# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004423
**Filing Date:** 2025-11
**Character Count:** 460143
**Document Hash:** ad0b7100289ac5e9e26e95dde92da56f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004423.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004423

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528235

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

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

## Series and Classes Contracts Data

### PIMCO Real Return Fund (Series ID: S000009700)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026606 | Institutional  | PRRIX           |
| C000026607 | Administrative | PARRX           |
| C000026608 | A              | PRTNX           |
| C000026610 | C              | PRTCX           |
| C000026612 | R              | PRRRX           |
| C000064148 | I-2            | PRLPX           |
| C000200446 | I-3            | PRNPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Real Return Fund

- **b. EDGAR series identifier (if any):** S000009700

- **c. LEI of Series:** UBV6ASKZ6D22Z3BEZJ52

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

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

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $9681592677.46

**Total Liabilities:** $1934809773.66

**Net Assets:** $7746782903.80

**Delayed Delivery Securities:** $43378797.58

**Cash Not Reported:** $5839059.84

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 106617.640700 | **1-Year:** 120916.694100 | **5-Year:** 604553.455500 | **10-Year:** 308296.036500 | **30-Year:** -229778.749500

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

- **3-Month:** 4558.329500 | **1-Year:** 13439.766900 | **5-Year:** 57674.406400 | **10-Year:** 8399.478600 | **30-Year:** 14.145300

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026607 | 0.17%                | 1.83%                | 0.38%                |
| Class ID C000026608 | 0.16%                | 1.82%                | 0.37%                |
| Class ID C000026610 | 0.11%                | 1.77%                | 0.33%                |
| Class ID C000064148 | 0.18%                | 1.84%                | 0.39%                |
| Class ID C000200446 | 0.18%                | 1.84%                | 0.39%                |
| Class ID C000026612 | 0.14%                | 1.79%                | 0.35%                |
| Class ID C000026606 | 0.19%                | 1.85%                | 0.40%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-14585692.08            | $-25486664.86                              |
| Month 2  | $6116573.95              | $86413113.49                               |
| Month 3  | $16065078.65             | $8733570.82                                |

