.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | KRW/USD FWD 20250917 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $633.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | MXN/USD FWD 20250917 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-10.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNCL 30YR TBA 3.5% OCT 25                       | FNCL 30YR TBA 3.5% OCT 25      TO BE ANNOUNCED 3.50000000                                        | CUSIP: 01F0326A7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -300000 | PA      | $-271081.54   | -0.15%            | 2055-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 04/25/29                  | BANK OF AMERICA CORP REGD V/R 5.20200000                                                         | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    500000 | PA      | $512634.95    | 0.28%             | 2029-04-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| MALAYSIA  3.519% 04/20/28/MYR/                  | MALAYSIA GOVERNMENT /MYR/ REGD SER 0223 3.51900000                                               | CUSIP: Y2R35QFA4<br>LEI: N/A                  | Long             | DBT              | USGA              | MY        |  12523000 | PA      | $3003533.72   | 1.67%             | 2028-04-20      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP04.00 06/20/26 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-421.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IDR/USD FWD 20250917 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2131.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | HKD/USD FWD 20260302 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $70.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | AUD/USD FWD 20250902 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-14412.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS PSO/NR03.75 03/19/27 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $856.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 02/08/28                  | STANDARD CHARTERED PLC REGD V/R 144A P/P 6.75000000                                              | CUSIP: 853254CW8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    900000 | PA      | $928881.83    | 0.52%             | 2028-02-08      | Variable      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| ACE 2005-HE5 M4 V/R 08/25/35                    | ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIE SER 2005-HE5 CL M4 V/R REGD 5.33703000          | CUSIP: 004421RH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    270152 | PA      | $267630.17    | 0.15%             | 2035-08-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R03.50PKL3M 03/19/30 BPS LONG                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | MY        |         1 | NC      | $8948.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.625% 02/15/55                    | UNITED STATES TREASURY BOND 4.62500000                                                           | CUSIP: 912810UG1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1900000 | PA      | $1812718.75   | 1.01%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SARM 2004-4 3A2 V/R 04/25/34                    | STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SERIES  SER 2004-4 CL 3A2 V/R REGD 6.12022900     | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       452 | PA      | $448.26       | 0.00%             | 2034-04-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CNH/USD FWD 20250911 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-101.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMETEK INC DISC 11/20/25                        | AMETEK INC DISCOUNT___________  COMMERCIAL PAPER 0.00000000                                      | CUSIP: 03111BYL3<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    500000 | PA      | $494922.22    | 0.27%             | 2025-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMMT 2005-A1 6T V/R 02/25/35                   | JP MORGAN MORTGAGE TRUST 2005-A1 SER 2005-A1 CL 6T1 V/R REGD 5.58780800                          | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       323 | PA      | $315.70       | 0.00%             | 2035-02-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 5.5% SEP 25                       | FNMA 30YR TBA 5.5% SEP 25      TO BE ANNOUNCED 5.50000000                                        | CUSIP: 01F052698<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -700000 | PA      | $-704102.94   | -0.39%            | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARICOPA CNTY  7.375% 10/01/29                  | MARICOPA CNTY AZ INDL DEV AUTH REGD B/E 7.37500000                                               | CUSIP: 56681NJD0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    200000 | PA      | $210065.66    | 0.12%             | 2029-10-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| RALI 2006-QS6 1A1 6% 06/25/36                   | RALI SERIES 2006-QS6 TRUST SER 2006-QS6 CL 1A1 REGD 6.00000000                                   | CUSIP: 74922EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     63494 | PA      | $52079.16     | 0.03%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CAD/USD FWD 20251002 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-427.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC  8.875% 02/28/35/ZAR/                  | REPUBLIC OF SOUTH AFRICA /ZAR/ REGD SER 2035 8.87500000                                          | CUSIP: S69124WF8<br>LEI: N/A                  | Long             | DBT              | USGA              | ZA        |  18200000 | PA      | $987563.79    | 0.55%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20250916 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $68.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PO 4.875% 02/12/30                  | REPUBLIC OF POLAND REGD SER 5Y 4.87500000                                                        | CUSIP: 857524AF9<br>LEI: N/A                  | Long             | DBT              | USGA              | PL        |    100000 | PA      | $102846.54    | 0.06%             | 2030-02-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PO 5.375% 02/12/35                  | REPUBLIC OF POLAND REGD SER 10Y 5.37500000                                                       | CUSIP: 857524AH5<br>LEI: N/A                  | Long             | DBT              | USGA              | PL        |    100000 | PA      | $102537.05    | 0.06%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#QF6516 6.5% 01/01/53                     | FREDDIE MAC POOL UMBS P#QF6516 6.50000000                                                        | CUSIP: 3133BUGZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    109374 | PA      | $114133.78    | 0.06%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20251212 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1336.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R00.00PMUTK 03/17/31 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $-58110.64    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (20 Y 2.4% 03/20/45/JPY/                  | JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 192 2.40000000                                              | CUSIP: J2S39L8A5<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  74000000 | PA      | $489738.18    | 0.27%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20250916 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $179.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT EUR VS CZK @ 24.65 BOA 3/11/2026 /EUR/ | OTC EPUT EUR VS CZK @ 24.65 BOA 3/11/2026 /EUR/ 0.00000000                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    372000 | NC      | $4484.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#MA4980 6% 04/01/53                       | FANNIE MAE POOL UMBS P#MA4980 6.00000000                                                         | CUSIP: 31418ERA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    796108 | PA      | $818051.32    | 0.45%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL V/R 12/31/49                    | CASH COLLATERAL V/R 12/31/49 4.23000000                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    139000 | PA      | $139000.00    | 0.08%             | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                             | SGD/USD FWD 20250902 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $29.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN  2.5% 05/21/30/AUD/                  | AUSTRALIAN GOVERNMENT /AUD/ REGD SER 155 2.50000000                                              | CUSIP: Q2R04NBD5<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |    100000 | PA      | $62497.47     | 0.03%             | 2030-05-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ESAIL 2007- V/R 06/13/45 /GBP/                  | EUROSAIL-UK 2007-4BL PLC SER 2007-4X CL A3 V/R REGD REG S /GBP/ 5.25499000                       | CUSIP: G3299TAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |    107285 | PA      | $144904.17    | 0.08%             | 2045-06-13      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 10/24/29                  | GOLDMAN SACHS GROUP INC REGD V/R 6.48400000                                                      | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $425650.28    | 0.24%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R00.65PER6M 05/11/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $-9819.74     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE OF ISRAE 5.375% 02/19/30                  | STATE OF ISRAEL REGD SER 5Y 5.37500000                                                           | CUSIP: 46514Y8A8<br>LEI: N/A                  | Long             | DBT              | USGA              | IL        |    900000 | PA      | $924578.69    | 0.51%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LETRA TESOUR ZCP 10/01/25/BRL/                  | LETRA TESOURO NACIONAL /BRL/ REGD ZCP SER LTN 0.00000000                                         | CUSIP: P8T60NPD7<br>LEI: N/A                  | Long             | DBT              | USGA              | BR        |  11900000 | PA      | $2168490.41   | 1.20%             | 2025-10-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU 2003-AR5 A7 V/R 06/25/33                   | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR5 SER 2003-AR5 CL A7 V/R REGD 5.77475600   | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       874 | PA      | $877.92       | 0.00%             | 2033-06-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20251014 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $88.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CRNCL 2018- V/R 10/15/31 /EUR/                  | CAIRN CLO X DAC SER 2018-10A CL AR V/R REGD 144A P/P /EUR/ 2.80600000                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    145631 | PA      | $170255.49    | 0.09%             | 2031-10-15      | Variable      | 2.81%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC O 4.25% 02/14/43/EUR/                  | REPUBLIC OF POLAND /EUR/ REGD REG S EMTN 4.25000000                                              | CUSIP: X7327PAU3<br>LEI: N/A                  | Long             | DBT              | USGA              | PL        |    100000 | PA      | $118095.30    | 0.07%             | 2043-02-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD 7.85 BOA                    | OTC ECAL USD VS HKD 7.85 BOA 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |   -661000 | NC      | $-464.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CWHL 2007-19 2A 6.5% 11/25/47                   | CHL MORTGAGE PASS-THROUGH TRUST 2007-19 SER 2007-19 CL 2A1 REGD 6.50000000                       | CUSIP: 12544PAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     91937 | PA      | $43436.00     | 0.02%             | 2047-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R03.92PCAON 06/19/26 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $41541.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND 5.25% 07/21/36/AUD/                  | QUEENSLAND TREASURY CORP /AUD/ REGD 5.25000000                                                   | CUSIP: Q7943Q8Q5<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |    300000 | PA      | $199042.39    | 0.11%             | 2036-07-21      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 10/22/30                  | JPMORGAN CHASE & CO REGD V/R 4.60300000                                                          | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    600000 | PA      | $606465.23    | 0.34%             | 2030-10-22      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD @ 7.85 GLM                  | OTC ECAL USD VS HKD @ 7.85 GLM 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |   -103000 | NC      | $-70.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 01/24/36                  | BANK OF AMERICA CORP REGD V/R 5.51100000                                                         | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    600000 | PA      | $618227.51    | 0.34%             | 2036-01-24      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R02.02PESTR 10/11/29 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-2384.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORO USD 10Y P 3.87300 L 09/08/25 BOA            | ORO USD 10Y P 3.87300 L 09/08/25 BOA 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -500000 | NC      | $-151.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RCAONP03.00 06/01/34 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $-256.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNGT 2004-T3 1A1 6% 2/25/44                     | FNGT 2004-T3 1A1 6% 2/25/44 6.00000000                                                           | CUSIP: 31393YU52<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3125 | PA      | $3143.65      | 0.00%             | 2044-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | EGP/USD FWD 20250925 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $63.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R03.45PSOFR 06/30/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $4601.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.125% 08/15/44                    | UNITED STATES TREASURY BOND 4.12500000                                                           | CUSIP: 912810UD8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    975000 | PA      | $885878.91    | 0.49%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CWL 2007-13 1A V/R 06/25/36                     | CWABS ASSET-BACKED CERTIFICATES TRUST 2007-13 SER 2007-13 CL 1A V/R REGD 5.27703000              | CUSIP: 126698AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    222292 | PA      | $218323.32    | 0.12%             | 2047-10-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.30 02/28/30 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-10798.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMMT 2021-10 A3 V/R 10/25/44                   | JP MORGAN MORTGAGE TRUST 2021-10 SER 2021-10 CL A3 V/R REGD 144A P/P 2.50000000                  | CUSIP: 46654AAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    304479 | PA      | $249501.02    | 0.14%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BONOS Y OB 3.45% 10/31/34/EUR/                  | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 3.45000000                                                   | CUSIP: E8922APQ7<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |   5180000 | PA      | $6176982.86   | 3.43%             | 2034-10-31      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | EUR/RON FWD 20250911 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1325.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVE 4.375% 10/02/31                  | ABU DHABI DEVELOPMENT HO REGD 144A P/P 4.37500000                                                | CUSIP: 00402D2C8<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |    500000 | PA      | $499420.38    | 0.28%             | 2031-10-02      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20250916 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $96.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPER 4.876% 01/14/30                  | CANADIAN IMPERIAL BANK REGD 144A P/P 4.87600000                                                  | CUSIP: 13607PVU5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    800000 | PA      | $831025.48    | 0.46%             | 2030-01-14      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| UNITED KIN 1.75% 01/22/49/GBP/                  | UNITED KINGDOM GILT /GBP/ REGD REG S 1.75000000                                                  | CUSIP: G4527HEG2<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |    500000 | PA      | $343779.45    | 0.19%             | 2049-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| OTC EPUT EUR VS USD @ 1.129 GLM 10/14/2025      | OTC EPUT EUR VS USD @ 1.129 GLM 10/14/2025 0.00000000                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |   2975000 | NC      | $3734.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.95 11/15/54 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $5051.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KI 5.375% 01/31/56/GBP/                  | UNITED KINGDOM GILT /GBP/ REGD REG S 5.37500000                                                  | CUSIP: G4527HR45<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |    200000 | PA      | $261642.72    | 0.15%             | 2056-01-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                             | JPY/USD FWD 20251002 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3739.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ESA 2021-ESH A V/R 07/15/26                     | EXTENDED STAY AMERICA TRUST 2021-ESH SER 2021-ESH CL A V/R REGD 144A P/P 5.55748000              | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    340358 | PA      | $340527.02    | 0.19%             | 2038-07-15      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| NRZT 2019-RPL3 A V/R 07/25/59                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 SER 2019-RPL3 CL A1 V/R REGD 144A P/P 2.75000000   | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    118998 | PA      | $114922.50    | 0.06%             | 2059-07-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| LGATE 2007- V/R 01/01/61 /GBP/                  | LUDGATE FUNDING PLC SER 2007-1 CL A2A V/R REGD /GBP/ 4.44646000                                  | CUSIP: G571A3AW5<br>LEI: 213800LADM2GPWI3P269 | Long             | ABS-CBDO         | CORP              | GB        |    237181 | PA      | $314565.11    | 0.17%             | 2061-01-01      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| JPMMT 2022-INV1  V/R 12/25/43                   | JP MORGAN MORTGAGE TRUST 2022-INV1 SER 2022-INV1 CL A3 V/R REGD 144A P/P 3.00000000              | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    558202 | PA      | $478414.74    | 0.27%             | 2052-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| OTC EPUT EUR VS USD 1.11 BPS                    | OTC EPUT EUR VS USD 1.11 BPS 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |   1162000 | NC      | $1525.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSMBS 2021-GR3 A V/R 04/25/52                   | GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3 SER 2021-GR3 CL A2 V/R REGD 144A P/P 2.50000000     | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     74211 | PA      | $60817.62     | 0.03%             | 2052-04-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FNR 2009-104 FA V/R 12/25/39                    | FANNIE MAE REMICS SER 2009-104 CL FA V/R 5.26287000                                              | CUSIP: 31398GBB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     38306 | PA      | $38527.35     | 0.02%             | 2039-12-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.77 03/04/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $22842.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | USD/ZAR FWD 20250918 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $238.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFICORP 5.3% 02/15/31                        | PACIFICORP REGD 5.30000000                                                                       | CUSIP: 695114DC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $207970.68    | 0.12%             | 2031-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20250929 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1328.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEFA 2008-1 A1 V/R 04/25/38                     | MASSACHUSETTS EDUCATIONAL FINANCING AUTHORITY SER 2008-1 CL A1 V/R 5.55225000                    | CUSIP: 57563NAA6<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | ABS-CBDO         | CORP              | US        |     15616 | PA      | $15609.67     | 0.01%             | 2038-04-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-11 3A1 V/R 04/25/35                   | CHL MORTGAGE PASS-THROUGH TRUST 2005-11 SER 2005-11 CL 3A1 V/R REGD 3.65108700                   | CUSIP: 12669GUM1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11058 | PA      | $8413.05      | 0.00%             | 2035-04-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| JYSKE REALK 1.5% 10/01/53/DKK/                  | JYSKE REALKREDIT A/S /DKK/ REGD SER CCE 1.50000000                                               | CUSIP: K5S69JBQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |    450394 | PA      | $57126.23     | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R03.75PSO/N 03/18/31 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $-74065.62    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| TPMT 2019-4 A1 V/R 07/25/29                     | TOWD POINT MORTGAGE TRUST 2019-4 SER 2019-4 CL A1 V/R REGD 144A P/P 2.90000000                   | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    396770 | PA      | $381561.45    | 0.21%             | 2059-10-25      | Variable      | 2.90%                 | Yes           |                  2 | On Loan: No      |
| RFTE 2018-1 V/R 08/29/36 /EUR/                  | ROCKFORD TOWER EUROPE CLO 2018-1 DAC SER 2018-1A CL A1RR V/R REGD 144A P/P /EUR/ 3.29200000      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    300000 | PA      | $351160.49    | 0.19%             | 2036-08-29      | Variable      | 3.29%                 | Yes           |                  2 | On Loan: No      |
| DRYD 2017-2 V/R 04/15/33 /EUR/                  | DRYDEN 27 R EURO CLO 2017 DAC SER 2017-27A CL AR V/R REGD 144A P/P /EUR/ 2.68600000              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    214883 | PA      | $250844.58    | 0.14%             | 2033-04-15      | Variable      | 2.69%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IRS R00.05PMUTK 12/15/31 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $-234533.45   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | AUD/USD FWD 20250902 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2326.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CASH COLLATERAL 0.5% 12/31/60                   | CASH COLLATERAL LCH BCY USD    REGD 0.50000000                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |   1120000 | PA      | $1120000.00   | 0.62%             | 2060-12-31      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BJ8703 3.5% 05/01/49                     | FANNIE MAE POOL UMBS P#BJ8703 3.50000000                                                         | CUSIP: 3140HAU57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27349 | PA      | $25343.94     | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20250904 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $967.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMMS 2002-AR3 1 V/R 12/25/32                   | WASHINGTON MUTUAL MSC MORTGAGE PASS-THROUG SER 2002-AR3 CL 1A7 V/R REGD 6.22085900               | CUSIP: 939336KZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     35220 | PA      | $35038.54     | 0.02%             | 2032-12-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8364 6.5% 09/01/53                     | FREDDIE MAC POOL UMBS P#SD8364 6.50000000                                                        | CUSIP: 3132DWJH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    617051 | PA      | $640563.66    | 0.36%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUN V/R 07/16/26                  | ATHENE GLOBAL FUNDING REGD V/R 144A P/P 5.11363300                                               | CUSIP: 04685A4J7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    500000 | PA      | $501572.70    | 0.28%             | 2026-07-16      | Variable      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| HAYEM 14A A V/R 01/22/39 /EUR/                  | HAYFIN EMERALD CLO XIV DAC SER 14A CL A V/R REGD 144A P/P /EUR/ 3.20500000                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    900000 | PA      | $1052849.70   | 0.58%             | 2039-01-22      | Variable      | 3.21%                 | Yes           |                  2 | On Loan: No      |
| FNW 2004-W12 1A1 6% 7/25/44                     | FNW 2004-W12 1A1 6% 7/25/44 6.00000000                                                           | CUSIP: 31394A6Y7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18875 | PA      | $19675.03     | 0.01%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 01/07/28                   | DEUTSCHE BANK NY REGD V/R 144A 2.55200000                                                        | CUSIP: 25160PAH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $390734.74    | 0.22%             | 2028-01-07      | Variable      | 2.55%                 | Yes           |                  2 | On Loan: No      |
| OTC EPUT AUD VS USD @ 0.6225 BRC 10/14/2025     | OTC EPUT AUD VS USD @ 0.6225 BRC 10/14/2025 0.00000000                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     87000 | NC      | $61.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | KRW/USD FWD 20250917 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-224.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II P#MA9961 3.5% 10/20/54                  | GINNIE MAE II POOL P#MA9961 3.50000000                                                           | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5686320 | PA      | $5186135.28   | 2.88%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | NGN/USD FWD 20251009 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS PSOFRR03.25 03/19/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $59788.37     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| DRSLF 2016-43A A V/R 04/20/34                   | DRYDEN 43 SENIOR LOAN FUND SER 2016-43A CL AR3 V/R REGD 144A P/P 5.39549000                      | CUSIP: 26245CBQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $600724.20    | 0.33%             | 2034-04-20      | Variable      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| FHR 4579 FD V/R 01/15/38                        | FREDDIE MAC REMICS SER 4579 CL FD V/R 4.77840000                                                 | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     48242 | PA      | $47607.41     | 0.03%             | 2038-01-15      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.93 11/15/54 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $8802.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA 2% 04/14/33/EUR/                        | ROMANIA /EUR/ REGD P/P 2.00000000                                                                | CUSIP: X7360WBV3<br>LEI: N/A                  | Long             | DBT              | USGA              | RO        |    100000 | PA      | $91645.33     | 0.05%             | 2033-04-14      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20250902 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-233.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRVD 2A ARR V/R 10/15/38 /EUR/                  | PROVIDUS CLO II DAC SER 2A CL ARR V/R REGD 144A P/P /EUR/ 3.18600000                             | CUSIP: G7164GBM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $585407.06    | 0.32%             | 2038-10-15      | Variable      | 3.19%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | USD/ZAR FWD 20250918 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $949.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP04.00 09/29/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $1588.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HVMLT 2005-2 2A1 V/R 05/19/35                   | HARBORVIEW MORTGAGE LOAN TRUST 2005-2 SER 2005-2 CL 2A1A V/R REGD 4.90773000                     | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8146 | PA      | $7842.31      | 0.00%             | 2035-05-19      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| NGATE 07-1X A3 V/R 12/1/50                      | NGATE 07-1X A3 V/R 12/1/50 4.47242000                                                            | CUSIP: G6484AAR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |    268369 | PA      | $356918.55    | 0.20%             | 2050-12-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.86 02/28/29 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-25741.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BSSP 2007-R6 V/R 1/26/36                        | BSSP 2007-R6 V/R 1/26/36 5.07462000                                                              | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25577 | PA      | $18174.67     | 0.01%             | 2036-01-26      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-9 1A3 V/R 05/25/35                    | CHL MORTGAGE PASS-THROUGH TRUST 2005-9 SER 2005-9 CL 1A3 V/R REGD 4.89703000                     | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     33640 | PA      | $29512.47     | 0.02%             | 2035-05-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                             | INR/USD FWD 20250917 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1413.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RC R/P CITIGR  4.350% 09/02/25                  | RC R/P CITIGR  4.350% 09/02/25 4.35000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               | CORP              | US        |   3600000 | PA      | $3600000.00   | 2.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R02.47PST3M 02/03/30 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | SE        |         1 | NC      | $10640.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | PLN/USD FWD 20250917 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2074.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C EURO-BOBL FUTURE  SEP25                     | FUTURE CONTRACT ON           EURO-BOBL FUTURE  SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -30 | NC      | $-4122669.80  | -2.29%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.84 05/15/34 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-5155.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.25% 08/15/49                     | UNITED STATES TREASURY BOND 2.25000000                                                           | CUSIP: 912810SJ8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    400000 | PA      | $247109.38    | 0.14%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CAD/USD FWD 20250902 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1468.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | JPY/USD FWD 20251002 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-18031.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II P#MA8487 3.5% 12/20/52                  | GINNIE MAE II POOL P#MA8487 3.50000000                                                           | CUSIP: 36179XNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    192234 | PA      | $175324.74    | 0.10%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNAT 5.125% 01/13/28                  | SAUDI INTERNATIONAL BOND REGD 144A P/P 5.12500000                                                | CUSIP: 80413TBJ7<br>LEI: N/A                  | Long             | DBT              | USGA              | SA        |    400000 | PA      | $408742.90    | 0.23%             | 2028-01-13      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| UMBS P#SD8307 5% 03/01/53                       | FREDDIE MAC POOL UMBS P#SD8307 5.00000000                                                        | CUSIP: 3132DWGQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75651 | PA      | $74994.29     | 0.04%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | DKK/USD FWD 20260401 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-115218.33   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CASH COLL ISDA V/R 12/31/49                     | CASH COLATERAL ISDA BPS USD 4.23000000                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    518000 | PA      | $518000.00    | 0.29%             | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATI 4.75% 01/18/28                  | SAUDI INTERNATIONAL BOND REGD 144A P/P MTN 4.75000000                                            | CUSIP: 80413TBC2<br>LEI: N/A                  | Long             | DBT              | USGA              | SA        |    400000 | PA      | $405456.93    | 0.22%             | 2028-01-18      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| DBALT 2007-3 2A1 V/R 11/25/15                   | DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES  SER 2007-3 CL 2A1 V/R REGD 5.93703000      | CUSIP: 25151KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    340020 | PA      | $260865.97    | 0.14%             | 2047-10-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| BONOS DE TE 7.6% 08/12/39/PEN/                  | BONOS DE TESORERIA /PEN/ REGD 7.60000000                                                         | CUSIP: P6S32DFJ7<br>LEI: N/A                  | Long             | DBT              | USGA              | PE        |    900000 | PA      | $273175.90    | 0.15%             | 2039-08-12      | Variable      | 7.60%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | TWD/USD FWD 20250912 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $10192.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CNH/USD FWD 20250918 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-167.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RC R/P J.P. M  4.470% 09/10/25                  | RC R/P J.P. M  4.470% 09/10/25 4.47000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2373031 | PA      | $-2373031.25  | -1.32%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHI 4.85% 01/22/29                  | REPUBLIC OF CHILE REGD 4.85000000                                                                | CUSIP: 168863EB0<br>LEI: N/A                  | Long             | DBT              | USGA              | CL        |    200000 | PA      | $204430.00    | 0.11%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CAN V/R 08/02/30                  | ROYAL BANK OF CANADA REGD V/R MTN SER GMTN 4.96900000                                            | CUSIP: 78016HZZ6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    400000 | PA      | $408644.78    | 0.23%             | 2030-08-02      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3% 08/15/48                        | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810SD1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    175000 | PA      | $127825.20    | 0.07%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.75 05/15/32 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-27418.78    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| F/C US ULTRA BOND CBT DEC25                     | FUTURE CONTRACT ON           US ULTRA BOND CBT DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -30 | NC      | $-3496875.00  | -1.94%            |  |  |  | No            |                  1 | On Loan: No      |
| F/C EURO-OAT FUTURE   SEP25                     | FUTURE CONTRACT ON           EURO-OAT FUTURE   SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        20 | NC      | $2852572.08   | 1.58%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                             | GBP/USD FWD 20250902 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $10426.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SVHE 2006-3 A4 V/R 11/25/36                     | SOUNDVIEW HOME LOAN TRUST 2006-3 SER 2006-3 CL A4 V/R REGD 4.93703000                            | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    819600 | PA      | $776722.97    | 0.43%             | 2036-11-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 2.5% 9/01/25                      | FNMA 30YR TBA 2.5% 9/01/25     TO BE ANNOUNCED 2.50000000                                        | CUSIP: 01F022691<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -700000 | PA      | $-582012.68   | -0.32%            | 2055-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM4086 3.5% 06/01/50                     | FANNIE MAE POOL UMBS P#FM4086 3.50000000                                                         | CUSIP: 3140X7RG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    188966 | PA      | $174870.39    | 0.10%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TREASURY C 4.25% 12/20/32/AUD/                  | TREASURY CORP VICTORIA /AUD/ REGD 4.25000000                                                     | CUSIP: Q9194YCC6<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |    400000 | PA      | $258097.06    | 0.14%             | 2032-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GSMBS 2021-INV1  V/R 12/25/43                   | GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1 SER 2021-INV1 CL A2 V/R REGD 144A P/P 2.50000000   | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     74963 | PA      | $61412.71     | 0.03%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | PEN/USD FWD 20251009 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-476.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20251006 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-853.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA  3.582% 07/15/32/MYR/                  | MALAYSIA GOVERNMENT /MYR/ REGD SER 0122 3.58200000                                               | CUSIP: Y2R35QDR9<br>LEI: N/A                  | Long             | DBT              | USGA              | MY        |    160000 | PA      | $38549.45     | 0.02%             | 2032-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| UMBS P#BT8263 4.5% 06/01/52                     | FANNIE MAE POOL UMBS P#BT8263 4.50000000                                                         | CUSIP: 3140LXFD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    288102 | PA      | $278218.48    | 0.15%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20250919 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $5458.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SASC 2006-RF1 1A V/R 01/25/36                   | STRUCTURED ASSET SECURITIES CORP SER 2006-RF1 CL 1A V/R REGD 144A P/P 4.71703000                 | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40436 | PA      | $33710.43     | 0.02%             | 2036-01-25      | Variable      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | TWD/USD FWD 20251020 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $18895.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNPAM 2019- V/R 07/22/32 /EUR/                  | BNPP AM EURO CLO 2019 DAC SER 2019-1A CL AR V/R REGD 144A P/P /EUR/ 2.81500000                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    299543 | PA      | $349654.36    | 0.19%             | 2032-07-22      | Variable      | 2.81%                 | Yes           |                  2 | On Loan: No      |
| FSPC T-62 1A1 V/R 10/25/44                      | FSPC T-62 1A1 V/R 10/25/44 5.42183000                                                            | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13485 | PA      | $12378.58     | 0.01%             | 2044-10-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| F/C AUST 10Y BOND FUT SEP25                     | FUTURE CONTRACT ON           AUST 10Y BOND FUT SEP25 /AUD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |      -123 | NC      | $-9155313.99  | -5.08%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                             | MXN/USD FWD 20251217 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-56.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | EUR/USD FWD 20251002 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1497.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNR 2016-H15 FA V/R 07/20/66                    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2016-H15 CL FA V/R 5.24166000                       | CUSIP: 38376RWY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55418 | PA      | $55576.66     | 0.03%             | 2066-07-20      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5109 6.5% 08/01/53                     | FANNIE MAE POOL UMBS P#MA5109 6.50000000                                                         | CUSIP: 31418EVB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2067946 | PA      | $2144825.50   | 1.19%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | DKK/USD FWD 20250902 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4280.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CNH/USD FWD 20250915 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-12628.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | NOK/USD FWD 20251002 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-347.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| F/C LONG GILT FUTURE  DEC25                     | FUTURE CONTRACT ON           LONG GILT FUTURE  DEC25 /GBP/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |        47 | NC      | $5750300.98   | 3.19%             |  |  |  | No            |                  1 | On Loan: No      |
| BSARM 2004-2 23A V/R 05/25/34                   | BEAR STEARNS ARM TRUST 2004-2 SER 2004-2 CL 23A V/R REGD 4.00000300                              | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1434 | PA      | $1305.49      | 0.00%             | 2034-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| EHMU 2007-1 V/R 06/15/44 /GBP/                  | EUROHOME UK MORTGAGES 2007 -1 PLC SER 2007-1 CL A V/R REGD REG S /GBP/ 4.45249000                | CUSIP: G3224PAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     21611 | PA      | $29121.15     | 0.02%             | 2044-06-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CCS JPY P USSOFR/JPYMUTKCALM -45.9 GLM /SHORT/                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3731434.09  | -2.07%            |  |  |  | No            |                  2 | On Loan: No      |
| SAMI 2006-AR5 1A V/R 05/25/36                   | STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR5 SER 2006-AR5 CL 1A1 V/R REGD 4.85703000  | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15721 | PA      | $11011.85     | 0.01%             | 2036-05-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| F/C US 5YR NOTE (CBT) DEC25                     | FUTURE CONTRACT ON           US 5YR NOTE (CBT) DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        46 | NC      | $5035562.50   | 2.79%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF 5.4% 08/12/34/PEN/                  | REPUBLIC OF PERU /PEN/ REGD REG S 5.40000000                                                     | CUSIP: P78024AG4<br>LEI: N/A                  | Long             | DBT              | USGA              | PE        |   1400000 | PA      | $379104.35    | 0.21%             | 2034-08-12      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| BSARM 2004-2 22A V/R 05/25/34                   | BEAR STEARNS ARM TRUST 2004-2 SER 2004-2 CL 22A V/R REGD 6.89627100                              | CUSIP: 07384MN32<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4424 | PA      | $4293.82      | 0.00%             | 2034-05-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| F/C AUST 3YR BOND FUT SEP25                     | FUTURE CONTRACT ON           AUST 3YR BOND FUT SEP25 /AUD/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |        54 | NC      | $3794114.05   | 2.10%             |  |  |  | No            |                  1 | On Loan: No      |