**Designated Index Information**

- **Index Name:** Bloomberg US Treasury Inflation Total Return Unhedged Index

- **Index Identifier:** LBUTTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| SAXON ASSET SECURITIES TRUST-2006-2                                     | SAXON ASSET SECURITIES TRUST SAST 2006 2 M1             | CUSIP: 80556XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      724870 | PA      | $693109.49    | 0.01%             | 2036-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      296000 | PA      | $292518.18    | 0.00%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-0.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H20                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H20 FA          | CUSIP: 38382YYK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      277384 | PA      | $278090.58    | 0.00%             | 2072-08-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 768039 FN 02/34 FLOATING VAR                  | CUSIP: 31404GHQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3367 | PA      | $3398.90      | 0.00%             | 2034-02-01      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN                                                   | FANNIEMAE WHOLE LOAN FNW 1998 W2 A8                     | CUSIP: 31359UPD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1741 | PA      | $1756.91      | 0.00%             | 2028-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                                        | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 2A1               | CUSIP: 126694BH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7290953 | PA      | $6898141.92   | 0.09%             | 2035-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-OP1                                            | ACE SECURITIES CORP. ACE 2004 OP1 M1                    | CUSIP: 004421EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      261086 | PA      | $248555.10    | 0.00%             | 2034-04-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XII-B LTD 2018-12BA                                  | NORTHWOODS CAPITAL LTD WOODS 2018 12BA AR 144A          | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1231695 | PA      | $1232857.48   | 0.02%             | 2031-06-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A A1 144A      | CUSIP: 64830KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1747430 | PA      | $1711116.08   | 0.02%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME LEAD FUTURE   NOV25 XLME 20251117                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -53 | NC      | $71872.58     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF12                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF12 M2         | CUSIP: 32027NXX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9454739 | PA      | $9282056.84   | 0.12%             | 2036-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| BOSPHORUS CLO V DAC 5A                                                  | BOSPHORUS CLO BOPHO 5A A1 144A                          | CUSIP: ACI1MK5S8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1232611 | PA      | $1450253.05   | 0.02%             | 2032-12-12      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U84SA4 PIMCO SWAPTION 2.44 CALL EUR 2027012          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -26400000 | NC      | $-164186.38   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN FUTURE    NOV25 XCBT 20251114                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           7 | NC      | $-9725.39     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-258611.32   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                    | JYSKE REALKREDIT A/S COVERED 10/43 0.5                  | CUSIP: ACI1TRDT5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |      326470 | PA      | $42513.73     | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                                | LEHMAN XS TRUST LXS 2007 15N 2A1                        | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1344152 | PA      | $1320142.27   | 0.02%             | 2037-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 10/27 1.625                             | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    73607400 | PA      | $74802948.32  | 0.97%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 8 LTD                                 | GOLDENTREE LOAN MANAGEMENT US GLM 2020 8A ARR 144A      | CUSIP: 38136NAY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1001919.75   | 0.01%             | 2034-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/30 0.125                             | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    60454732 | PA      | $57735491.93  | 0.75%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-2                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 2 3A2         | CUSIP: 07388DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      373899 | PA      | $320806.00    | 0.00%             | 2036-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A      | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1773548 | PA      | $1505997.38   | 0.02%             | 2046-07-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-47                                               | FANNIE MAE FNR 2025 47 FJ                               | CUSIP: 3136BWNH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36448315 | PA      | $36695725.90  | 0.47%             | 2055-06-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $16652.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $176.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/52 0.125                             | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    56744538 | PA      | $30789792.30  | 0.40%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA2                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA2 1A         | CUSIP: 933635AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1789320 | PA      | $1586342.39   | 0.02%             | 2047-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40 LTD 2019-1A                              | OCTAGON INVESTMENT PARTNERS 40 OCT40 2019 1A A1RR 144A  | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2800000 | PA      | $2804898.88   | 0.04%             | 2035-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| TIAA CLO IV LTD 2018-1A                                                 | TIAA CLO LTD TIA 2018 1A A1AR 144A                      | CUSIP: 88631YAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      246101 | PA      | $246282.25    | 0.00%             | 2032-01-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-1                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2007 1 TA10         | CUSIP: 05951FAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69455 | PA      | $65179.05     | 0.00%             | 2037-01-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-2A                                                        | VOYA CLO LTD VOYA 2017 2A A1R 144A                      | CUSIP: 92915UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       79558 | PA      | $79578.07     | 0.00%             | 2030-06-07      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB2                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB2 2A        | CUSIP: 17307GEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30146 | PA      | $28110.02     | 0.00%             | 2034-03-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUT+5.89/0.4500 03/20/19-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $362980.14    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $167809.11    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/40 2.125                             | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    86773573 | PA      | $87516564.78  | 1.13%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-4                                     | SAXON ASSET SECURITIES TRUST SAST 2005 4 M3             | CUSIP: 805564TL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1915000 | PA      | $1659283.16   | 0.02%             | 2037-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-40A                                      | STRUCTURED ASSET SECURITIES CO SASC 2003 40A 1A         | CUSIP: 86359BEF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         834 | PA      | $804.09       | 0.00%             | 2034-01-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 4.35/91282CFR7 BPS                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-990964.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U80NA7 PIMCO FPPSWAPTION 2.5 CALL EUR                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -192500000 | NC      | $-1346039.11  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-140.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 4.27/91282CLV1 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-922583.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XXI DAC 21A                                      | CORDATUS CLO PLC CORDA 21A A1E 144A                     | CUSIP: ACI2RB2T2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2500000 | PA      | $2938767.97   | 0.04%             | 2034-09-22      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $11352.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $3.40         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LOW SU GASOIL G   MAR26 IFEU 20260312                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          31 | NC      | $54218.86     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZA6403 FR 03/39 FIXED 4               | CUSIP: 31329QDG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       51854 | PA      | $51027.05     | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                         | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 2A2         | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       81259 | PA      | $77500.31     | 0.00%             | 2035-07-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                                 | FREDDIE MAC FHR 5565 FA                                 | CUSIP: 3137HMGJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4411098 | PA      | $4428114.25   | 0.06%             | 2055-08-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A6        | CUSIP: 45660LQL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       68137 | PA      | $50437.38     | 0.00%             | 2035-08-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME ZINC FUTURE   NOV25 XLME 20251117                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -25 | NC      | $-52147.54    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MARATHON CLO XIII LTD 2019-1A                                           | MARATHON CLO LTD MCLO 2019 1A AAR2 144A                 | CUSIP: 56579ABJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1126712 | PA      | $1128740.21   | 0.01%             | 2032-04-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                                  | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1          | CUSIP: 75971FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29733994 | PA      | $11976674.21  | 0.15%             | 2037-09-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-128273.26   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.645 09/10/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $996683.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U7XUA8 PIMCO FPPSWAPTION 2.35 PUT EUR                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -61700000 | NC      | $-315210.74   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-3771.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $27635.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-83                                               | FANNIE MAE FNR 2025 83 FA                               | CUSIP: 3136BXVW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11000000 | PA      | $11023608.75  | 0.14%             | 2055-10-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 1A1        | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26904 | PA      | $25665.38     | 0.00%             | 2035-12-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A21       | CUSIP: 92922FD47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33311 | PA      | $33277.98     | 0.00%             | 2045-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XII LTD 2021-12A                                            | VIBRANT CLO LTD VIBR 2021 12A A1A2 144A                 | CUSIP: 92558WBE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2000000.00   | 0.03%             | 2034-04-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $33514.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1        | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1262808 | PA      | $890803.75    | 0.01%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   383459820 | PA      | $363067361.58 | 4.69%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                        | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 3A1               | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       68426 | PA      | $58717.98     | 0.00%             | 2037-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $4.93         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $64942.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-66                                               | FANNIE MAE FNR 2025 66 FK                               | CUSIP: 3136BWYL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5239253 | PA      | $5264769.65   | 0.07%             | 2055-08-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $109235.61    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R SOFRRATE+15/9128283R9 SOG                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-108816.19   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2 DAC  24-3A                   | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 3A A 144A     | CUSIP: ACI2RRG21<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2103507 | PA      | $2466257.15   | 0.03%             | 2034-05-15      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-OP1                                            | ACE SECURITIES CORP. ACE 2003 OP1 M1                    | CUSIP: 004427BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      419104 | PA      | $420934.38    | 0.01%             | 2033-12-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COCOA FUTURE      MAR26 IFUS 20260316                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          14 | NC      | $-71320.84    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA3441 FN 08/38 FIXED 4                       | CUSIP: 31418CZF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12221 | PA      | $12032.58     | 0.00%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2004-AR6                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR6 5A1        | CUSIP: 45660NX83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      174592 | PA      | $167015.16    | 0.00%             | 2034-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-1                                     | SAXON ASSET SECURITIES TRUST SAST 2005 1 M2             | CUSIP: 805564RN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      224482 | PA      | $218550.17    | 0.00%             | 2035-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-82909.