| KBC GROUP NV V/R 01/19/29                       | KBC GROUP NV REGD V/R 144A P/P 5.79600000                                                        | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    200000 | PA      | $206714.16    | 0.11%             | 2029-01-19      | Variable      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| CHINA GOVE 2.19% 09/25/54/CNY/                  | CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 2.19000000                                             | CUSIP: Y6S39B8P8<br>LEI: N/A                  | Long             | DBT              | USGA              | CN        |  12700000 | PA      | $1814646.11   | 1.01%             | 2054-09-25      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R01.00PER6M 05/13/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $-12292.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM3 A V/R 11/25/68                   | PRPM 2023-NQM3 TRUST SER 2023-NQM3 CL A1 V/R REGD 144A P/P 6.22100000                            | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    361351 | PA      | $364729.62    | 0.20%             | 2068-11-25      | Variable      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| RC R/P J.P. M  4.470% 09/03/25                  | RC R/P J.P. M  4.470% 09/03/25 4.47000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3675750 | PA      | $-3675750.00  | -2.04%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORP 2% 09/17/35/AUD/                  | TREASURY CORP VICTORIA /AUD/ REGD 2.00000000                                                     | CUSIP: Q9194YPB4<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |    400000 | PA      | $199251.88    | 0.11%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | NGN/USD FWD 20251009 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2421.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU 2003-AR9 2A V/R 09/25/33                   | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR9 SER 2003-AR9 CL 2A V/R REGD 5.70912900   | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28502 | PA      | $27802.44     | 0.02%             | 2033-09-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD 7.8 BOA                     | OTC ECAL USD VS HKD 7.8 BOA 0.00000000                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    661000 | NC      | $793.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 0.5% 09/20/46/JPY/                  | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 52 0.50000000                                               | CUSIP: J2S39KQK5<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        | 152000000 | PA      | $673885.95    | 0.37%             | 2046-09-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | MYR/USD FWD 20250924 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-334.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CWALT 2007-11T V/R 05/25/37                     | CWALT 2007-11T V/R 05/25/37 4.78703000                                                           | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32787 | PA      | $10076.76     | 0.01%             | 2037-05-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS BRL @ 5.8 BOA                   | OTC ECAL USD VS BRL @ 5.8 BOA 0.00000000                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |   -900000 | NC      | $-8003.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 A V/R 07/25/56                   | CSMC 2021-INV1TRUST SER 2021-INV1 CL A3 V/R REGD 144A P/P 2.50000000                             | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     69493 | PA      | $57126.17     | 0.03%             | 2056-07-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD 7.8 MBC                     | OTC ECAL USD VS HKD 7.8 MBC 0.00000000                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    379000 | NC      | $441.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVE 1.65% 05/15/35/CNY/                  | CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 1.65000000                                             | CUSIP: Y6S39CAV0<br>LEI: N/A                  | Long             | DBT              | USGA              | CN        |  14900000 | PA      | $2059201.19   | 1.14%             | 2035-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R01.25PMUTK 09/17/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $-82025.51    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#BU8670 4.5% 05/01/52                     | FANNIE MAE POOL UMBS P#BU8670 4.50000000                                                         | CUSIP: 3140MAT46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    459647 | PA      | $444022.29    | 0.25%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CHF/USD FWD 20251002 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-56.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RCAONP03.18 06/01/33 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $-21337.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | JPY/USD FWD 20260105 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $26743.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | GBP/USD FWD 20251002 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-42160.50    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | KZT/USD FWD 20251215 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3994.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#DB3354 5% 06/01/54                       | FANNIE MAE POOL UMBS P#DB3354 5.00000000                                                         | CUSIP: 3140ACWQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53828 | PA      | $53173.27     | 0.03%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBL 1.9% 10/31/52/EUR/                  | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.90000000                                                   | CUSIP: E8922AMF4<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |    500000 | PA      | $374715.68    | 0.21%             | 2052-10-31      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| HVMLT 2006-SB1 A V/R 12/19/36                   | HARBORVIEW MORTGAGE LOAN TRUST SER 2006-SB1 CL A1A V/R REGD 5.07183000                           | CUSIP: 41162BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37990 | PA      | $34272.61     | 0.02%             | 2036-12-19      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| NORDEA KRED 1.5% 10/01/53/DKK/                  | NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 1.50000000                                           | CUSIP: K7S724JZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |    179657 | PA      | $22930.95     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | BRL/USD FWD 20251002 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $34347.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| OMW 2020-1MW A 2.13% 09/10/27                   | MANHATTAN WEST 2020-1MW MORTGAGE TRUST SER 2020-1MW CL A REGD 144A P/P 2.13000000                | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $285548.94    | 0.16%             | 2039-09-10      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | MYR/USD FWD 20250917 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $6579.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | ILS/USD FWD 20251015 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $5963.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | KZT/USD FWD 20251021 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $44.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#QF8822 6.5% 03/01/53                     | FREDDIE MAC POOL UMBS P#QF8822 6.50000000                                                        | CUSIP: 3133BWYT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    582823 | PA      | $606732.80    | 0.34%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.25 03/19/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $186412.13    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | GBP/USD FWD 20250902 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $42150.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GSMBS 2022-PJ4 A V/R 04/25/43                   | GS MORTGAGE-BACKED SECURITIES CORP TRUST 202 SER 2022-PJ4 CL A4 V/R REGD 144A P/P 2.50000000     | CUSIP: 36264RAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    727147 | PA      | $595705.87    | 0.33%             | 2052-09-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | JPY/USD FWD 20260105 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $24161.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C EURO-SCHATZ FUT   SEP25                     | FUTURE CONTRACT ON           EURO-SCHATZ FUT   SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        53 | NC      | $6638506.88   | 3.68%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                             | IRS RSO/NP03.50 09/17/27 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $20004.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20250926 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1166.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 01/15/32                         | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CDX6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    814541 | PA      | $752595.97    | 0.42%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| TREASURY C 2.25% 09/15/33/AUD/                  | TREASURY CORP VICTORIA /AUD/ REGD REG S 2.25000000                                               | CUSIP: Q9194YMT8<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |   1000000 | PA      | $548459.19    | 0.30%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ITALY GOV'T I 6% 08/04/28/GBP/                  | ITALY GOV'T INT BOND /GBP/ REGD EMTN 6.00000000                                                  | CUSIP: T6R88QAL8<br>LEI: N/A                  | Long             | DBT              | USGA              | IT        |    400000 | PA      | $560140.83    | 0.31%             | 2028-08-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.25 12/20/53 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $15060.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROU V/R 01/10/29                  | SANTANDER UK GROUP HLDGS REGD V/R 6.53400000                                                     | CUSIP: 80281LAT2<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    500000 | PA      | $523800.68    | 0.29%             | 2029-01-10      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                             | ILS/USD FWD 20251113 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $77.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II P#MB0201 3.5% 02/20/55                  | GINNIE MAE II POOL P#MB0201 3.50000000                                                           | CUSIP: 3618N5GK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    398986 | PA      | $363890.42    | 0.20%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 A V/R 12/16/36                    | BDS 2021-FL10 LTD SER 2021-FL10 CL A V/R REGD 144A P/P 5.82441000                                | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    183463 | PA      | $183507.64    | 0.10%             | 2036-12-16      | Variable      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| MFRA 2023-NQM4 A V/R 12/25/27                   | MFA 2023-NQM4 TRUST SER 2023-NQM4 CL A1 V/R REGD 144A P/P 6.10500000                             | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    320479 | PA      | $322572.30    | 0.18%             | 2068-12-25      | Variable      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| ROYAL BANK OF CAN V/R 08/06/31                  | ROYAL BANK OF CANADA REGD V/R MTN 4.69600000                                                     | CUSIP: 78017DAM0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    400000 | PA      | $404052.06    | 0.22%             | 2031-08-06      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                             | MXN/USD FWD 20250917 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-796.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 07/23/31                  | BANK OF AMERICA CORP REGD V/R MTN 1.89800000                                                     | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    700000 | PA      | $622272.59    | 0.35%             | 2031-07-23      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 3.375% 11/15/48                    | UNITED STATES TREASURY BOND 3.37500000                                                           | CUSIP: 912810SE9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    800000 | PA      | $624875.00    | 0.35%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AWPT 2018-3A A1R V/R 01/25/35                   | ELEVATION CLO 2021-15 LTD SER 2018-3A CL A1R2 V/R REGD 144A P/P 5.61846000                       | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499749.50    | 0.28%             | 2035-01-25      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REAL 1% 10/01/53/DKK/                  | NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01E 1.00000000                                       | CUSIP: K741812Z8<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         3 | PA      | $0.31         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | KRW/USD FWD 20250917 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-186.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU 2004-AR1 A V/R 03/25/34                    | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR1 SER 2004-AR1 CL A V/R REGD 6.18906100    | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75573 | PA      | $76028.39     | 0.04%             | 2034-03-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                             | HUF/USD FWD 20250922 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $218.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RCAONP03.00 06/01/34 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $-256.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RLOC 2007-1 V/R 12/15/43 /GBP/                  | RESLOC UK 2007-1 PLC SER 2007-1X CL A3B V/R REGD REG S /GBP/ 4.46249000                          | CUSIP: G7521KAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |    117555 | PA      | $156572.99    | 0.09%             | 2043-12-15      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| ARCLO 2022-FL1 A V/R 12/15/26                   | ARBOR REALTY COMMERCIAL REAL ESTATE NOTES 20 SER 2022-FL1 CL A V/R REGD 144A P/P 5.79270000      | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    197866 | PA      | $198025.51    | 0.11%             | 2037-01-15      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| MALAYSIA  4.193% 10/07/32/MYR/                  | MALAYSIA INVESTMNT ISSUE /MYR/ REGD SER 0122 4.19300000                                          | CUSIP: Y2R35QDK4<br>LEI: N/A                  | Long             | DBT              | USGA              | MY        |    860000 | PA      | $214854.97    | 0.12%             | 2032-10-07      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| FHR 2614 SJ V/R 05/15/33                        | FREDDIE MAC REMICS SER 2614 CL SJ V/R 7.40525500                                                 | CUSIP: 31393QNV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13388 | PA      | $15224.02     | 0.01%             | 2033-05-15      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| FSPC T-35 A V/R 9/25/31                         | FSPC T-35 A V/R 9/25/31 4.74287000                                                               | CUSIP: 313398VT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5521 | PA      | $5501.43      | 0.00%             | 2031-09-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5012 3.5% 10/01/39                     | FREDDIE MAC POOL UMBS P#RB5012 3.50000000                                                        | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24246 | PA      | $23335.46     | 0.01%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS P02.50RKWDC 09/17/35 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | KR        |         1 | NC      | $-261.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CCS JPY P USSOFR/JPYMUTKCALM  -42 GST /SHORT/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-17003936.98 | -9.43%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKRE 1% 10/01/50/DKK/                  | JYSKE REALKREDIT A/S /DKK/ REGD SER CCE. 1.00000000                                              | CUSIP: K5S69JAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |     31702 | PA      | $3832.82      | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.99 11/15/54 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $6970.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US T BILL ZCP 12/16/25                          | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797RX7<br>LEI: N/A                  | Long             | STIV             | UST               | US        |     99000 | PA      | $97817.15     | 0.05%             | 2025-12-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TRS SOFRINDX/IBOXIG INDX 09/22/25 BPS /LONG/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-35293.73    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNR 2003-34 A1 6% 04/25/43                      | FANNIE MAE REMICS SER 2003-34 CL A1 6.00000000                                                   | CUSIP: 31393CEY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3099 | PA      | $3134.42      | 0.00%             | 2043-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.90 03/04/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-7196.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#889649 6.5% 08/01/37                     | FANNIE MAE POOL UMBS P#889649 6.50000000                                                         | CUSIP: 31410KL69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1469 | PA      | $1496.56      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RC R/P J.P. M  4.460% 09/03/25                  | RC R/P J.P. M  4.460% 09/03/25 4.46000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1795400 | PA      | $-1795400.00  | -1.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMMT 2003-A2 3A V/R 11/25/33                   | JP MORGAN MORTGAGE TRUST 2003-A2 SER 2003-A2 CL 3A1 V/R REGD 5.94743100                          | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       576 | PA      | $559.67       | 0.00%             | 2033-11-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R01.50PCN07 03/18/31 SCX LONG                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CN        |         1 | NC      | $-67234.89    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.96 11/15/54 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $7032.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | JPY/USD FWD 20250902 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4170.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RER6MP02.00 03/18/28 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $9368.65      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS Y OB 3.15% 04/30/35/EUR/                  | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 3.15000000                                                   | CUSIP: E4R46FAA8<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |   2160000 | PA      | $2504195.28   | 1.39%             | 2035-04-30      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| NYO 2021-1290 A V/R 11/15/28                    | NYO COMMERCIAL MORTGAGE TRUST 2021-1290 SER 2021-1290 CL A V/R REGD 144A P/P 5.57348000          | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $399448.12    | 0.22%             | 2038-11-15      | Variable      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| UMBS P#FS5955 6.5% 10/01/53                     | FANNIE MAE POOL UMBS P#FS5955 6.50000000                                                         | CUSIP: 3140XMTM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     81084 | PA      | $84481.60     | 0.05%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | NZD/USD FWD 20250902 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1129.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US T BILL ZCP 11/04/25                          | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797RM1<br>LEI: N/A                  | Long             | STIV             | UST               | US        |     22000 | PA      | $21834.68     | 0.01%             | 2025-11-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TIPS 0.125% 07/15/31                         | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000                                        | CUSIP: 91282CCM1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1083141 | PA      | $1015957.88   | 0.56%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT  0.1% 03/10/29/JPY/                  | JAPAN GOVT CPI LINKED /JPY/ REGD SER 24 0.10000000                                               | CUSIP: J2S39K4F0<br>LEI: N/A                  | Long             | DBT              | UST               | JP        |  52776770 | PA      | $370146.68    | 0.21%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                             | KRW/USD FWD 20250912 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.39         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | BRL/USD FWD 20250903 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $5799.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO  V/R 07/22/32/EUR/                  | WELLS FARGO & COMPANY /EUR/ REGD V/R REG S EMTN 3.90000000                                       | CUSIP: U94974LV9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    500000 | PA      | $603458.30    | 0.33%             | 2032-07-22      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PO 4.875% 10/04/33                  | REPUBLIC OF POLAND REGD SER 10Y 4.87500000                                                       | CUSIP: 731011AV4<br>LEI: N/A                  | Long             | DBT              | USGA              | PL        |    100000 | PA      | $100485.39    | 0.06%             | 2033-10-04      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BONOS Y OB 1.45% 10/31/27/EUR/                  | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 1.45000000                                                   | CUSIP: E8922AEY2<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |    400000 | PA      | $462120.89    | 0.26%             | 2027-10-31      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| HUNGARY 6.25% 09/22/32                          | HUNGARY REGD 144A P/P 6.25000000                                                                 | CUSIP: 445545AS5<br>LEI: N/A                  | Long             | DBT              | USGA              | HU        |    200000 | PA      | $212180.92    | 0.12%             | 2032-09-22      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.90 02/15/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-128704.44   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS TBA 15YR 2% SEP 25                         | UMBS TBA 15YR 2% SEP 25        TO BE ANNOUNCED 2.00000000                                        | CUSIP: 01F020497<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -2100000 | PA      | $-1926994.57  | -1.07%            | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | MXN/USD FWD 20250917 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1373.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAMI 2007-AR4 A3 V/R 09/25/47                   | STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2007-AR4 SER 2007-AR4 CL A3 V/R REGD 4.87703000   | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     84088 | PA      | $74579.88     | 0.04%             | 2047-09-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20251020 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $22.