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2018-10A                                     | ATLAS SENIOR LOAN FUND LTD ATCLO 2018 10A A 144A        | CUSIP: 04942JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       30900 | PA      | $30927.99     | 0.00%             | 2031-01-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A          | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19868 | PA      | $18675.71     | 0.00%             | 2042-06-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/41 2.125                             | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    60697003 | PA      | $60694133.57  | 0.78%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN OIL FUTR  MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           1 | NC      | $-996.86      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    97925835 | PA      | $94943186.42  | 1.23%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-2020.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 45 LTD 2021-45A                      | NEUBERGER BERMAN CLO LTD NEUB 2021 45A AR 144A          | CUSIP: 64134MAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3200000 | PA      | $3203765.60   | 0.04%             | 2036-10-14      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                          | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3351 | PA      | $3230.59      | 0.00%             | 2034-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                   | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2D            | CUSIP: 61753KAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      396746 | PA      | $168901.68    | 0.00%             | 2037-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG          | CUSIP: 38380LJY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8309801 | PA      | $8344158.35   | 0.11%             | 2068-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-3231.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-WF1                                    | NOMURA HOME EQUITY LOAN INC NHELI 2006 WF1 M2           | CUSIP: 65536RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      429714 | PA      | $430114.30    | 0.01%             | 2036-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $3390.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURO-GALAXY III CLO BV 13-3A                                            | EURO GALAXY CLO DAC EGLXY 2013 3A ARRR 144A             | CUSIP: ACI1W6FF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1592845 | PA      | $1870513.66   | 0.02%             | 2034-04-24      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2019-INV1                                                     | CIM TRUST CIM 2019 INV1 A2 144A                         | CUSIP: 12555DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66521 | PA      | $64717.04     | 0.00%             | 2049-02-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO IX LTD 2015-2A                                          | SOUND POINT CLO LTD SNDPT 2015 2A ARRR 144A             | CUSIP: 83609GBN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5496258 | PA      | $5497598.30   | 0.07%             | 2032-07-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO III DAC 3A                                             | INVESCO EURO CLO INVSC 3A AR                            | CUSIP: ACI2Q9953<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4700000 | PA      | $5523464.55   | 0.07%             | 2038-10-30      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                                     | FANNIE MAE FNR 2006 118 A2                              | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25461 | PA      | $25031.70     | 0.00%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO 8 2020-8A                                              | OCEAN TRAILS CLO OCTR 2020 8A ARR                       | CUSIP: 67514UAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2400000 | PA      | $2403658.03   | 0.03%             | 2034-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/29 0.25                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   193005420 | PA      | $187287589.58 | 2.42%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                              | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7    | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     4500000 | PA      | $1373828.14   | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-5                                 | AEGIS ASSET BACKED SECURITIES AABST 2005 5 M1           | CUSIP: 00764MHE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1587903 | PA      | $1499880.93   | 0.02%             | 2035-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $92128.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZM5146 FR 12/47 FIXED 4               | CUSIP: 3131XYWF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20042950 | PA      | $19273379.71  | 0.25%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB8                                        | COUNTRYWIDE HOME LOANS CWHL 2004 HYB8 6A1               | CUSIP: 12669GGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5355 | PA      | $5426.67      | 0.00%             | 2035-01-20      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2004-OPT1                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 OPT1 M3        | CUSIP: 17307GJK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69478 | PA      | $67814.08     | 0.00%             | 2034-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED REGS 04/32 VAR                | CUSIP: ACI24F5W8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      100000 | PA      | $115335.56    | 0.00%             | 2032-04-02      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.55000 09/14/23-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $1028893.15   | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2006-4                                          | CSAB MORTGAGE BACKED TRUST CSAB 2006 4 A6A              | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152491 | PA      | $23301.81     | 0.00%             | 2036-12-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-807108.74   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK EURO FUNDING IX DAC 9A                                     | MADISON PARK EURO FUNDING CADOG 9A AR 144A              | CUSIP: ACI1YKP79<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1331000 | PA      | $1563088.97   | 0.02%             | 2035-07-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC2                                  | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC2 A1        | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10863 | PA      | $10642.56     | 0.00%             | 2030-06-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO I DAC 1A                                               | INVESCO EURO CLO INVSC 1A A1R 144A                      | CUSIP: ACI1VT7W8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      704260 | PA      | $827444.95    | 0.01%             | 2031-07-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/29 3.875                             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   281184567 | PA      | $307515446.27 | 3.97%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 670678 FN 11/33 FLOATING VAR                  | CUSIP: 31391MCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11144 | PA      | $11282.72     | 0.00%             | 2033-11-01      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $71606.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-1310.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-29519.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO 2020-6 LTD                                              | 522 FUNDING CLO LTD MORGN 2020 6A A1R2 144A             | CUSIP: 33835AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1750000 | PA      | $1753143.65   | 0.02%             | 2034-10-23      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                  | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1           | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      914538 | PA      | $82564.79     | 0.00%             | 2036-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $636043.27    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7                                | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1         | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50508 | PA      | $39777.79     | 0.00%             | 2035-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $692123.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                    | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 1A2          | CUSIP: 86361JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      267472 | PA      | $180119.39    | 0.00%             | 2036-09-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                      | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A              | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       83282 | PA      | $80075.16     | 0.00%             | 2035-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U80OA6 PIMCO FPPSWAPTION 2.5 PUT EUR                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -192500000 | NC      | $-723689.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | PLATINUM FUTURE   JAN26 XNYM 20260128                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          16 | NC      | $201980.11    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 3.5 08/15/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $663671.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-8403.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM4                                 | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A        | CUSIP: 59023QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67549 | PA      | $13222.89     | 0.00%             | 2037-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A7                                  | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A7 1A4        | CUSIP: 466286AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8792921 | PA      | $7826949.73   | 0.10%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR1                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR1 A          | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17045 | PA      | $17215.07     | 0.00%             | 2034-03-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U7XVA7 PIMCO FPPSWAPTION 2.35 CALL EUR               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -61700000 | NC      | $-314537.06   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COCOA FUTURE      DEC25 IFUS 20251215                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          12 | NC      | $-94545.46    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2531.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                                        | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A4         | CUSIP: 05949CKT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      176664 | PA      | $159066.20    | 0.00%             | 2035-11-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-63                                                      | FANNIE MAE FNR 2007 63 FC                               | CUSIP: 31396WTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12721 | PA      | $12595.52     | 0.00%             | 2037-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SGX IRON ORE 62   JAN26 XSIM 20260130                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | SG        |         187 | NC      | $-33733.18    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                       | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A          | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3100000 | PA      | $3102897.14   | 0.04%             | 2034-08-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC2                                  | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC2 A2         | CUSIP: 86358EAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       45553 | PA      | $49465.47     | 0.00%             | 2033-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $7523.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-61243.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2D            | CUSIP: 61750SAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1431503 | PA      | $629687.70    | 0.01%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2007-AR7                   | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR7 A1        | CUSIP: 94986KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1007265 | PA      | $916331.33    | 0.01%             | 2037-12-28      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4687                                                 | FREDDIE MAC FHR 4687 FG                                 | CUSIP: 3137BY3C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2070784 | PA      | $2014569.23   | 0.03%             | 2047-01-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A                                   | SEGOVIA EUROPEAN CLO 6   2019 SEGOV 2019 6A AR 144A     | CUSIP: ACI1YTXT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2772621 | PA      | $3258166.19   | 0.04%             | 2032-07-20      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | WHITE SUGAR (ICE) MAR26 IFEU 20260213                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -17 | NC      | $-4428.42     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/30 0.125                             | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   152551114 | PA      | $145090415.28 | 1.87%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A3           | CUSIP: 17307GXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7166 | PA      | $7108.79      | 0.00%             | 2035-09-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H06                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H06 FL          | CUSIP: 38382YPL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      294902 | PA      | $294180.46    | 0.00%             | 2072-01-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                    | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1X8QV3<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.30         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 06/18/25-9Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $975845.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-A                                      | MLCC MORTGAGE INVESTORS INC MLCC 2005 A A2              | CUSIP: 59020UTC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7915 | PA      | $6945.01      | 0.00%             | 2030-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COFF ROBUSTA 10TN NOV25 IFEU 20251124                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          -1 | NC      | $-9868.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-23559.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-HE2                                                    | GSAMP TRUST GSAMP 2007 HE2 A2D                          | CUSIP: 362440AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2778558 | PA      | $2104939.21   | 0.03%             | 2047-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST II 2007-1                                      | BEAR STEARNS ALT A TRUST II BSAAT 2007 1 1A1            | CUSIP: 07389KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2564770 | PA      | $1216061.38   | 0.02%             | 2047-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME NICKEL FUTURE NOV25 XLME 20251117                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |           9 | NC      | $-7970.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                                 | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 4A1       | CUSIP: 45660LW70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20903 | PA      | $18791.32     | 0.00%             | 2036-01-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 081401 G2 07/35 FLOATING VAR               | CUSIP: 36225DRX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4246 | PA      | $4318.67      | 0.00%             | 2035-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $62791.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED REGS 11/29 VAR                | CUSIP: ACI21PCV3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      100000 | PA      | $125031.17    | 0.00%             | 2029-11-15      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| LCM 35 LTD 35A                                                          | LCM LTD PARTNERSHIP LCM 35A A1R 144A                    | CUSIP: 50202QAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2300000 | PA      | $2302682.19   | 0.03%             | 2034-10-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-1                                           | COUNTRYWIDE HOME LOANS CWHL 2007 1 A1                   | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3353348 | PA      | $1472487.71   | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J1 3A1        | CUSIP: 12667FU29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15728 | PA      | $16037.33     | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BUXL 30Y BND DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         320 | NC      | $961337.29    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-55748.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.049 08/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-813295.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5452                                                 | FREDDIE MAC FHR 5452 JF                                 | CUSIP: 3137HFGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      852852 | PA      | $857330.11    | 0.01%             | 2054-09-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                        | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 6A1                | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56147 | PA      | $53580.68     | 0.00%             | 2035-07-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-5964.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-7                                           | GSAA HOME EQUITY TRUST GSAA 2006 7 AF4A                 | CUSIP: 362334ND2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1052726 | PA      | $550853.69    | 0.01%             | 2046-03-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                                                  | LEHMAN XS TRUST LXS 2006 7 1A1A                         | CUSIP: 52522EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2028983 | PA      | $1779036.60   | 0.02%             | 2036-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA17                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A     | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2101656 | PA      | $1852664.29   | 0.02%             | 2046-12-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2006-1                                          | HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2                 | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      341112 | PA      | $307558.58    | 0.00%             | 2037-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-11441.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INV 2005-AR4                                  | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR4 A1         | CUSIP: 86359LLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       89230 | PA      | $75653.84     | 0.00%             | 2035-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-4                                                       | FANNIE MAE FNR 2007 4 DF                                | CUSIP: 31396PMC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       75936 | PA      | $75350.75     | 0.00%             | 2037-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BK7608 FN 09/48 FIXED 4                       | CUSIP: 3140HMN26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2510427 | PA      | $2413568.91   | 0.03%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                    | JYSKE REALKREDIT A/S COVERED 10/53 1                    | CUSIP: ACI1PMG75<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.29         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-570952.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-11                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 11 2A1A       | CUSIP: 41161PUK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56756 | PA      | $54014.55     | 0.00%             | 2045-08-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 4.27/912828Y38 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-488606.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      489000 | PA      | $482877.18    | 0.01%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    10700000 | PA      | $1142474.34   | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-10XS                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A1         | CUSIP: 61751MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       72867 | PA      | $40347.16     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR6                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR6 2A1A       | CUSIP: 456612AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      778900 | PA      | $698255.50    | 0.01%             | 2046-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $5605.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $20129.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| APIDOS CLO XXIV 2016-24A                                                | APIDOS CLO LTD APID 2016 24A A1AL 144A                  | CUSIP: 03759CAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      522292 | PA      | $522906.17    | 0.01%             | 2030-10-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XV LTD                                           | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 15A A1R 144A      | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1891392 | PA      | $1893756.43   | 0.02%             | 2032-10-23      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |       32737 | PA      | $3834.36      | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC1                                  | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M3            | CUSIP: 61744CLW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152373 | PA      | $154422.75    | 0.00%             | 2035-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| ALBACORE EURO CLO IV DAC 4A                                             | ALBACORE EURO CLO ALBAC 4A AR 144A                      | CUSIP: ACI2Q3N92<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1000000 | PA      | $1175342.12   | 0.02%             | 2035-07-15      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A        | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10597 | PA      | $10205.38     | 0.00%             | 2042-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ2                                     | PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M5             | CUSIP: 70069FEM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1635737 | PA      | $1512520.73   | 0.02%             | 2035-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                             | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     2164307 | PA      | $21078182.31  | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2003-WMC1                                     | ASSET BACKED FUNDING CERTIFICA ABFC 2003 WMC1 M1        | CUSIP: 04542BEA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      104781 | PA      | $104939.80    | 0.00%             | 2033-06-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-9831.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $604.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SUGAR  11 (WORLD) MAR26 IFUS 20260227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -223 | NC      | $46727.61     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-6XS                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 6XS 2A6S        | CUSIP: 61751JAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      166656 | PA      | $56998.10     | 0.00%             | 2047-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                         | BEAR STEARNS ALT A TRUST BALTA 2006 6 31A1              | CUSIP: 073868AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      489173 | PA      | $278189.22    | 0.00%             | 2036-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | GASOLINE RBOB FUT MAR26 XNYM 20260227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          36 | NC      | $-18243.06    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.682 10/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $849710.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 847213 FH 01/34 FLOATING VAR          | CUSIP: 3128JRAN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25138 | PA      | $25524.59     | 0.00%             | 2034-01-01      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 10/28 2.375                             | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    28159155 | PA      | $29336509.83  | 0.38%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                                | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                  | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3297903 | PA      | $3302685.00   | 0.04%             | 2030-10-24      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/34 1.75                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    66310528 | PA      | $66647768.76  | 0.86%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-95337.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-7                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 7 MV5           | CUSIP: 126673EG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2533188 | PA      | $2295767.13   | 0.03%             | 2034-11-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-5767.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-3614.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $11041.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-43.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 1A1        | CUSIP: 92925VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      703335 | PA      | $628998.07    | 0.01%             | 2037-02-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| DRYDEN 35 EURO CLO 2014 BV 14-35A                                       | DRYDEN LEVERAGED LOAN CDO DRYD 2014 35A ARR 144A        | CUSIP: ACI2878B5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      754968 | PA      | $886383.18    | 0.01%             | 2033-01-17      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                                     | SAXON ASSET SECURITIES TRUST SAST 2007 3 1A             | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50511 | PA      | $48841.22     | 0.00%             | 2037-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2A LTD                                                    | VOYA CLO LTD VOYA 2019 2A AR 144A                       | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      424516 | PA      | $424824.33    | 0.01%             | 2032-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                        | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 5A1                | CUSIP: 362341XE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      175626 | PA      | $148645.97    | 0.00%             | 2035-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $573718.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2018-33A                                                | VENTURE CDO LTD VENTR 2018 33A A1LR 144A                | CUSIP: 92330YAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      435053 | PA      | $435530.86    | 0.01%             | 2031-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-57108.