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | SGD/USD FWD 20250902 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-18.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 6.5% OCT 25                       | FNMA 30YR TBA 6.5% OCT 25      TO BE ANNOUNCED 6.50000000                                        | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12100000 | PA      | $12528110.34  | 6.95%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.85 02/28/29 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-17249.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IDR/USD FWD 20250929 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1834.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSG1DP02.00 09/17/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | SG        |         1 | NC      | $-25616.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT USD VS TWD @ 28.2 JPM 9/9/2025         | OTC EPUT USD VS TWD @ 28.2 JPM 9/9/2025 0.00000000                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    532000 | NC      | $5.85         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | THB/USD FWD 20251020 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-245.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 0.7% 12/20/48/JPY/                  | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 61 0.70000000                                               | CUSIP: J2S39KS98<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        |  98000000 | PA      | $426451.65    | 0.24%             | 2048-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS I 5.25% 02/13/34                  | PHILIP MORRIS INTL INC REGD 5.25000000                                                           | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204421.08    | 0.11%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 Y 1.8% 09/20/44/JPY/                  | JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 190 1.80000000                                              | CUSIP: J2S39L5C4<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        | 130000000 | PA      | $785778.24    | 0.44%             | 2044-09-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R03.75PSO/N 09/17/30 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $-994.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20250912 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $58.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXPORT DEV 7.13% 03/11/29/INR/                  | EXPORT DEVELOPMNT CANADA /INR/ REGD 144A P/P MTN 7.13000000                                      | CUSIP: C32148PP4<br>LEI: N/A                  | Long             | DBT              | USGA              | CA        |  27900000 | PA      | $320863.77    | 0.18%             | 2029-03-11      | Fixed         | 7.13%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.64 08/07/34 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-1390.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20250918 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1920.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORO USD 10Y P 3.89800 L       09/22/25 BOA      | ORO USD 10Y P 3.89800 L       09/22/25 BOA 0.00000000                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -800000 | NC      | $-1005.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT 1% 10/01/50/DKK/                  | NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 1.00000000                                           | CUSIP: K7S724GR2<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |        15 | PA      | $1.84         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| F/C US LONG BOND(CBT) DEC25                     | FUTURE CONTRACT ON           US LONG BOND(CBT) DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-114250.00   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                             | SGD/USD FWD 20250902 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3108.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GO 2.75% 02/25/30/EUR/                  | FRANCE (GOVT OF) /EUR/ REGD SER OAT 2.75000000                                                   | CUSIP: F26348DP8<br>LEI: N/A                  | Long             | DBT              | USGA              | FR        |   6000000 | PA      | $7054946.95   | 3.91%             | 2030-02-25      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP04.25 12/20/25 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $30220.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KI 1.125% 10/22/73/GBP/                  | UNITED KINGDOM GILT /GBP/ REGD REG S 1.12500000                                                  | CUSIP: G4527HXA4<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |    500000 | PA      | $204235.27    | 0.11%             | 2073-10-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELEC PW DISC 09/15/25                  | MERICAN ELEC PWR CO INC______  DISCOUNT COMMERCIAL PAPER 0.00000000                              | CUSIP: 0255E2WF3<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    500000 | PA      | $499115.28    | 0.28%             | 2025-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC  3.875% 02/14/33/EUR/                  | REPUBLIC OF POLAND /EUR/ REGD REG S EMTN 3.87500000                                              | CUSIP: X7327PAT6<br>LEI: N/A                  | Long             | DBT              | USGA              | PL        |    200000 | PA      | $245740.13    | 0.14%             | 2033-02-14      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ELAT 2007-2 A1 V/R 05/25/37                     | ELLINGTON LOAN ACQUISITION TRUST 2007-2 SER 2007-2 CL A1 V/R REGD 144A P/P 5.48703000            | CUSIP: 288547AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    267823 | PA      | $263222.84    | 0.15%             | 2037-05-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20251008 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $534.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT EUR VS CZK @ 24.6 JPM                  | OTC EPUT EUR VS CZK @ 24.6 JPM 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |   1287127 | NC      | $12361.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#BY0545 5% 05/01/53                       | FANNIE MAE POOL UMBS P#BY0545 5.00000000                                                         | CUSIP: 3140NGTB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    272218 | PA      | $269344.23    | 0.15%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20250909 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-323.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CWALT 2007-16C 6.25% 08/25/37                   | ALTERNATIVE LOAN TRUST 2007-16CB SER 2007-16CB CL 5A1 REGD 6.25000000                            | CUSIP: 02152AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     16573 | PA      | $7536.79      | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF S 1% 09/23/28/EUR/                  | REPUBLIC OF SERBIA /EUR/ REGD 144A P/P MTN 1.00000000                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | USGA              | RS        |    100000 | PA      | $108678.25    | 0.06%             | 2028-09-23      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| OBX 2024-HYB1 A1 V/R 03/25/53                   | OBX 2024-HYB1 TRUST SER 2024-HYB1 CL A1 V/R REGD 144A P/P 3.63016300                             | CUSIP: 67448MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    824669 | PA      | $810992.30    | 0.45%             | 2053-03-25      | Variable      | 3.63%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IRS R04.00PBW6M 06/21/33 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |         1 | NC      | $100.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R04.50PBW6M 06/18/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |         1 | NC      | $9757.56      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TWD/USD FWD 20250911 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $23.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R01.00PMUTK 09/18/34 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $-14767.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | JPY/USD FWD 20250902 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $5629.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL 5.75% 03/12/54                  | STATE OF ISRAEL REGD SER 30Y 5.75000000                                                          | CUSIP: 46514BRM1<br>LEI: N/A                  | Long             | DBT              | USGA              | IL        |    300000 | PA      | $278161.29    | 0.15%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OTC EPUT USD VS BRL @ 5.47 BOA                  | OTC EPUT USD VS BRL @ 5.47 BOA 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    900000 | NC      | $14333.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20251217 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-915.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 04/01/31                       | UBS GROUP AG REGD V/R 144A P/P 4.19400000                                                        | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    300000 | PA      | $296460.00    | 0.16%             | 2031-04-01      | Variable      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IRS R03.00PSO/N 06/17/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $-107349.88   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CBRE SVCS INC DISC 09/17/25                     | CBRE SVCS INC DISC 09/17/25 0.00000000                                                           | CUSIP: 12610BWH1<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    300000 | PA      | $299386.67    | 0.17%             | 2025-09-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | SEK/USD FWD 20250902 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3058.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT EUR VS USD @ 1.1315   BRC 10/10/2025   | OTC EPUT EUR VS USD @ 1.1315   BRC 10/10/2025 0.00000000                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    835000 | NC      | $1047.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONYP 2020-1NYP A V/R 01/15/23                   | ONE NEW YORK PLAZA TRUST 2020-1NYP SER 2020-1NYP CL A V/R REGD 144A P/P 5.42848000               | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $291297.27    | 0.16%             | 2036-01-15      | Variable      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| OTC EPUT EUR VS USD DIGI 1.0975 MBC             | OTC EPUT EUR VS USD DIGI 1.0975 MBC 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     45500 | NC      | $2208.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RC R/P J.P. M  4.460% 09/04/25                  | RC R/P J.P. M  4.460% 09/04/25 4.46000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -567202 | PA      | $-567202.50   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | JPY/USD FWD 20250902 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $18485.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | JPY/USD FWD 20250902 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-214.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R04.75PNF3F 06/19/29 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | NZ        |         1 | NC      | $64446.33     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 09/13/27                       | BARCLAYS PLC REGD V/R 6.49600000                                                                 | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    800000 | PA      | $816768.71    | 0.45%             | 2027-09-13      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| VW CR INC 0.00% 10/14/25                        | VW CR INC DISCOUNT COMMERCIAL PAPER 0.00000000                                                   | CUSIP: 91842JXE4<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    500000 | PA      | $497246.81    | 0.28%             | 2025-10-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TIPS 1.125% 01/15/33                         | UNITED STATES TREASURY INFLATION INDEXED BONDS 1.12500000                                        | CUSIP: 91282CGK1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1516018 | PA      | $1472786.64   | 0.82%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20251010 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $46.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | KZT/USD FWD 20250908 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-925.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 1.7% 09/20/44/JPY/                  | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 44 1.70000000                                               | CUSIP: J2615QTH8<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        | 210000000 | PA      | $1248050.34   | 0.69%             | 2044-09-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| WMALT 2006-AR5 3 V/R 07/25/46                   | WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATE SER 2006-AR5 CL 3A V/R REGD 5.16183000       | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13877 | PA      | $8516.65      | 0.00%             | 2046-07-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                             | INR/USD FWD 20250917 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-518.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BECTON DICKINSON DISC 09/30/25                  | BECTON DICKINSON & CO DISCOUNT  COMMERCIAL PAPER 0.00000000                                      | CUSIP: 07588LWW4<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    350000 | PA      | $348725.61    | 0.19%             | 2025-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL V/R 12/31/49                    | CASH COLLATERAL USD 4.23000000                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             | CORP              | US        |    -10000 | PA      | $-10000.00    | -0.01%            | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| ORO USD 10Y C 3.59700 L 09/26/25 GLM            | ORO USD 10Y C 3.59700 L 09/26/25 GLM 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -400000 | NC      | $-1648.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD 7.85 MBC                    | OTC ECAL USD VS HKD 7.85 MBC 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |   -379000 | NC      | $-257.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| F/C EURO-BUXL 30Y BND SEP25                     | FUTURE CONTRACT ON           EURO-BUXL 30Y BND SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        11 | NC      | $1466602.52   | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                             | JPY/USD FWD 20250902 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-11236.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (20 Y 1.2% 09/20/35/JPY/                  | JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 154 1.20000000                                              | CUSIP: J2S39KKT2<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        | 131000000 | PA      | $856444.69    | 0.48%             | 2035-09-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CDX 2I65BYEH4 01.000 SP 06/20/2030 BARCUS3BXXX FIXED                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $412195.31    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RCAONP03.00 06/01/33 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $-957.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | BRL/USD FWD 20251002 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-477.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK TSY    3.25% 01/22/44 /GBP/                  | UK TSY 3 1/4% 2044 /GBP/ REGD 3.25000000                                                         | CUSIP: G4527HCQ2<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |   1350000 | PA      | $1365387.88   | 0.76%             | 2044-01-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IDR/USD FWD 20251015 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3323.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | EUR/RON FWD 20251107 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $522.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R00.75PMUTK 03/19/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $1816.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD @ 7.8 BOA                   | OTC ECAL USD VS HKD @ 7.8 BOA 0.00000000                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    422000 | NC      | $491.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 08/08/30/EUR/                  | BARCLAYS PLC /EUR/ REGD V/R REG S EMTN 4.91800000                                                | CUSIP: G0809LJD2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $498869.11    | 0.28%             | 2030-08-08      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                             | DKK/USD FWD 20251002 000018337 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4237.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#BU4106 6.5% 07/01/53                     | FANNIE MAE POOL UMBS P#BU4106 6.50000000                                                         | CUSIP: 3140M5R49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    136315 | PA      | $143329.11    | 0.08%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CNH/USD FWD 20250915 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-17289.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP01.00 12/15/26 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $57501.85     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE OF ISRAE 5.375% 03/12/29                  | STATE OF ISRAEL REGD SER 5Y 5.37500000                                                           | CUSIP: 46514BRN9<br>LEI: N/A                  | Long             | DBT              | USGA              | IL        |    300000 | PA      | $308106.22    | 0.17%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#QF0819 4.5% 10/01/52                     | FREDDIE MAC POOL UMBS P#QF0819 4.50000000                                                        | CUSIP: 3133BM4C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    200710 | PA      | $194238.57    | 0.11%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OTC EPUT USD VS BRL @ 5.25 BOA                  | OTC EPUT USD VS BRL @ 5.25 BOA 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |   -900000 | NC      | $-3132.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | INR/USD FWD 20251017 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1020.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI F V/R 07/08/36                  | SUMITOMO MITSUI FINL GRP REGD V/R 5.24600000                                                     | CUSIP: 86562MEA4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $507407.37    | 0.28%             | 2036-07-08      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| ICG 2021-3A AR V/R 10/20/34                     | ICG US CLO 2021-3 LTD SER 2021-3A CL AR V/R REGD 144A P/P 5.47549000                             | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500485.50    | 0.28%             | 2034-10-20      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| US T BILL ZCP 09/16/25                          | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797QU4<br>LEI: N/A                  | Long             | STIV             | UST               | US        |    324000 | PA      | $323430.98    | 0.18%             | 2025-09-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CWL 2007-12 1A1 V/R 06/25/37                    | CWABS INC ASSET-BACKED CERTIFICATES SERIES 2007-12 SER 2007-12 CL 1A1 V/R REGD 5.17703000        | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     32990 | PA      | $32281.78     | 0.02%             | 2047-08-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| BCC 2020-2A ARR V/R 07/19/34                    | BAIN CAPITAL CREDIT CLO 2020-2 LTD SER 2020-2A CL ARR V/R REGD 144A P/P 5.56549000               | CUSIP: 05683EAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501042.50    | 0.28%             | 2034-07-19      | Variable      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| NEXTERA ENERGY DISC 09/26/25                    | NEXTERA ENERGY DISC 09/26/25 0.00000000                                                          | CUSIP: 65339MWS1<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    500000 | PA      | $498409.72    | 0.28%             | 2025-09-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CIFC 2017-4A A1R V/R 10/24/30                   | CIFC FUNDING 2017-IV LTD SER 2017-4A CL A1R V/R REGD 144A P/P 5.53030000                         | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    104695 | PA      | $104703.08    | 0.06%             | 2030-10-24      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| CASH COLLATERAL BCY USD                         | CASH COLLATERAL BCY USD        /CCBCYXUS0/ 4.23000000                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |   1459000 | PA      | $1459000.00   | 0.81%             | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| JTWN 2021-16A AR V/R 07/25/34                   | JAMESTOWN CLO XVI LTD SER 2021-16A CL AR V/R REGD 144A P/P 5.43846000                            | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700780.50    | 0.39%             | 2034-07-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| JAPAN (30 Y 1.4% 09/20/45/JPY/                  | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 48 1.40000000                                               | CUSIP: J2S39KKP0<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        | 280000000 | PA      | $1546621.29   | 0.86%             | 2045-09-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| N/A                                             | PLN/USD FWD 20251015 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $650.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | MXN/USD FWD 20250917 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $11366.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD @ 7.8 MBC                   | OTC ECAL USD VS HKD @ 7.8 MBC 0.00000000                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    198000 | NC      | $237.