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/28 0.5                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    56668578 | PA      | $56023138.10  | 0.72%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 FD          | CUSIP: 38382YC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4380963 | PA      | $4458742.59   | 0.06%             | 2072-11-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-1                                     | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 1 1A6           | CUSIP: 65538PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      147188 | PA      | $139379.22    | 0.00%             | 2047-03-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | JPN 10Y BOND(OSE) DEC25 XOSE 20251215                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          14 | NC      | $-125062.72   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR11                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A        | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27888 | PA      | $26370.40     | 0.00%             | 2034-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.208 10/07/24-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-422850.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SGX IRON ORE 62   NOV25 XSIM 20251128                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | SG        |         -24 | NC      | $5755.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $29232.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 847614 FH 10/36 FLOATING VAR          | CUSIP: 3128JRN77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7622 | PA      | $7757.65      | 0.00%             | 2036-10-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/32 0.125                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   140597064 | PA      | $129504339.94 | 1.67%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $5209.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $2663.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $953.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME LEAD FUTURE   NOV25 XLME 20251117                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          44 | NC      | $-17475.91    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                          | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A2 144A     | CUSIP: 39571VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      698429 | PA      | $701269.01    | 0.01%             | 2060-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $118464.70    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $13526.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SOFR/2.23650 11/21/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $10977362.47  | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVC SEC 2005-CB3                                   | CREDIT BASED ASSET SERVICING A CBASS 2005 CB3 M4        | CUSIP: 12489WLH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      330395 | PA      | $322401.34    | 0.00%             | 2035-06-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COCOA FUTURE - IC DEC25 IFEU 20251211                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          -3 | NC      | $20386.31     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-19752.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR3                                     | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR3 A1A       | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      646521 | PA      | $573412.69    | 0.01%             | 2046-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R SOFRRATE+13/9128282L3 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-725840.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDB MTGE LOAN TRUST 2005-1                                     | INDYMAC INDB MORTGAGE LOAN TRU INDB 2005 1 A1           | CUSIP: 45660LYW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      105125 | PA      | $59920.05     | 0.00%             | 2035-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $97469.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUST RT MTGE TR 2000-                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1          | CUSIP: 07384MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20199 | PA      | $20096.15     | 0.00%             | 2030-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-248.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME ZINC FUTURE   NOV25 XLME 20251117                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          33 | NC      | $154078.63    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                  | REALKREDIT DANMARK COVERED REGS 10/53 1                 | CUSIP: BL63VKII4<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.16         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 1A1082 FH 07/36 FLOATING VAR          | CUSIP: 3128NFFX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21969 | PA      | $22417.54     | 0.00%             | 2036-07-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-26691.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/35 2.125                             | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   186702816 | PA      | $192266147.30 | 2.48%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                        | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 3A1               | CUSIP: 125438AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       86425 | PA      | $79053.31     | 0.00%             | 2047-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-2 LTD                                      | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 2A A1R 144A     | CUSIP: 05684RAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2900000 | PA      | $2903822.11   | 0.04%             | 2034-07-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 732218 FN 06/43 FLOATING VAR                  | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5989 | PA      | $6052.56      | 0.00%             | 2043-06-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $5426.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/54 2.125                             | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    63258255 | PA      | $58455033.56  | 0.75%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| LUCA RE LTD                                                             | LUCA RE LTD UNSECURED 144A 07/31 VAR                    | CUSIP: 54930CAA3<br>LEI: 2549001YET1TWKCC6Y26 | Long             | DBT              | CORP              | BM        |      550000 | PA      | $550110.00    | 0.01%             | 2031-07-22      | Floating      | 11.18%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED P/T CERT T-11                                    | FHLMC STRUCTURED PASS THROUGH FSPC T 11 A8              | CUSIP: 3133TDPX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         498 | PA      | $487.65       | 0.00%             | 2028-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TRUST                                             | UPX HIL 2025 1 ISSUER TRUST UPXHI 2025 1 A 144A         | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2884937 | PA      | $2899543.89   | 0.04%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $248.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $7.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   189600000 | PA      | $193670804.90 | 2.50%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                        | BEAR STEARNS ALT A TRUST BALTA 2006 R1 2E21             | CUSIP: 073866BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300434 | PA      | $199975.29    | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/48 1                                 | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    66270876 | PA      | $49711509.42  | 0.64%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN FUTURE    MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -45 | NC      | $21613.12     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX7                                    | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX7 A4        | CUSIP: 74924TAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3240679 | PA      | $2880554.78   | 0.04%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT3                                      | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT3 3A4       | CUSIP: 40430HFM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      539852 | PA      | $534426.39    | 0.01%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $55086.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5567                                                 | FREDDIE MAC FHR 5567 FB                                 | CUSIP: 3137HMEX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2632493 | PA      | $2647679.47   | 0.03%             | 2055-08-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-3346.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 1.636 06/15/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $478103.56    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                              | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/30 0 | CUSIP: BK5MSXII1<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    20615335 | PA      | $23559636.47  | 0.30%             | 2030-05-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-4A                        | CARLYLE GLOBAL MARKET STRATEGI CGMS 2015 4A A1RR 144A   | CUSIP: 14311NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1382229 | PA      | $1384076.63   | 0.02%             | 2032-07-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $84075.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 11 LTD                                                          | KKR FINANCIAL CLO LTD KKR 11 AR 144A                    | CUSIP: 48250MAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      636279 | PA      | $636857.09    | 0.01%             | 2031-01-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $15466.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                      | MLCC MORTGAGE INVESTORS INC MLCC 2004 E A2A             | CUSIP: 59020UJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1704 | PA      | $1626.52      | 0.00%             | 2029-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                                         | KKR FINANCIAL CLO LTD KKR 36A AR 144A                   | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4700000 | PA      | $4700089.58   | 0.06%             | 2034-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $430.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                        | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11585594 | PA      | $11589332.60  | 0.15%             | 2037-06-19      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/49 1                                 | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    45520937 | PA      | $33623358.53  | 0.43%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $4961.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.87000 12/22/23-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-387397.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO 2022-1A                                             | CAPITAL FOUR US CLO C4US 2022 1A AR 144A                | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     5800000 | PA      | $5826100.00   | 0.08%             | 2037-01-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                    | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1W77N5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    97635973 | PA      | $12128847.79  | 0.16%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ4                                            | PARK PLACE SECURITIES INC PPSI 2005 WHQ4 M2             | CUSIP: 70069FMT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      867943 | PA      | $854030.67    | 0.01%             | 2035-09-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $94411.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $135.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $72590.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BTP FUTURE   DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         927 | NC      | $1166077.24   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                              | SANDSTONE PEAK LTD. SAND 2021 1A A1R 144A               | CUSIP: 800130AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3100000 | PA      | $3106975.00   | 0.04%             | 2034-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.19500 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $20897497.19  | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                        | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 2A2              | CUSIP: 46628LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11396 | PA      | $7769.07      | 0.00%             | 2036-06-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                            | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A             | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1931694 | PA      | $1935132.85   | 0.02%             | 2030-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY7                                         | COUNTRYWIDE HOME LOANS CWHL 2007 HY7 A1                 | CUSIP: 12544HAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      813534 | PA      | $772334.00    | 0.01%             | 2037-11-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | KC HRW WHEAT FUT  MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -48 | NC      | $109161.85    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-9                                          | HOME EQUITY ASSET TRUST HEAT 2005 9 M1                  | CUSIP: 437084QY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      336192 | PA      | $333699.35    | 0.00%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO LTD 2018-1A                                                  | CARVAL CLO LTD CARVL 2018 1A AR 144A                    | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3125489 | PA      | $3128824.25   | 0.04%             | 2031-07-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                           | COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2                  | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      151272 | PA      | $144917.53    | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-1865.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-4A LTD                                               | WELLFLEET CLO LTD WELF 2021 4A A1 144A                  | CUSIP: 89288CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5100000 | PA      | $5108156.94   | 0.07%             | 2034-04-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-32164.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-20673.