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN U 3.75% 10/12/45/EUR/                  | EUROPEAN UNION /EUR/ REGD REG S EMTN SER UFA 3.75000000                                          | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | USGA              | BE        |   1000000 | PA      | $1147029.51   | 0.64%             | 2045-10-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM4 A V/R 05/25/67                   | GCAT 2023-NQM4 TRUST SER 2023-NQM4 CL A1 V/R REGD 144A P/P 4.25000000                            | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    771678 | PA      | $740497.76    | 0.41%             | 2067-05-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| ROMANIA 2.875% 04/13/42/EUR/                    | ROMANIA /EUR/ REGD 144A P/P MTN 2.87500000                                                       | CUSIP: X7360WBY7<br>LEI: N/A                  | Long             | DBT              | USGA              | RO        |    200000 | PA      | $150590.25    | 0.08%             | 2042-04-13      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | BRL/USD FWD 20250903 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $6259.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 0.5% 03/20/49/JPY/                  | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 62 0.50000000                                               | CUSIP: J2S39K3W4<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        | 360000000 | PA      | $1471230.09   | 0.82%             | 2049-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | THB/USD FWD 20251020 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-64.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | KRW/USD FWD 20250917 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $49.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | THB/USD FWD 20251020 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $223.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS TRY 54.0 UAG                    | OTC ECAL USD VS TRY 54.0 UAG 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |   -184000 | NC      | $-2357.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CNH/USD FWD 20250915 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-33500.98    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNR 2017-121 PE 3% 07/20/46                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-121 CL PE 3.00000000                           | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2482 | PA      | $2437.89      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT RE 1.5% 10/01/52/DKK/                  | NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01EE 1.50000000                                      | CUSIP: K741813K0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.13         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CRNCL 2016- V/R 01/31/30 /EUR/                  | CAIRN CLO VII DAC SER 2016-7A CL A1R V/R REGD 144A P/P /EUR/ 2.69600000                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    160143 | PA      | $187341.40    | 0.10%             | 2030-01-31      | Variable      | 2.70%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20251016 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $113.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20251027 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $86.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | PEN/USD FWD 20251110 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-12183.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | AUD/USD FWD 20251002 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-43891.92    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | NGN/USD FWD 20250909 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1788.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | AUD/USD FWD 20250902 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-940.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSAB 2006-4 A6A S/UP 12/25/36                   | CSAB MORTGAGE-BACKED TRUST 2006-4 SER 2006-4 CL A6A S/UP REGD 6.18370000                         | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    122059 | PA      | $18565.83     | 0.01%             | 2036-12-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                             | NOK/USD FWD 20250902 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $347.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS PMUTKR00.40 06/19/39 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $93570.60     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CGMS 2016-3A ARR V/R 07/20/34                   | CARLYLE GLOBAL MARKET STRATEGIES CLO  SER 2016-3A CL ARRR V/R REGD 144A P/P 5.41549000           | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $600793.20    | 0.33%             | 2034-07-20      | Variable      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | ILS/USD FWD 20251015 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $954.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | BRL/USD FWD 20251002 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $96.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | NOK/USD FWD 20250902 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-417.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | BRL/USD FWD 20251002 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-101616.34   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II P#MA7706 3% 11/20/51                    | GINNIE MAE II POOL P#MA7706 3.00000000                                                           | CUSIP: 36179WR34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    421959 | PA      | $374490.96    | 0.21%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SARM 2004-19 2A1 V/R 01/25/35                   | STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SER 2004-19 CL 2A1 V/R REGD 5.62183000            | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17825 | PA      | $16078.94     | 0.01%             | 2035-01-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| ORO USD 5Y P 4.33000 L 09/25/25 DUB             | ORO USD 5Y P 4.33000 L 09/25/25 DUB 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -800000 | NC      | $-0.72        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF 3.6% 09/01/33/CAD/                  | PROVINCE OF QUEBEC /CAD/ REGD 3.60000000                                                         | CUSIP: 74814ZFS7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | USGA              | CA        |    900000 | PA      | $652598.31    | 0.36%             | 2033-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R01.79PESTR 10/11/29 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-33849.11    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TWD/USD FWD 20250911 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4454.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | BRL/USD FWD 20251002 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-251122.60   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | SEK/USD FWD 20250902 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1456.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GALL 2017-1A A1R V/R 07/15/31                   | GALLATIN CLO VIII 2017-1 LTD SER 2017-1A CL A1R V/R REGD 144A P/P 5.66916000                     | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    336757 | PA      | $337192.12    | 0.19%             | 2031-07-15      | Variable      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| RC R/P DEUTSC  4.470% 09/04/25                  | RC R/P DEUTSC  4.470% 09/04/25 4.47000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -365345 | PA      | $-365345.00   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R01.00PMUTK 03/19/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $-176086.24   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| SAMI 2007-AR6  V/R 11/25/37                     | SAMI 2007-AR6  V/R 11/25/37 5.72183000                                                           | CUSIP: 86364RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     46753 | PA      | $39609.08     | 0.02%             | 2047-08-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| UMBS P#QF0820 4.5% 09/01/52                     | FREDDIE MAC POOL UMBS P#QF0820 4.50000000                                                        | CUSIP: 3133BM4D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    607792 | PA      | $587141.40    | 0.33%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R03.35PSOFR 11/30/29 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $4849.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CHF/USD FWD 20250902 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4531.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORO USD 5Y P 4.35000 L 09/25/25 BRC             | ORO USD 5Y P 4.35000 L 09/25/25 BRC 0.00000000                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -400000 | NC      | $-0.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | SEK/USD FWD 20250902 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1069.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | NGN/USD FWD 20251007 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1951.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TPMT 2020-1 A1 V/R 01/25/60                     | TOWD POINT MORTGAGE TRUST 2020-1 SER 2020-1 CL A1 V/R REGD 144A P/P 2.71000000                   | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     94260 | PA      | $91018.16     | 0.05%             | 2060-01-25      | Variable      | 2.71%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.83 05/15/34 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-8172.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRITISH CO 4.15% 06/18/34/CAD/                  | BRITISH COLUMBIA PROV OF /CAD/ REGD 4.15000000                                                   | CUSIP: 110709AK8<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | USGA              | CA        |    200000 | PA      | $149482.52    | 0.08%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.77 02/15/55 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $5712.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LINCOLN FIN GLBL 5.3% 01/13/30                  | LINCOLN FIN GLBL FUNDING REGD 144A P/P 5.30000000                                                | CUSIP: 53359KAA9<br>LEI: 984500OC010458395923 | Long             | DBT              | CORP              | US        |    600000 | PA      | $622329.58    | 0.35%             | 2030-01-13      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| UMBS P#841068 V/R 11/01/34                      | FANNIE MAE POOL UMBS P#841068 V/R 6.52600000                                                     | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8508 | PA      | $8838.11      | 0.00%             | 2034-11-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| F/C EURO-BTP FUTURE   SEP25                     | FUTURE CONTRACT ON           EURO-BTP FUTURE   SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       173 | NC      | $24338762.29  | 13.50%            |  |  |  | No            |                  1 | On Loan: No      |
| SMB 2022-B A1B V/R 02/16/55                     | SMB PRIVATE EDUCATION LOAN TRUST 2022-B SER 2022-B CL A1B V/R REGD 144A P/P 5.79270000           | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    206383 | PA      | $208475.08    | 0.12%             | 2055-02-16      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| CHINA GOVE 3.19% 04/15/53/CNY/                  | CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 3.19000000                                             | CUSIP: Y6S39BZ94<br>LEI: N/A                  | Long             | DBT              | USGA              | CN        |   4090000 | PA      | $703655.23    | 0.39%             | 2053-04-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| GSR 2003-1 A2 V/R 03/25/33                      | GSR MORTGAGE LOAN TRUST 2003-1 SER 2003-1 CL A2 V/R REGD 5.88000000                              | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1301 | PA      | $1297.38      | 0.00%             | 2033-03-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| RMACS 2006- V/R 06/12/44 /GBP/                  | RMAC SECURITIES NO 1 PLC SER 2006-NS3X CL A2A V/R REGD REG S /GBP/ 4.45580000                    | CUSIP: G7604CBD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |    223275 | PA      | $296551.60    | 0.16%             | 2044-06-12      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| BULGARIA 3.375% 07/18/35/EUR/                   | BULGARIA /EUR/ REGD REG S SER 10Y 3.37500000                                                     | CUSIP: X0R483BJ0<br>LEI: N/A                  | Long             | DBT              | USGA              | BG        |    400000 | PA      | $460948.68    | 0.26%             | 2035-07-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R02.25PER6M 09/21/42 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $-218020.93   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R03.00PER6M 03/19/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $137690.68    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R01.50PCN07 03/18/31 BPS LONG                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CN        |         1 | NC      | $-77771.71    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CNH/USD FWD 20250915 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-18273.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.5% 01/15/28                           | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.50000000                                        | CUSIP: 9128283R9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1307680 | PA      | $1296403.74   | 0.72%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS P03.75RSOFR 09/17/30 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $54858.72     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU 2005-AR13 A V/R 10/25/45                   | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005- SER 2005-AR13 CL A1A1 V/R REGD 5.01703000   | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9889 | PA      | $9929.45      | 0.01%             | 2045-10-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| SARM 2004-1 4A1 V/R 02/25/34                    | STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST SER 2004-1 CL 4A1 V/R REGD 6.33734800             | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1266 | PA      | $1228.19      | 0.00%             | 2034-02-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| F/C EURO-BUND FUTURE  SEP25                     | FUTURE CONTRACT ON           EURO-BUND FUTURE  SEP25 /EUR/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -37 | NC      | $-5607979.82  | -3.11%            |  |  |  | No            |                  1 | On Loan: No      |
| NYKREDIT REAL 1% 10/01/50/DKK/                  | NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER CCE 1.00000000                                       | CUSIP: K74181W69<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         4 | PA      | $0.53         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | AUD/USD FWD 20251002 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-305.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREAS NTS 4% 02/29/28                        | UNITED STATES TREASURY NOTE 4.00000000                                                           | CUSIP: 91282CGP0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    200000 | PA      | $201910.16    | 0.11%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA 6.625% 09/27/29/EUR/                    | ROMANIA /EUR/ REGD REG S EMTN 6.62500000                                                         | CUSIP: X7360WCL4<br>LEI: N/A                  | Long             | DBT              | USGA              | RO        |    600000 | PA      | $761845.71    | 0.42%             | 2029-09-27      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS TWD @ 29.9 JPM 9/9/2025         | OTC ECAL USD VS TWD @ 29.9 JPM 9/9/2025 0.00000000                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |   -532000 | NC      | $-11504.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 0.7% 06/20/51/JPY/                  | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 71 0.70000000                                               | CUSIP: J2S39LQP2<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        | 125000000 | PA      | $499349.18    | 0.28%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TWD/USD FWD 20250930 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $20.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | KZT/USD FWD 20250930 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $205.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| C/O EURO-BUND OPTI OCT25 129.5                  | CALL OPTION ON EURO-BUND OPTION OCT25 129.5 /EUR/ 0.00000000                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | DE        |        -2 | NC      | $-842.36      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NRZT 2020-RPL1 A V/R 11/25/59                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 SER 2020-RPL1 CL A1 V/R REGD 144A P/P 2.75000000   | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    126969 | PA      | $122232.70    | 0.07%             | 2059-11-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IDR/USD FWD 20250912 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4152.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#SD8348 5% 08/01/53                       | FREDDIE MAC POOL UMBS P#SD8348 5.00000000                                                        | CUSIP: 3132DWHZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    849744 | PA      | $840264.37    | 0.47%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QI1549 5% 03/01/54                       | FREDDIE MAC POOL UMBS P#QI1549 5.00000000                                                        | CUSIP: 3133W7WJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    804993 | PA      | $798123.45    | 0.44%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TWD/USD FWD 20250911 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $821.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| F/C US 2YR NOTE (CBT) DEC25                     | FUTURE CONTRACT ON           US 2YR NOTE (CBT) DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -35 | NC      | $-7298867.17  | -4.05%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREAS BDS 3% 02/15/48                        | UNITED STATES TREASURY BOND 3.00000000                                                           | CUSIP: 912810SA7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    300000 | PA      | $220248.05    | 0.12%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BSARM 2003-5 1A2 V/R 08/25/33                   | BEAR STEARNS ARM TRUST 2003-5 SER 2003-5 CL 1A2 V/R REGD 5.03271700                              | CUSIP: 07384MWG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1336 | PA      | $1293.41      | 0.00%             | 2033-08-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY 2.25% 07/12/31                     | QATAR ENERGY REGD 144A P/P 2.25000000                                                            | CUSIP: 74730DAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | QA        |    200000 | PA      | $178078.50    | 0.10%             | 2031-07-12      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| OTC EPUT EUR VS HUF 395.0 JPM                   | OTC EPUT EUR VS HUF 395.0 JPM 0.00000000                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    272000 | NC      | $790.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT  0.1% 03/10/28/JPY/                  | JAPAN GOVT CPI LINKED /JPY/ REGD SER 23 0.10000000                                               | CUSIP: J2S39KJ56<br>LEI: N/A                  | Long             | DBT              | UST               | JP        | 166215840 | PA      | $1158895.40   | 0.64%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 07/25/28                  | WELLS FARGO & COMPANY REGD V/R MTN 4.80800000                                                    | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    600000 | PA      | $606506.96    | 0.34%             | 2028-07-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                             | SGD/USD FWD 20251002 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3765.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | KZT/USD FWD 20250912 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3194.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20250902 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $404.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CORDA 11A A V/R 10/15/31 /EUR/                  | CVC CORDATUS LOAN FUND XI DAC SER 11A CL AR V/R REGD 144A P/P /EUR/ 2.67600000                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |    144274 | PA      | $168760.89    | 0.09%             | 2031-10-15      | Variable      | 2.68%                 | Yes           |                  2 | On Loan: No      |