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ST PAUL'S CLO X DAC 10A                                                 | ST PAULS CLO SPAUL 10A AR 144A                          | CUSIP: ACI1WJ0Z9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3682874 | PA      | $4307666.94   | 0.06%             | 2035-04-22      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5549                                                 | FREDDIE MAC FHR 5549 BF                                 | CUSIP: 3137HLS52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6244269 | PA      | $6277670.06   | 0.08%             | 2055-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                             | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1        | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |           1 | PA      | $1.25         | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R SOFRRATE+15/912828Z37 SOG                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-368997.98   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR9                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR9 A1A        | CUSIP: 92922FU48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5840 | PA      | $5680.05      | 0.00%             | 2045-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-3                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1         | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      312738 | PA      | $281671.41    | 0.00%             | 2047-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                        | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9468 | PA      | $8266.89      | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13600000 | PA      | $14056143.18  | 0.18%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                     | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A1        | CUSIP: 161630AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5206 | PA      | $5215.77      | 0.00%             | 2037-02-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                                   | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 3A1          | CUSIP: 576433GF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1336 | PA      | $1326.13      | 0.00%             | 2033-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A        | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      309010 | PA      | $286236.40    | 0.00%             | 2036-03-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R SOFRRATE+13/91282CCM1 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-2546246.04  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2A1A       | CUSIP: 92922FR75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      155526 | PA      | $149908.78    | 0.00%             | 2045-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                              | ARES CLO LTD ARES 2013 2A AR3 144A                      | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4800000 | PA      | $4807968.86   | 0.06%             | 2034-10-28      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $98745.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED REGS 06/27 VAR                | CUSIP: BJ5FX5II4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      500000 | PA      | $581482.10    | 0.01%             | 2027-06-24      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-12502.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $188892.17    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3              | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25372 | PA      | $24450.62     | 0.00%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO4                                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO4 2A1        | CUSIP: 761118NN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      624809 | PA      | $381442.74    | 0.00%             | 2045-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A2              | CUSIP: 46630GAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28725 | PA      | $27504.74     | 0.00%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $34531.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1         | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      173511 | PA      | $162360.93    | 0.00%             | 2033-02-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1              | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1283 | PA      | $1253.76      | 0.00%             | 2035-02-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.00000 03/18/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-1467584.52  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-2764.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-133.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1         | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36715 | PA      | $31882.73     | 0.00%             | 2035-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                             | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A            | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7576511 | PA      | $7595995.18   | 0.10%             | 2039-02-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FC          | CUSIP: 38382Y5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2011271 | PA      | $2042650.82   | 0.03%             | 2073-05-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 4.27/91282CNB3 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-389355.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $14810.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-0.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HENLEY CLO VII DAC 7A                                                   | HENLEY FUNDING LTD. HNLY 7A AR                          | CUSIP: ACI2QFVZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2600000 | PA      | $3055577.23   | 0.04%             | 2034-04-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-6                                           | COUNTRYWIDE HOME LOANS CWHL 2006 6 A4                   | CUSIP: 126694K64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1118758 | PA      | $525667.24    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                           | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7237810 | PA      | $7257996.53   | 0.09%             | 2037-01-17      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                                 | FREDDIE MAC FHR 5511 FG                                 | CUSIP: 3137HKKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      415945 | PA      | $417586.20    | 0.01%             | 2055-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2020-1 LTD                                                   | CANYON CAPITAL CLO LTD CANYC 2020 1A AR2 144A           | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1000906.89   | 0.01%             | 2034-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                  | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    18037689 | PA      | $2311688.38   | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-77                                               | FANNIE MAE FNR 2024 77 DF                               | CUSIP: 3136BTWY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5883931 | PA      | $5916172.20   | 0.08%             | 2053-10-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZS4778 FR 07/48 FIXED 4               | CUSIP: 3132A5JX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       80590 | PA      | $77482.99     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                          | COUNTRYWIDE HOME LOANS CWHL 2005 24 A1                  | CUSIP: 126694JR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67705 | PA      | $34479.55     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $1328.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $10835.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1602.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1          | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         628 | PA      | $609.38       | 0.00%             | 2034-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.82 02/05/25-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-120139.17   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-22A                                | STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1        | CUSIP: 86359AYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9151 | PA      | $8986.78      | 0.00%             | 2033-06-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.35 11/07/24-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-578835.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-4 LTD                                      | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A A1R 144A     | CUSIP: 05685AAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4400000 | PA      | $4407401.90   | 0.06%             | 2034-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-GEL4                                     | STRUCTURED ASSET SECURITIES CO SASC 2006 GEL4 M1 144A   | CUSIP: 86361NAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1033857 | PA      | $1030231.09   | 0.01%             | 2036-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-41CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 41CB 1A9      | CUSIP: 02149CAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2822651 | PA      | $1396662.81   | 0.02%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -78 | NC      | $9960.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A6                          | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A6 2A1         | CUSIP: 76114CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1791145 | PA      | $330273.20    | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 144A REGS 10/53 2      | CUSIP: ACI22CN07<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     8885015 | PA      | $1176060.46   | 0.02%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $426.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CUMULUS STATIC CLO 2024-1 DAC 24-1A                                     | CUMULUS STATIC CLO CMLST 2024 1A A 144A                 | CUSIP: ACI2NK2H2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2860293 | PA      | $3359757.11   | 0.04%             | 2033-11-15      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                    | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1           | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      185715 | PA      | $164778.48    | 0.00%             | 2046-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| CIFC EUROPEAN FUNDING CLO 3A                                            | CIFC EUROPEAN FUNDING CLO CIFCE 3A A 144A               | CUSIP: ACI27MSP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2300000 | PA      | $2703674.64   | 0.03%             | 2034-01-15      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                               | MARBLE POINT CLO MP22 2021 2A AR 144A                   | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2200000 | PA      | $2202922.52   | 0.03%             | 2034-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN FUTURE    JAN26 XCBT 20260114                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          27 | NC      | $-41344.97    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.29         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-649.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 3A1            | CUSIP: 466247XK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43573 | PA      | $29718.58     | 0.00%             | 2035-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZM6968 FR 06/48 FIXED 4               | CUSIP: 3131Y1W55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47594 | PA      | $45761.82     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5589                                                 | FREDDIE MAC FHR 5589 FB                                 | CUSIP: 3137HNFP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4000000 | PA      | $4009185.00   | 0.05%             | 2055-10-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-2939.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0420 G2 06/55 FIXED 3.5                  | CUSIP: 3618N5PE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    56808631 | PA      | $51833136.59  | 0.67%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MTGE LOAN TRUST 2004-10                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 10 4A         | CUSIP: 41161PJN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88061 | PA      | $82680.63     | 0.00%             | 2035-01-19      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | NATURAL GAS FUTR  NOV25 XNYM 20251029                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          -8 | NC      | $6145.01      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.379 07/09/18-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1675895.30  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                         | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32048 | PA      | $17523.61     | 0.00%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH2                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH2 M2        | CUSIP: 17312BAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1123963 | PA      | $1127789.89   | 0.01%             | 2037-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $15957.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1         | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41430 | PA      | $39945.18     | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP FR NI 1.41 11/15/19-20Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | FR        |           1 | NC      | $-813438.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2004-OPT5                                    | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT5 A1        | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1629168 | PA      | $1640720.22   | 0.02%             | 2034-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-7                                           | SLM STUDENT LOAN TRUST SLMA 2008 7 A4                   | CUSIP: 78445FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2611225 | PA      | $2569305.81   | 0.03%             | 2049-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR1                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR1 3A1        | CUSIP: 86359LTG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115725 | PA      | $94476.18     | 0.00%             | 2036-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-41640.