| OTC EPUT AUD VS USD @ 0.625    GLM              | OTC EPUT AUD VS USD @ 0.625    GLM 0.00000000                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    462000 | NC      | $304.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UWM 2021-INV5 A1 V/R 01/25/52                   | UWM MORTGAGE TRUST 2021-INV5 SER 2021-INV5 CL A12 V/R REGD 144A P/P 3.00000000                   | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     79088 | PA      | $67454.57     | 0.04%             | 2052-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CSMC 2007-5R A5 6.5% 07/26/36                   | CSMC TRUST 2007-5R SER 2007-5R CL A5 REGD 6.50000000                                             | CUSIP: 12640QAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34400 | PA      | $7206.62      | 0.00%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD4998 5% 09/01/53                       | FREDDIE MAC POOL UMBS P#SD4998 5.00000000                                                        | CUSIP: 3132DSRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    574347 | PA      | $568738.42    | 0.32%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | THB/USD FWD 20251020 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $299.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RMUTKP02.25 09/17/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $13855.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.61 08/22/34 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $113.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS  4.875% 02/13/29                  | PHILIP MORRIS INTL INC REGD 4.87500000                                                           | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204328.54    | 0.11%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| VW CREDIT INC  DISC 09/10/25                    | VW CREDIT INC  DISC 09/10/25 0.00000000                                                          | CUSIP: 91842JWA3<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    250000 | PA      | $249709.38    | 0.14%             | 2025-09-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CWL 2007-9 2A4 V/R 02/25/36                     | CWABS ASSET-BACKED CERTIFICATES TRUST 2007-8 SER 2007-9 CL 2A4 V/R REGD 4.68703000               | CUSIP: 12670FAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    195603 | PA      | $189004.54    | 0.10%             | 2036-02-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R00.85PMUTK 09/20/33 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $-13275.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TR 2% 08/22/33/AUD/                  | QUEENSLAND TREASURY CORP /AUD/ REGD 2.00000000                                                   | CUSIP: Q7943QZ36<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |   1200000 | PA      | $647836.37    | 0.36%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ORO USD 10Y C 3.59800 L       09/22/25 BOA      | ORO USD 10Y C 3.59800 L       09/22/25 BOA 0.00000000                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -800000 | NC      | $-2834.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US T BILL ZCP 09/11/25                          | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797PW1<br>LEI: N/A                  | Long             | STIV             | UST               | US        |      3000 | PA      | $2996.46      | 0.00%             | 2025-09-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.93 03/24/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-5992.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ESC LEHMAN BR 0.0% 12/30/16                     | ESC LEHMAN BRTH HLD 0.00000000                                                                   | CUSIP: 525ESC0B6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1300.00      | 0.00%             | 2049-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R01.00PMUTK 03/19/32 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $-53144.79    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSO/NP04.50 09/17/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $4955.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TWD/USD FWD 20250930 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-5.79        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20250918 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $39.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R02.50PER6M 03/18/31 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $104676.16    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.375% 11/15/49                    | UNITED STATES TREASURY BOND 2.37500000                                                           | CUSIP: 912810SK5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    350000 | PA      | $221723.63    | 0.12%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| NHEL 2006-1 A2D V/R 05/25/36                    | NOVASTAR MORTGAGE FUNDING TRUST SERIES 2006-1 SER 2006-1 CL A2D V/R REGD 4.97703000              | CUSIP: 669884AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $388374.56    | 0.22%             | 2036-05-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| RAST 2006-R1 A2 V/R 01/25/46                    | RESIDENTIAL ASSET SECURITIZATION TRUST 2006-R1 SER 2006-R1 CL A2 V/R REGD 4.83703000             | CUSIP: 76113MAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36567 | PA      | $10151.93     | 0.01%             | 2046-01-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| F/C US 10YR NOTE (CBT)DEC25                     | FUTURE CONTRACT ON           US 10YR NOTE (CBT)DEC25 0.00000000                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        22 | NC      | $2475000.00   | 1.37%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20250922 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2848.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CHF/USD FWD 20250902 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1661.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DA 1% 10/01/50/DKK/                  | REALKREDIT DANMARK /DKK/ REGD REG S SER CCS 1.00000000                                           | CUSIP: K8094KWV1<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.13         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP04.02 05/15/26 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $1486.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | SEK/USD FWD 20251002 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4361.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#CB7220 5.5% 09/01/53                     | FANNIE MAE POOL UMBS P#CB7220 5.50000000                                                         | CUSIP: 3140QTAW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    528798 | PA      | $533629.33    | 0.30%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RKL3MP03.75 09/18/34 BPS LONG                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | MY        |         1 | NC      | $-10117.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IDR/USD FWD 20250917 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2379.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DRSLF 2018-55A A V/R 04/15/31                   | DRYDEN 55 CLO LTD SER 2018-55A CL A1 V/R REGD 144A P/P 5.59916000                                | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    141639 | PA      | $141774.84    | 0.08%             | 2031-04-15      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 04/25/35                  | GOLDMAN SACHS GROUP INC REGD V/R 5.85100000                                                      | CUSIP: 38141GA95<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $527317.76    | 0.29%             | 2035-04-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                             | JPY/USD FWD 20251002 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-31641.08    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20251030 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-127.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | INR/USD FWD 20250917 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1034.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SER V/R 01/29/36                  | PNC FINANCIAL SERVICES REGD V/R 5.57500000                                                       | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    600000 | PA      | $619422.53    | 0.34%             | 2036-01-29      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY V/R 09/11/30                   | DEUTSCHE BANK NY REGD V/R 4.99900000                                                             | CUSIP: 251526CX5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $711333.38    | 0.39%             | 2030-09-11      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.59 08/19/34 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $729.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | USD/ZAR FWD 20250918 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-911.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL 5.5% 03/12/34                   | STATE OF ISRAEL REGD SER 10Y 5.50000000                                                          | CUSIP: 46514BRL3<br>LEI: N/A                  | Long             | DBT              | USGA              | IL        |    300000 | PA      | $306537.88    | 0.17%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | NGN/USD FWD 20251003 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $359.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20250925 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3094.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | USD/ZAR FWD 20250918 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $852.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20250924 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4638.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MOR 3.25% 06/06/32/EUR/                  | PHILIP MORRIS INTL INC /EUR/ REGD 3.25000000                                                     | CUSIP: 718172DW6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    300000 | PA      | $348464.11    | 0.19%             | 2032-06-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WOODS 2018-12BA  V/R 06/15/31                   | NORTHWOODS CAPITAL XII-B LTD SER 2018-12BA CL AR V/R REGD 144A P/P 5.50847000                    | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    334623 | PA      | $334460.37    | 0.19%             | 2031-06-15      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IRS PSO/NR03.50 03/19/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $97655.77     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KRED 1.5% 10/01/50/DKK/                  | NORDEA KREDIT REALKREDIT /DKK/ REGD SER CC2 1.50000000                                           | CUSIP: K7S724GM3<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.16         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | SGD/USD FWD 20250902 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $305.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE O 4.45% 09/01/34/CAD/                  | PROVINCE OF QUEBEC /CAD/ REGD 4.45000000                                                         | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | USGA              | CA        |    500000 | PA      | $381372.71    | 0.21%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20251024 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $151.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CAD/USD FWD 20250902 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-30.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAUL 11A A V/R 01/17/32 /EUR/                  | ST PAULS CLO SER 11A CL AR V/R REGD 144A P/P /EUR/ 2.89200000                                    | CUSIP: G8524HAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    461350 | PA      | $539255.82    | 0.30%             | 2032-01-17      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | PLN/USD FWD 20251015 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1210.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#SD8463 6% 09/01/54                       | FREDDIE MAC POOL UMBS P#SD8463 6.00000000                                                        | CUSIP: 3132DWML4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1303070 | PA      | $1332782.05   | 0.74%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BONOS Y OBL 2.4% 05/31/28/EUR/                  | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 2.40000000                                                   | CUSIP: E4R46DAA3<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |   2200000 | PA      | $2586750.26   | 1.44%             | 2028-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| GNMA II P#4239 6% 09/20/38                      | GINNIE MAE II POOL P#4239 6.00000000                                                             | CUSIP: 36202EV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       958 | PA      | $979.10       | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | BRL/USD FWD 20250903 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $377.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.00 03/19/30 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $57237.21     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD @ 7.85 MBC                  | OTC ECAL USD VS HKD @ 7.85 MBC 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |   -198000 | NC      | $-139.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFRA 2020-NQM2 A V/R 04/25/65                   | MFA 2020-NQM2 TRUST SER 2020-NQM2 CL A1 V/R REGD 144A P/P 1.38100000                             | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     57406 | PA      | $56114.67     | 0.03%             | 2065-04-25      | Variable      | 1.38%                 | Yes           |                  2 | On Loan: No      |
| US TREAS BDS 1.875% 02/15/41                    | UNITED STATES TREASURY BOND 1.87500000                                                           | CUSIP: 912810SW9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1100000 | PA      | $756250.00    | 0.42%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#DB6905 6% 07/01/54                       | FANNIE MAE POOL UMBS P#DB6905 6.00000000                                                         | CUSIP: 3140AGU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    191835 | PA      | $196124.83    | 0.11%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | EUR/HUF FWD 20251001 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1036.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | KRW/USD FWD 20250929 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $354.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC O 6.95% 08/12/31/PEN/                  | REPUBLIC OF PERU /PEN/ REGD REG S 6.95000000                                                     | CUSIP: 715638BE1<br>LEI: N/A                  | Long             | DBT              | USGA              | PE        |   2321000 | PA      | $721849.55    | 0.40%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                             | INR/USD FWD 20250917 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1299.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 04/25/30                  | GOLDMAN SACHS GROUP INC REGD V/R 5.72700000                                                      | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    600000 | PA      | $628411.49    | 0.35%             | 2030-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R04.25PBW6M 09/17/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |         1 | NC      | $9305.23      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.83 06/30/31 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-29971.53    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CDX 2I65BYEG6 01.000 SP 12/20/2029 BARCUS3BXXX FIXED                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $19096.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RCAONP03.25 12/18/34 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $-2866.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KI 0.625% 10/22/50/GBP/                  | UNITED KINGDOM GILT /GBP/ REGD REG S 0.62500000                                                  | CUSIP: G4527HSJ1<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |   1400000 | PA      | $651687.44    | 0.36%             | 2050-10-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT 1% 10/01/50/DKK/                  | NORDEA KREDIT REALKREDIT /DKK/ REGD REG S SER CC2 1.00000000                                     | CUSIP: K7S724GQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         3 | PA      | $0.39         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | KZT/USD FWD 20250911 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3400.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAFC 2006 A 1A1 V/R 2/20/36                     | BANC OF AMERICA FUNDING CORPORATION SEREIS 2006 A CLASS 1A1 6.24348000                           | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4272 | PA      | $4068.00      | 0.00%             | 2036-02-20      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CAD/USD FWD 20250902 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $433.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#SD8369 6.5% 10/01/53                     | FREDDIE MAC POOL UMBS P#SD8369 6.50000000                                                        | CUSIP: 3132DWJN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2811060 | PA      | $2920090.36   | 1.62%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC4 S/UP 11/25/58                   | PRKCM 2023-AFC4 TRUST SER 2023-AFC4 CL A1 S/UP REGD 144A P/P 7.22500000                          | CUSIP: 69380GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    336883 | PA      | $342395.63    | 0.19%             | 2058-11-25      | Variable      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | PEN/USD FWD 20251217 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-934.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR 2005-AR7 2A1 V/R 11/25/35                   | GSR MORTGAGE LOAN TRUST 2005-AR7 SER 2005-AR7 CL 2A1 V/R REGD 4.97999100                         | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28202 | PA      | $27259.49     | 0.02%             | 2035-11-01      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| OTC EPUT EUR VS USD DIGI 1.1 GLM                | OTC EPUT EUR VS USD DIGI 1.1 GLM 0.00000000                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     45500 | NC      | $2315.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | NZD/USD FWD 20251002 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1127.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE 2025-RPL1  V/R 05/25/64                   | CHASE HOME LENDING MORTGAGE TRUST 2025-RPL1 SER 2025-RPL1 CL A1A V/R REGD 144A P/P 3.37500000    | CUSIP: 16160VAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    593561 | PA      | $540839.76    | 0.30%             | 2064-05-25      | Variable      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IRS R01.71PCAON 10/02/29 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $-11672.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | ILS/USD FWD 20251113 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-5924.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TRS SOFRINDX/IBOXIG INDX 09/22/25 JPM /LONG/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-151310.27   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | JPY/USD FWD 20250902 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $11527.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNR 2024-90 FA V/R 12/25/54                     | FANNIE MAE REMICS SER 2024-90 CL FA V/R 5.84839000                                               | CUSIP: 3136BTXB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    872100 | PA      | $881955.10    | 0.49%             | 2054-12-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.50 09/17/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $30188.31     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S V/R 01/09/36                  | CREDIT AGRICOLE SA REGD V/R 144A P/P MTN 5.86200000                                              | CUSIP: 22535WAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |    800000 | PA      | $831224.82    | 0.46%             | 2036-01-09      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | SGD/USD FWD 20250902 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $18421.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#QH5912 6.5% 11/01/53                     | FREDDIE MAC POOL UMBS P#QH5912 6.50000000                                                        | CUSIP: 3133CJR94<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     66660 | PA      | $69283.20     | 0.04%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HVMLT 2005-3 2A1 V/R 06/19/35                   | HARBORVIEW MORTGAGE LOAN TRUST 2005-3 SER 2005-3 CL 2A1A V/R REGD 4.94773000                     | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11351 | PA      | $11094.36     | 0.01%             | 2035-06-19      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                             | ILS/USD FWD 20251113 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-633.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.25 06/18/27 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $12687.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 4.5% OCT 25                       | FNMA 30YR TBA 4.5% OCT 25      TO BE ANNOUNCED 4.50000000                                        | CUSIP: 01F0426A6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -1963000 | PA      | $-1887028.52  | -1.05%            | 2055-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BAN V/R 03/18/27                  | GOLDMAN SACHS BANK USA REGD V/R SER BKNT 5.28300000                                              | CUSIP: 38151LAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $100464.97    | 0.06%             | 2027-03-18      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSO/NP03.75 03/19/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $107439.94    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMMT 2021-INV4  V/R 08/25/44                   | JP MORGAN MORTGAGE TRUST 2021-INV4 SER 2021-INV4 CL A2 V/R REGD 144A P/P 3.00000000              | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    875940 | PA      | $748550.37    | 0.42%             | 2052-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JAPAN (30 Y 1.8% 03/20/54/JPY/                  | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 82 1.80000000                                               | CUSIP: J2S39LY81<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        | 152000000 | PA      | $778987.23    | 0.43%             | 2054-03-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.93 06/25/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $9446.01      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | DKK/USD FWD 20250902 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $12534.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R03.89PCAON 06/19/26 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $23657.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | PLN/USD FWD 20251015 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $660.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS P03.75RSOFR 09/17/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $17451.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HVMLT 2007-1 2A1 V/R 03/19/37                   | HARBORVIEW MORTGAGE LOAN TRUST 2007-1 SER 2007-1 CL 2A1A V/R REGD 4.72773000                     | CUSIP: 41164MAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     51614 | PA      | $47809.67     | 0.03%             | 2037-03-19      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| ROMANIA 2.75% 04/14/41/EUR/                     | ROMANIA /EUR/ REGD P/P 2.75000000                                                                | CUSIP: X7360WBU5<br>LEI: N/A                  | Long             | DBT              | USGA              | RO        |     50000 | PA      | $37680.76     | 0.02%             | 2041-04-14      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | KZT/USD FWD 20250924 000001394 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $149.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI INTERNAT 4.875% 07/18/33                  | SAUDI INTERNATIONAL BOND REGD 144A P/P MTN 4.87500000                                            | CUSIP: 80413TBD0<br>LEI: N/A                  | Long             | DBT              | USGA              | SA        |    200000 | PA      | $202746.79    | 0.11%             | 2033-07-18      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| UNITED KING 3.5% 01/22/45/GBP/                  | UNITED KINGDOM GILT /GBP/ REGD REG S 3.50000000                                                  | CUSIP: G4527HDA6<br>LEI: N/A                  | Long             | DBT              | NUSS              | GB        |    700000 | PA      | $726430.92    | 0.40%             | 2045-01-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OOMLT 2007-CP1 1 V/R 03/25/37                   | OPTION ONE MORTGAGE LOAN TRUST 2007-CP1 SER 2007-CP1 CL 1A1 V/R REGD 4.57703000                  | CUSIP: 68402YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     45780 | PA      | $41972.78     | 0.02%             | 2037-03-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHR 5513 MF V/R 11/25/54                        | FREDDIE MAC REMICS SER 5513 CL MF V/R 5.28839000                                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    830929 | PA      | $835706.88    | 0.46%             | 2054-11-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| UMBS P#AC1317 4.5% 09/01/34                     | FANNIE MAE POOL UMBS P#AC1317 4.50000000                                                         | CUSIP: 31417KPB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30378 | PA      | $30114.04     | 0.02%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELO 4.5% 05/06/30                  | ABU DHABI DEVELOPMENT HO REGD 144A P/P MTN 4.50000000                                            | CUSIP: 00402AAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |    200000 | PA      | $202104.44    | 0.11%             | 2030-05-06      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP04.06 06/26/55 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $784.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20250922 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $207.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS SEK 10.2 BRC                    | OTC ECAL USD VS SEK 10.2 BRC 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    369000 | NC      | $642.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TRS SOFRINDX/IBOXIG INDX 12/22/25 BPS /LONG/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $-182294.03   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (20 Y 0.4% 06/20/40/JPY/                  | JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 173 0.40000000                                              | CUSIP: J2S39LDF8<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        | 100000000 | PA      | $528378.37    | 0.29%             | 2040-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CCS USD R USSOFR/JPYMUTKCALM -45.9 GLM /LONG/                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3602753.41   | 2.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG V/R 01/12/29                       | UBS GROUP AG REGD V/R 144A P/P 3.86900000                                                        | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $247615.32    | 0.14%             | 2029-01-12      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | IRS R00.45PER6M 05/27/50 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $-78614.46    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CWHL 2007-4 1A47 6% 05/25/37                    | CHL MORTGAGE PASS-THROUGH TRUST 2007-4 SER 2007-4 CL 1A47 REGD 6.00000000                        | CUSIP: 12544RBY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    490277 | PA      | $207906.79    | 0.12%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20250917 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2180.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20250911 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN 1.75% 06/21/51/AUD/                  | AUSTRALIAN GOVERNMENT /AUD/ REGD SER 162 1.75000000                                              | CUSIP: Q08184NC5<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |     50000 | PA      | $17292.91     | 0.01%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                             | SEK/USD FWD 20251002 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $235.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CHF/USD FWD 20251002 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $4287.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | GBP/USD FWD 20250902 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3777.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20251212 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $891.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WI TREASURY SE 4.375% 05/15/34                  | UNITED STATES TREASURY NOTE 4.37500000                                                           | CUSIP: 91282CKQ3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    400000 | PA      | $407804.69    | 0.23%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| F/C JPN 10Y BOND(OSE) SEP25                     | FUTURE CONTRACT ON           JPN 10Y BOND(OSE) SEP25 /JPY/ 0.00000000                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | JP        |       -18 | NC      | $-16848509.60 | -9.35%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                             | IRS R04.07PSOFR 11/15/53 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-846.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHR 2391 FJ V/R 04/15/28                        | FREDDIE MAC REMICS SER 2391 CL FJ V/R 4.95718000                                                 | CUSIP: 31339LU24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2815 | PA      | $2812.80      | 0.00%             | 2028-04-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                             | KRW/USD FWD 20250930 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $328.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREAS BDS 4.5% 11/15/54                      | UNITED STATES TREASURY BOND 4.50000000                                                           | CUSIP: 912810UE6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3900000 | PA      | $3643910.17   | 2.02%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REALKREDIT  1.5% 10/01/53/DKK/                  | REALKREDIT DANMARK /DKK/ REGD REG S SER 27S 1.50000000                                           | CUSIP: K8094KZJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.24         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA5217 6.5% 12/01/53                     | FANNIE MAE POOL UMBS P#MA5217 6.50000000                                                         | CUSIP: 31418EYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3820185 | PA      | $3959584.85   | 2.20%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA V/R 10/19/27                            | BPCE SA REGD V/R 144A P/P 6.61200000                                                             | CUSIP: 05571AAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |    400000 | PA      | $409129.83    | 0.23%             | 2027-10-19      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| UMBS P#BV4128 2% 03/01/52                       | FANNIE MAE POOL UMBS P#BV4128 2.00000000                                                         | CUSIP: 3140MHSS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    400200 | PA      | $320435.93    | 0.18%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | JPY/USD FWD 20251002 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-164.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS PSO/NR04.50 03/18/56 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $37254.33     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II P#MA8098 3% 06/20/52                    | GINNIE MAE II POOL P#MA8098 3.00000000                                                           | CUSIP: 36179W7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2336647 | PA      | $2073786.81   | 1.15%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | BRL/USD FWD 20250903 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $38565.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RCAONP03.25 12/20/33 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $-41544.78    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| US TIPS 0.625% 07/15/32                         | UNITED STATES TREASURY INFLATION INDEXED BONDS 0.62500000                                        | CUSIP: 91282CEZ0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    111018 | PA      | $105422.95    | 0.06%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| WAMU 02-AR9 1A V/R 8/25/42                      | WAMU 02-AR9 1A V/R 8/25/42 5.62183000                                                            | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      2997 | PA      | $2905.47      | 0.00%             | 2042-08-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS P03.00RER6M 03/18/56 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $20507.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#FM3243 3.5% 02/01/50                     | FANNIE MAE POOL UMBS P#FM3243 3.50000000                                                         | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48666 | PA      | $44529.14     | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSO/NP04.00 09/17/35 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $4360.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP04.10 11/15/52 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-537.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RCAONP03.75 12/20/33 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $-22105.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KRED 1.5% 10/01/53/DKK/                  | NORDEA KREDIT REALKREDIT /DKK/ REGD 1.50000000                                                   | CUSIP: K7S724JW8<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |        10 | PA      | $1.08         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ORO USD 10Y P 3.89700 L 09/26/25 GLM            | ORO USD 10Y P 3.89700 L 09/26/25 GLM 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -400000 | NC      | $-657.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CHF/USD FWD 20250902 000004608 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1162.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LU 5.5% 08/17/30                  | EAGLE FUNDING LUXCO SARL REGD 144A P/P 5.50000000                                                | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | USGA              | LU        |   1000000 | PA      | $1015810.00   | 0.56%             | 2030-08-17      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | BRL/USD FWD 20260402 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-12348.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20251016 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $547.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 07/23/35                  | GOLDMAN SACHS GROUP INC REGD V/R 5.33000000                                                      | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $406831.54    | 0.23%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GR V/R 06/05/30                  | LLOYDS BANKING GROUP PLC REGD V/R 5.72100000                                                     | CUSIP: 53944YBA0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $313882.90    | 0.17%             | 2030-06-05      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| COLFR 1A AR V/R 08/15/33 /EUR/                  | CVC CORDATUS OPPORTUNITY LOAN FUND-R DAC SER 1A CL AR V/R REGD 144A P/P /EUR/ 2.87600000         | CUSIP: N/A<br>LEI: 635400C8SJP8XE4FXA57       | Long             | ABS-CBDO         | CORP              | IE        |    461383 | PA      | $540039.07    | 0.30%             | 2033-08-15      | Variable      | 2.88%                 | Yes           |                  2 | On Loan: No      |
| OTC EPUT EUR VS USD DIGI @ 1.122 BPS 10/14/2025 | OTC EPUT EUR VS USD DIGI @ 1.122 BPS 10/14/2025 0.00000000                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |     19000 | NC      | $991.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R02.75PER6M 03/18/36 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $663.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IDR/USD FWD 20250917 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1006.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II P#MB0022 3.5% 11/20/54                  | GINNIE MAE II POOL P#MB0022 3.50000000                                                           | CUSIP: 3618N5AY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    498768 | PA      | $454895.34    | 0.25%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRET 2021-RN3 A1 V/R 09/25/51                   | PRET 2021-RN3 LLC SER 2021-RN3 CL A1 V/R REGD 144A P/P 4.84290000                                | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    216745 | PA      | $216884.64    | 0.12%             | 2051-09-25      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| US TREAS BDS 1.375% 11/15/40                    | UNITED STATES TREASURY BOND 1.37500000                                                           | CUSIP: 912810ST6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    200000 | PA      | $127500.00    | 0.07%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS TRY 53.5 GLM                    | OTC ECAL USD VS TRY 53.5 GLM 0.00000000                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |   -291000 | NC      | $-3524.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 4.4% 03/01/32                  | PACIFIC GAS & ELECTRIC REGD 4.40000000                                                           | CUSIP: 694308KC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $193253.31    | 0.11%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CHF/USD FWD 20250902 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3026.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS TBA 30YR 2% SEP 25                         | UMBS TBA 30YR 2% SEP 25        TO BE ANNOUNCED 2.00000000                                        | CUSIP: 01F020695<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -17750000 | PA      | $-14113520.40 | -7.83%            | 2055-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDING 2.329% 01/22/27                  | NOMURA HOLDINGS INC REGD 2.32900000                                                              | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $194694.13    | 0.11%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| N/A                                             | KZT/USD FWD 20250911 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-840.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | KZT/USD FWD 20251112 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $123.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RCAONP02.88 09/01/33 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $950.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | AUD/USD FWD 20250902 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1046.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | AUD/USD FWD 20250902 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $44004.62     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU 2006-AR13 2 V/R 10/25/46                   | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2006-AR13 SER 2006-AR13 CL 2A V/R REGD 5.72183000 | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28368 | PA      | $26754.13     | 0.01%             | 2046-10-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| CWHL 2005-3 2A1 V/R 4/25/35                     | CWHL 2005-3 2A1 V/R 4/25/35 5.01703000                                                           | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       454 | PA      | $439.47       | 0.00%             | 2035-04-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R04.50PBW6M 09/17/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |         1 | NC      | $28882.31     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT RE 1.5% 10/01/50/DKK/                  | NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01E 1.50000000                                       | CUSIP: K74181V86<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.15         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | KZT/USD FWD 20251028 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $345.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAMI 2005-AR8 A1 V/R 02/25/36                   | STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2005-AR8 SER 2005-AR8 CL A1A V/R REGD 4.99703000  | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18573 | PA      | $15517.25     | 0.01%             | 2036-02-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GMACM 2005-AR6 3 V/R 11/19/35                   | GMACM MORTGAGE LOAN TRUST 2005-AR6 SER 2005-AR6 CL 3A1 V/R REGD 3.84539400                       | CUSIP: 36185MBL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      6529 | PA      | $5708.04      | 0.00%             | 2035-11-19      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CNY/USD FWD 20251028 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1146.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20251217 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $915.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | EUR/USD FWD 20250902 000006038 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $11671.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI  5.2% 03/07/29                  | SUMITOMO MITSUI TR BK LT REGD 144A P/P MTN 5.20000000                                            | CUSIP: 86563VBQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |    200000 | PA      | $206415.77    | 0.11%             | 2029-03-07      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| ORO USD 10Y C 3.52300 L 09/08/25 BOA            | ORO USD 10Y C 3.52300 L 09/08/25 BOA 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -500000 | NC      | $-242.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRO EUR 10Y C 2.51000 L 09/15/25 BRC            | IRO EUR 10Y C 2.51000 L 09/15/25 BRC 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -300000 | NC      | $-169.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R04.00PSO/N 03/17/28 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $89565.01     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | PEN/USD FWD 20250917 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-12398.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVE 1.92% 01/15/55/CNY/                  | CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 1.92000000                                             | CUSIP: Y603FQAA8<br>LEI: N/A                  | Long             | DBT              | USGA              | CN        |    600000 | PA      | $80698.35     | 0.04%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R02.85PCAON 09/01/29 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $6273.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC EPUT AUD VS USD @ 0.6175   MBC 10/10/2025   | OTC EPUT AUD VS USD @ 0.6175   MBC 10/10/2025 0.00000000                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |    542000 | NC      | $216.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | MXN/USD FWD 20251217 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3005.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.95 11/15/54 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $9732.99      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R03.37PER6M 10/09/28 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $47408.19     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II 30 YR TBA 2.5% SEPT 25                  | GNMA II 30 YR TBA 2.5% SEPT 25 TO BE ANNOUNCED 2.50000000                                        | CUSIP: 21H022697<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    700000 | PA      | $596887.68    | 0.33%             | 2055-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | EUR/USD FWD 20250902 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $31070.84     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 4.0% OCT 25                       | FNMA 30YR TBA 4.0% OCT 25     TO BE ANNOUNCED 4.00000000                                         | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    344000 | PA      | $321049.24    | 0.18%             | 2055-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REAL 1% 10/01/50/DKK/                  | NYKREDIT REALKREDIT AS /DKK/ REGD REG S SER 01EE 1.00000000                                      | CUSIP: K74181Y26<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |         3 | PA      | $0.32         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S V/R 10/02/30                    | DANSKE BANK A/S REGD V/R 144A P/P 4.61300000                                                     | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    600000 | PA      | $604391.56    | 0.34%             | 2030-10-02      | Variable      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| WAMU 2006-AR10 2 V/R 09/25/36                   | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2006- SER 2006-AR10 CL 2A1 V/R REGD 4.25364200    | CUSIP: 93363EAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18348 | PA      | $15698.72     | 0.01%             | 2036-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| VOYA 2017-1A A1R V/R 04/17/30                   | VOYA CLO 2017-1 LTD SER 2017-1A CL A1R V/R REGD 144A P/P 5.53401000                              | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     21540 | PA      | $21535.79     | 0.01%             | 2030-04-17      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| CWALT 2007-7T2 A9 6% 04/25/37                   | ALTERNATIVE LOAN TRUST 2007-7T2 SER 2007-7T2 CL A9 REGD 6.00000000                               | CUSIP: 02147BAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25461 | PA      | $10635.95     | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30YR TBA 3% 9/01/2025                  | FNMA TBA 30YR TBA 3% 9/01/2025 TO BE ANNOUNCED 3.00000000                                        | CUSIP: 01F030694<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -2500000 | PA      | $-2167365.78  | -1.20%            | 2055-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR TBA 6.5% OCT 25                      | GNMA 30 YR TBA 6.5% OCT 25     TO BE ANNOUNCED 6.50000000                                        | CUSIP: 21H0626A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1800000 | PA      | $1850229.18   | 1.03%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | PEN/USD FWD 20250917 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $599.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OTC ECAL USD VS HKD @ 7.85 BOA                  | OTC ECAL USD VS HKD @ 7.85 BOA 0.00000000                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              | CORP              | US        |   -422000 | NC      | $-286.