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN CLO LTD 2018-64A                                                 | DRYDEN SENIOR LOAN FUND DRSLF 2018 64A A 144A           | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      843854 | PA      | $844687.16    | 0.01%             | 2031-04-18      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 3.43750 08/01/25-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $95654.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-287.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $26.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2264                                                        | FREDDIE MAC FHR 2264 PL                                 | CUSIP: 3133TPWN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4797 | PA      | $4989.30      | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U84TA3 PIMCO SWAPTION 2.44 PUT EUR 20270125          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -26400000 | NC      | $-116863.31   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.32500 12/01/25-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $56394.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                   | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C        | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2908652 | PA      | $960973.28    | 0.01%             | 2036-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BOBL FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         114 | NC      | $4370.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1       | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      537821 | PA      | $467384.94    | 0.01%             | 2037-01-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $12521.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/46 1                                 | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   187546479 | PA      | $144765401.81 | 1.87%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1       | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      138918 | PA      | $126618.43    | 0.00%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BOPHO-6A                                                                | BOSPHORUS CLO BOPHO 6A A 144A                           | CUSIP: ACI2VMJX6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    21600000 | PA      | $25348706.38  | 0.33%             | 2034-05-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $8852.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CAD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $154.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SOFR/2.34000 11/21/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1285073.53  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0362 G2 05/55 FIXED 3.5                  | CUSIP: 3618N5ML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    44731775 | PA      | $40814070.07  | 0.53%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                              | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A            | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8190369 | PA      | $8293749.67   | 0.11%             | 2037-10-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                              | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A               | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2300000 | PA      | $2303861.93   | 0.03%             | 2034-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-13                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 13 AF4          | CUSIP: 126670GR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      263896 | PA      | $247275.07    | 0.00%             | 2036-04-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-2                                  | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 2 M7          | CUSIP: 68383NBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $991377.20    | 0.01%             | 2035-04-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                  | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      999706 | PA      | $915118.97    | 0.01%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-2 DESIGNATED ACTIVITY CO 24-2A | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 2A A 144A     | CUSIP: ACI2Q3MV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4704724 | PA      | $5516394.03   | 0.07%             | 2034-05-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FS4437 FN 10/52 FIXED VAR                     | CUSIP: 3140XK4X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1193112 | PA      | $1163412.81   | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-146176.30   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1       | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      377240 | PA      | $346463.52    | 0.00%             | 2036-12-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1522000 | PA      | $1510458.38   | 0.02%             | 2025-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $84421.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-NC1                                     | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 NC1 M1         | CUSIP: 144531EY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1086941 | PA      | $1064589.47   | 0.01%             | 2036-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN OIL FUTR  JAN26 XCBT 20260114                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -30 | NC      | $38955.39     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-15391.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $43509.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-15603.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 8 1A1           | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5445752 | PA      | $5212965.25   | 0.07%             | 2037-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-6938.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $611170.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/32 3.375                             | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14195220 | PA      | $15894783.88  | 0.21%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-29342.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL 25 LTD                                               | NORTHWOODS CAPITAL LTD WOODS 2021 25A AR 144A           | CUSIP: 668468AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3000000 | PA      | $3000000.00   | 0.04%             | 2034-07-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXII LTD 2018-22A                                      | BLUEMOUNTAIN CLO LTD BLUEM 2018 22A A1 144A             | CUSIP: 09629PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1981148 | PA      | $1983846.05   | 0.03%             | 2031-07-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $26058.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.10000 12/31/25-28Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1749842.37  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2D            | CUSIP: 61749BAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      105306 | PA      | $54982.63     | 0.00%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COPPER FUTURE     DEC25 XCEC 20251229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          12 | NC      | $-221375.62   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BCC-2021-5A                                                             | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 5A A1R 144A     | CUSIP: 05682EAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500596.64    | 0.01%             | 2034-10-23      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                     | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A         | CUSIP: ACI1W43B2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    10600888 | PA      | $12421710.89  | 0.16%             | 2033-04-15      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                       | FANNIE MAE FNR 2006 5 3A2                               | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2732 | PA      | $2795.32      | 0.00%             | 2035-05-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2006-1                                          | NEW YORK MORTGAGE TRUST NYMT 2006 1 2A3                 | CUSIP: 649603AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39878 | PA      | $32569.81     | 0.00%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-72019.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME LEAD FUTURE   JAN26 XLME 20260119                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -38 | NC      | $13744.18     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                           | ARGENT SECURITIES INC. ARSI 2006 M1 A1                  | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2308099 | PA      | $2089940.48   | 0.03%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-4326.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | UK NATURAL GAS FUTDEC25 IFEU 20251127                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -20 | NC      | $34842.11     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-75791.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $6493.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/51 0.125                             | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    62416549 | PA      | $34662069.97  | 0.45%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                           | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1                  | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      307772 | PA      | $266530.84    | 0.00%             | 2036-07-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A6A           | CUSIP: 12638PAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      336808 | PA      | $93659.10     | 0.00%             | 2037-04-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.341 11/07/24-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-175749.95   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                  | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4412110 | PA      | $4061076.05   | 0.05%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1       | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170425 | PA      | $114204.68    | 0.00%             | 2035-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $55736.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $27456.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COFF ROBUSTA 10TN JAN26 IFEU 20260126                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          -3 | NC      | $7758.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-8T2                                   | BANC OF AMERICA FUNDING CORPOR BAFC 2006 8T2 A10        | CUSIP: 05951UAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69759 | PA      | $62293.73     | 0.00%             | 2036-10-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 3.43375 08/27/25-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $136730.31    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES LXV CLO LTD                                                        | ARES CLO LTD ARES 2022 65A A1R 144A                     | CUSIP: 04019FAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2600000 | PA      | $2609100.00   | 0.03%             | 2034-07-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                           | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11208280 | PA      | $10839140.69  | 0.14%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2024-1                                      | CAPITAL STREET MASTER TRUST CAPST 2024 1 A 144A         | CUSIP: 14051LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4500000 | PA      | $4515291.45   | 0.06%             | 2028-10-16      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                                  | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 3A1        | CUSIP: 45660LZM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112786 | PA      | $85283.14     | 0.00%             | 2035-11-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A       | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32149 | PA      | $30212.36     | 0.00%             | 2046-06-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-1                                      | MLCC MORTGAGE INVESTORS INC MLCC 2004 1 2A2             | CUSIP: 59020UNP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       87925 | PA      | $83206.71     | 0.00%             | 2034-12-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                                  | PIKES PEAK CLO PIPK 2018 2A ARR 144A                    | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4200000 | PA      | $4204980.02   | 0.05%             | 2034-10-11      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 1.76 11/04/19-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-14473943.11 | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| SARANAC CLO LTD 2018-6A                                                 | SARANAC CLO LTD SRANC 2018 6A A1R 144A                  | CUSIP: 80317LAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      323080 | PA      | $323636.44    | 0.00%             | 2031-08-13      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $6469.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $45605.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                               | SEQUOIA MORTGAGE TRUST SEMT 10 2A1                      | CUSIP: 81743VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2887 | PA      | $2851.56      | 0.00%             | 2027-10-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.69 06/01/21-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2083916.07   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-8XS                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 8XS A1          | CUSIP: 61754PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       94427 | PA      | $45603.85     | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FM2533 FN 06/48 FIXED VAR                     | CUSIP: 3140X5Y72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39934 | PA      | $38399.59     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OAK HILL EUROPEAN CREDIT PARTNERS VII DAC 18-7A                         | OAK HILL EUROPEAN CREDIT PARTN OHECP 2018 7A AR 144A    | CUSIP: ACI1WXMN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3739655 | PA      | $4390929.79   | 0.06%             | 2031-10-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/28 1.25                              | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    91756140 | PA      | $92124391.34  | 1.19%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                 | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70678 | PA      | $67948.47     | 0.00%             | 2034-11-21      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-738.