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20250912 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $396.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | INR/USD FWD 20250912 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3370.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#FM1796 3.5% 10/01/34                     | FANNIE MAE POOL UMBS P#FM1796 3.50000000                                                         | CUSIP: 3140X47J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14517 | PA      | $14299.05     | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP02.96 11/30/26 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $127799.59    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R03.75PNF3F 06/15/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | NZ        |         1 | NC      | $8821.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R00.25PMUTK 03/15/32 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $-20293.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ALBA 2007-1 V/R 03/17/39 /GBP/                  | ALBA 2007-1 PLC SER 2007-1 CL A3 V/R REGD REG S /GBP/ 4.47160000                                 | CUSIP: G021A3AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |    150012 | PA      | $199928.57    | 0.11%             | 2039-03-17      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.62 11/30/29 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-115909.71   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD 5.4% 08/08/28                   | SANDS CHINA LTD REGD SER WI 5.40000000                                                           | CUSIP: 80007RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | MO        |    200000 | PA      | $203953.00    | 0.11%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSO/NP04.00 03/18/36 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         1 | NC      | $16158.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.75 06/20/31 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-7179.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IDR/USD FWD 20250912 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3307.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | JPY/USD FWD 20250902 000001538 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-21404.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CDS US50064FAM68 01.000 BP 06/20/2030 GSILGB2XXXX LONG                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-15059.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#MA5071 5% 07/01/53                       | FANNIE MAE POOL UMBS P#MA5071 5.00000000                                                         | CUSIP: 31418ET59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     91922 | PA      | $90962.35     | 0.05%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PO 4.625% 03/18/29                  | REPUBLIC OF POLAND REGD SER 5Y 4.62500000                                                        | CUSIP: 731011AX0<br>LEI: N/A                  | Long             | DBT              | USGA              | PL        |    200000 | PA      | $203475.62    | 0.11%             | 2029-03-18      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BLUEM 2016-3A A1 V/R 11/15/30                   | BLUEMOUNTAIN CLO 2016-3 LTD SER 2016-3A CL A1R2 V/R REGD 144A P/P 5.41138000                     | CUSIP: 09628VAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    213451 | PA      | $213602.26    | 0.12%             | 2030-11-15      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | SEK/USD FWD 20251002 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $482.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R03.50PBW6M 03/18/31 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |         1 | NC      | $-147147.67   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RER6MP03.00 03/15/33 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $-44577.09    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | EUR/USD FWD 20250902 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4224.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | NZD/USD FWD 20250902 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1086.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RCAONP03.00 06/01/34 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         1 | NC      | $-384.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IDR/USD FWD 20250930 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1237.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINI 4.814% 07/16/27                  | TORONTO-DOMINION BANK REGD 144A P/P 4.81400000                                                   | CUSIP: 891160TE3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    700000 | PA      | $712037.51    | 0.40%             | 2027-07-16      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| NATIONWIDE BLDG S V/R 02/16/28                  | NATIONWIDE BLDG SOCIETY REGD V/R 144A P/P MTN 2.97200000                                         | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $294156.92    | 0.16%             | 2028-02-16      | Variable      | 2.97%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | BRL/USD FWD 20260402 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2415.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA  2.632% 04/15/31/MYR/                  | MALAYSIA GOVERNMENT /MYR/ REGD SER 0220 2.63200000                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | USGA              | MY        |    900000 | PA      | $206464.27    | 0.11%             | 2031-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| FNR 2006-48 TF V/R 06/25/36                     | FANNIE MAE REMICS SER 2006-48 CL TF V/R 4.86287000                                               | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3443 | PA      | $3419.13      | 0.00%             | 2036-06-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| JPMMT 2022-LTV2  V/R 09/25/52                   | J.P. MORGAN MORTGAGE TRUST 2022-LTV2 SER 2022-LTV2 CL A3 V/R REGD 144A P/P 3.50000000            | CUSIP: 46655LAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    712266 | PA      | $632393.49    | 0.35%             | 2052-09-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| RAST 2005-A15  5.75% 02/25/36                   | RESIDENTIAL ASSET SECURITIZATION TRUST 2005-A15 SER 2005-A15 CL 5A1 REGD 5.75000000              | CUSIP: 45660L4G1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13319 | PA      | $4408.18      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R00.70PER6M 04/11/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $-6471.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RC R/P DEUTSC  4.460% 09/03/25                  | RC R/P DEUTSC  4.460% 09/03/25 4.46000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -127000 | PA      | $-127000.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW S WALE 1.75% 03/20/34/AUD/                  | NEW S WALES TREASURY CRP /AUD/ REGD REG S 1.75000000                                             | CUSIP: Q6715P7E3<br>LEI: N/A                  | Long             | DBT              | USGA              | AU        |   1200000 | PA      | $621982.93    | 0.35%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PO 5.125% 09/18/34                  | REPUBLIC OF POLAND REGD SER 10Y 5.12500000                                                       | CUSIP: 731011AY8<br>LEI: N/A                  | Long             | DBT              | USGA              | PL        |    100000 | PA      | $101099.34    | 0.06%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA8043 3% 05/20/52                    | GINNIE MAE II POOL P#MA8043 3.00000000                                                           | CUSIP: 36179W5C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    479065 | PA      | $425172.62    | 0.24%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 0.7% 12/20/51/JPY/                  | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 73 0.70000000                                               | CUSIP: J2S39LSJ4<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        | 180000000 | PA      | $708535.89    | 0.39%             | 2051-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 5% SEP 25                         | FNMA 30YR TBA 5% SEP 25        TO BE ANNOUNCED 5.00000000                                        | CUSIP: 01F050692<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -3500000 | PA      | $-3452285.69  | -1.92%            | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 Y 2.2% 06/20/54/JPY/                  | JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 83 2.20000000                                               | CUSIP: J2S39L3F9<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        | 202000000 | PA      | $1135492.15   | 0.63%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R03.98PSOFR 11/30/27 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $37167.37     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIA 4.125% 07/18/45/EUR/                   | BULGARIA /EUR/ REGD REG S SER 20Y 4.12500000                                                     | CUSIP: X0R483BH4<br>LEI: N/A                  | Long             | DBT              | USGA              | BG        |    200000 | PA      | $228146.59    | 0.13%             | 2045-07-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                             | SGD/USD FWD 20250902 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2913.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.90 08/15/26 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-1646.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI INT 3.375% 03/05/32/EUR/                  | SAUDI INTERNATIONAL BOND /EUR/ REGD 144A P/P 3.37500000                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | USGA              | SA        |    500000 | PA      | $591434.20    | 0.33%             | 2032-03-05      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| GA GLOBAL FUNDI 2.25% 01/06/27                  | GA GLOBAL FUNDING TRUST REGD 144A P/P 2.25000000                                                 | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    150000 | PA      | $145771.68    | 0.08%             | 2027-01-06      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| UMBS P#QF1922 4.5% 10/01/52                     | FREDDIE MAC POOL UMBS P#QF1922 4.50000000                                                        | CUSIP: 3133BPD39<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    334918 | PA      | $324120.19    | 0.18%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | PEN/USD FWD 20250917 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2147.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | TRY/USD FWD 20251006 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2958.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| P/O EURO-BUND OPTION OCT25 127                  | PUT OPTION ON EURO-BUND OPTION OCT25 127 /EUR/ 0.00000000                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | DE        |        -2 | NC      | $-491.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TPMF 2024-G V/R 10/20/29 /GBP/                  | TOWD POINT MORTGAGE FUNDING 2024 - GRA SER 2024-GR6A CL A1 V/R REGD 144A P/P /GBP/ 5.05469000    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |    360488 | PA      | $488779.57    | 0.27%             | 2053-07-20      | Variable      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| BONOS Y OBL 2.5% 05/31/27/EUR/                  | BONOS Y OBLIG DEL ESTADO /EUR/ REGD 2.50000000                                                   | CUSIP: E8922APD6<br>LEI: N/A                  | Long             | DBT              | USGA              | ES        |    600000 | PA      | $707523.99    | 0.39%             | 2027-05-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QI1359 5% 03/01/54                       | FREDDIE MAC POOL UMBS P#QI1359 5.00000000                                                        | CUSIP: 3133W7QL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     68051 | PA      | $67421.73     | 0.04%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS P03.75RSOFR 09/17/27 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $71402.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (20 YEA 1% 12/20/35/JPY/                  | JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 155 1.00000000                                              | CUSIP: J2S39KLV6<br>LEI: N/A                  | Long             | DBT              | USGA              | JP        | 200000000 | PA      | $1277178.74   | 0.71%             | 2035-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL V/R 12/31/49                    | CASH COLLATERAL USD 4.23000000                                                                   | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             | CORP              | US        |   -260000 | PA      | $-260000.00   | -0.14%            | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA6433 2.5% 12/01/51                     | FREDDIE MAC POOL UMBS P#RA6433 2.50000000                                                        | CUSIP: 3133KNEE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    351948 | PA      | $292921.06    | 0.16%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | CCS USD R USSOFR/JPYMUTKCALM  -42 GST /LONG/                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $17478189.03  | 9.70%             |  |  |  | No            |                  2 | On Loan: No      |
| JNS LANG LAS F  DISC  09/04/25                  | JNS LANG LAS F  DISC  09/04/25 0.00000000                                                        | CUSIP: 48002AW42<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    450000 | PA      | $449823.75    | 0.25%             | 2025-09-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA 1.75% 07/13/30/EUR/                     | ROMANIA /EUR/ REGD 144A P/P MTN 1.75000000                                                       | CUSIP: X7360WBW1<br>LEI: N/A                  | Long             | DBT              | USGA              | RO        |    200000 | PA      | $205340.63    | 0.11%             | 2030-07-13      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                             | GBP/USD FWD 20250902 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-655.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R01.00PMUTK 06/19/44 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |         1 | NC      | $-269107.84   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R02.34PER6M 01/10/30 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         1 | NC      | $61400.82     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | INR/USD FWD 20250917 000015298 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-5074.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#RJ1757 5% 06/01/54                       | FREDDIE MAC POOL UMBS P#RJ1757 5.00000000                                                        | CUSIP: 3142GR5T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     71797 | PA      | $71389.67     | 0.04%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QI5805 5% 05/01/54                       | FREDDIE MAC POOL UMBS P#QI5805 5.00000000                                                        | CUSIP: 3133WCNW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22571 | PA      | $22356.87     | 0.01%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | SEK/USD FWD 20250902 000009049 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3683.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | PEN/USD FWD 20250910 000011091 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-10260.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | GBP/USD FWD 20250902 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-50117.30    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MON 0.875% 10/08/26/EUR/                  | BANCA MONTE DEI PASCHI S /EUR/ REGD REG S 0.87500000                                             | CUSIP: T1188BJA5<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    100000 | PA      | $115423.57    | 0.06%             | 2026-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                             | EUR/USD FWD 20250902 000011553 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2065.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II P#MA7937 3% 03/20/52                    | GINNIE MAE II POOL P#MA7937 3.00000000                                                           | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1034281 | PA      | $917929.53    | 0.51%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | KZT/USD FWD 20251118 000003534 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $157.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CAD/USD FWD 20251002 000004334 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-27562.33    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS P#MA5073 6% 07/01/53                       | FANNIE MAE POOL UMBS P#MA5073 6.00000000                                                         | CUSIP: 31418ET75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5743097 | PA      | $5882191.98   | 3.26%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP04.12 11/15/54 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $-3927.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONTARIO (P 3.65% 06/02/33/CAD/                  | ONTARIO (PROVINCE OF) /CAD/ REGD 3.65000000                                                      | CUSIP: 68333ZAY3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | USGA              | CA        |    700000 | PA      | $510801.19    | 0.28%             | 2033-06-02      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD8384 6% 12/01/53                       | FREDDIE MAC POOL UMBS P#SD8384 6.00000000                                                        | CUSIP: 3132DWJ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    358328 | PA      | $366677.73    | 0.20%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MLMI 2003-A2 1A1 V/R 02/25/33                   | MERRILL LYNCH MORTGAGE INVESTORS TRUST MLMI SERI SER 2003-A2 CL 1A1 V/R REGD 6.05578500          | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1497 | PA      | $1392.89      | 0.00%             | 2033-02-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 01/24/36                  | JPMORGAN CHASE & CO REGD V/R 5.50200000                                                          | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    400000 | PA      | $413313.75    | 0.23%             | 2036-01-24      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R00.30PSS1D 02/15/27 BARC FIXED                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CH        |         1 | NC      | $1691.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAMI 2005-AR2 2A V/R 05/25/45                   | STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2005-AR2 SER 2005-AR2 CL 2A1 V/R REGD 4.89703000  | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17909 | PA      | $16989.07     | 0.01%             | 2045-05-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                             | BRL/USD FWD 20250903 000004066 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $699.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.50 06/20/54 BARCUS3BXXX FLOAT                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $30702.11     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | IRS R04.50PBW6M 03/19/35 BARCUS3BXXX FIXED                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |         1 | NC      | $89718.79     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | ILS/USD FWD 20251015 000000642 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $849.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVE 2.04% 11/25/34/CNY/                  | CHINA GOVERNMENT BOND /CNY/ REGD SER INBK 2.04000000                                             | CUSIP: Y6S39BAK6<br>LEI: N/A                  | Long             | DBT              | USGA              | CN        |   5300000 | PA      | $758209.06    | 0.42%             | 2034-11-25      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| US T BILL ZCP 12/09/25                          | UNITED STATES TREASURY BILL ZCP 0.00000000                                                       | CUSIP: 912797RW9<br>LEI: N/A                  | Long             | STIV             | UST               | US        |     25000 | PA      | $24720.74     | 0.01%             | 2025-12-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | KZT/USD FWD 20251020 000000902 USD                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $43.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA 30YR TBA 5% OCT 25                         | FNMA 30YR TBA 5% OCT 25        TO BE ANNOUNCED 5.00000000                                        | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12800000 | PA      | $12614501.89  | 7.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | IRS RSOFRP03.80 02/15/55 BARC FLOAT                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $10231.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 03/13/28                  | HSBC HOLDINGS PLC REGD V/R 4.04100000                                                            | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $199264.12    | 0.11%             | 2028-03-13      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF S 8% 01/31/30/ZAR/                  | REPUBLIC OF SOUTH AFRICA /ZAR/ REGD SER 2030 8.00000000                                          | CUSIP: S69124VP7<br>LEI: N/A                  | Long             | DBT              | USGA              | ZA        |   8800000 | PA      | $497308.68    | 0.28%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SINGAPORE 2.375% 07/01/39/SGD/                  | SINGAPORE GOVERNMENT /SGD/ REGD 2.37500000                                                       | CUSIP: Y280CEAP2<br>LEI: N/A                  | Long             | DBT              | USGA              | SG        |     47000 | PA      | $38629.38     | 0.02%             | 2039-07-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| IRO EUR 10Y P 2.75000 L 09/15/25 BRC            | IRO EUR 10Y P 2.75000 L 09/15/25 BRC 0.00000000                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -300000 | NC      | $-557.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

**Name of Applicant:** Morgan Stanley Pathway Funds

**Signature:** Francis Smith

**Name of Signer:** Francis Smith

**Title:** Chief Financial Officer