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $51548.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GRIFONAS FINANCE NO.1 PLC GRIF-1                                        | GRIFONAS FINANCE PLC GRIF 1 A REGS                      | CUSIP: B1DFQWII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       51176 | PA      | $58389.81     | 0.00%             | 2039-08-28      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CA2376 FN 09/48 FIXED 4                       | CUSIP: 3140Q9UA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       94306 | PA      | $90616.44     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26799 | PA      | $27107.98     | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/30 1.625                             | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   255823517 | PA      | $259826592.23 | 3.35%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1         | CUSIP: 07384MZV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      189341 | PA      | $189458.87    | 0.00%             | 2034-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT AS COVERED REGS 10/52 1.5           | CUSIP: ACI1NN643<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.21         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XI DAC 21-1                                      | CORDATUS CLO PLC CORDA 11A AR 144A                      | CUSIP: ACI1W60L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     7213685 | PA      | $8469232.17   | 0.11%             | 2031-10-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $1076.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70457 | PA      | $69755.85     | 0.00%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-47191.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.86500 02/13/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $28200437.98  | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $233884.38    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 9 LTD                                                           | KKR FINANCIAL CLO LTD KKR 9 AR2 144A                    | CUSIP: 48250LAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      346389 | PA      | $346568.32    | 0.00%             | 2030-07-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 11                                               | SEQUOIA MORTGAGE TRUST SEMT 11 A                        | CUSIP: 81744AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10706 | PA      | $9328.05      | 0.00%             | 2032-12-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                  | REALKREDIT DANMARK COVERED REGS 10/50 1                 | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.25         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2007-2                                      | MLCC MORTGAGE INVESTORS INC MLCC 2007 2 2A1             | CUSIP: 59024WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       95096 | PA      | $91359.36     | 0.00%             | 2037-06-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| VENTURE XXIX CLO LTD 2017-29A                                           | VENTURE CDO LTD VENTR 2017 29A AR 144A                  | CUSIP: 92331EAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      730137 | PA      | $731216.89    | 0.01%             | 2030-09-07      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO V DAC 5A                                             | HAYFIN EMERALD CLO HAYEM 5A AR 144A                     | CUSIP: ACI2RYDM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4000000 | PA      | $4701916.52   | 0.06%             | 2037-11-17      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-182264.16   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 1J1334 FH 09/36 FLOATING VAR          | CUSIP: 3128NHPT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7178 | PA      | $7331.44      | 0.00%             | 2036-09-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO 2022 XVIIIA LTD                                           | JAMESTOWN CLO LTD JTWN 2022 18A AR 144A                 | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3800000 | PA      | $3804309.62   | 0.05%             | 2035-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2        | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41325 | PA      | $39390.01     | 0.00%             | 2034-03-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $6181.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-32368.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2055.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/27 0.375                             | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      461362 | PA      | $457870.98    | 0.01%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |   -46100000 | NC      | $-539111.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-9                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 9 1A1          | CUSIP: 86364JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128696 | PA      | $117661.41    | 0.00%             | 2037-10-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                              | ARES CLO LTD ARES 2017 44A A1RR 144A                    | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4700000 | PA      | $4706020.47   | 0.06%             | 2034-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1              | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36971 | PA      | $36688.80     | 0.00%             | 2031-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2007-20N                                         | LEHMAN XS TRUST LXS 2007 20N A1                         | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7150315 | PA      | $7141976.46   | 0.09%             | 2037-12-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                   | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A3         | CUSIP: 68402BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6236248 | PA      | $3060572.30   | 0.04%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $44802.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BUND FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -1139 | NC      | $-566596.59   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    50000000 | PA      | $51706293.50  | 0.67%             | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZS4760 FR 03/48 FIXED 4               | CUSIP: 3132A5JD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11284 | PA      | $10849.95     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE3                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A2D        | CUSIP: 17310VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2634230 | PA      | $1802248.46   | 0.02%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED REGS 01/28 VAR                | CUSIP: ACI1HYKW8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      600000 | PA      | $688155.33    | 0.01%             | 2028-01-14      | Floating      | 0.65%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE2                                                    | GSAMP TRUST GSAMP 2005 HE2 M2                           | CUSIP: 36242DA60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2046133 | PA      | $1962921.31   | 0.03%             | 2035-03-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC5                                  | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC5 M6            | CUSIP: 61744CRW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6500000 | PA      | $6066685.30   | 0.08%             | 2035-06-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND VII DAC 7A                                       | CORDATUS CLO PLC CORDA 7A ARR 144A                      | CUSIP: ACI1W2TC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      396501 | PA      | $465023.81    | 0.01%             | 2031-09-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.91510 06/12/23-9Y* LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $3512797.88   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 741360 FN 10/33 FLOATING VAR                  | CUSIP: 31402XTR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1757 | PA      | $1776.16      | 0.00%             | 2033-10-01      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2006-OPT1                                   | STRUCTURED ASSET SECURITIES CO SASC 2006 OPT1 M1        | CUSIP: 86359UAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17257571 | PA      | $14534554.09  | 0.19%             | 2036-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                         | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2              | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10858 | PA      | $10435.19     | 0.00%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 1.8825 11/20/19-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-4013311.69  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.7025 01/14/25-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-255439.63   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $3037.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                              | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A               | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4200000 | PA      | $4200567.63   | 0.05%             | 2034-07-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $2767.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2021-FL6 LTD                                                        | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL6 A 144A      | CUSIP: 55283TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      105597 | PA      | $105758.06    | 0.00%             | 2036-07-16      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TR 2005-4                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 4 3A1          | CUSIP: 007036KD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       53172 | PA      | $52815.46     | 0.00%             | 2035-08-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $3271.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $92090.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MDPK-2021-39A                                                           | MADISON PARK FUNDING LTD MDPK 2021 39A AR 144A          | CUSIP: 55821LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1900000 | PA      | $1903600.06   | 0.02%             | 2034-10-22      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A1                                  | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A1 1A1        | CUSIP: 46627MCS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      674465 | PA      | $637863.92    | 0.01%             | 2036-03-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SILVER FUTURE     DEC25 XCEC 20251229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          11 | NC      | $365613.44    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD DKK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-68872.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY13 4A1      | CUSIP: 02149DAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900548 | PA      | $798099.29    | 0.01%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| DRYDEN 44 EURO CLO 2015 BV 15-44A                                       | DRYDEN EURO CLO DRYD 2015 44A A1RR 144A                 | CUSIP: ACI1VYV26<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      899852 | PA      | $1056960.29   | 0.01%             | 2034-04-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR10                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 1A4       | CUSIP: 92922FW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84621 | PA      | $80717.29     | 0.00%             | 2035-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-7                                          | LUMINENT MORTGAGE TRUST LUM 2006 7 1A1                  | CUSIP: 55028BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      131086 | PA      | $126656.25    | 0.00%             | 2036-12-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                     | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 3A1        | CUSIP: 161630AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22982 | PA      | $22782.85     | 0.00%             | 2037-02-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XVI DAC 16A                                                 | HARVEST CLO HARVT 16A ARR 144A                          | CUSIP: ACI1VVSJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      751479 | PA      | $883019.00    | 0.01%             | 2031-10-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.87880 06/12/23-9Y* LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $300181.02    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $1870.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-77219.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2007-HY4                                     | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 1A1        | CUSIP: 933636AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      394541 | PA      | $356907.28    | 0.00%             | 2037-04-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1                | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3017459 | PA      | $3023475.88   | 0.04%             | 2037-01-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-27079.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $107531.42    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $837626.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-AR1                                   | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR1 4A          | CUSIP: 65535VSE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4276 | PA      | $4.51         | 0.00%             | 2036-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 2YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -6946 | NC      | $-848933.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-16949.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 647904 FN 04/32 FLOATING VAR                  | CUSIP: 31390JX97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1522 | PA      | $1518.97      | 0.00%             | 2032-04-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| VOYA EURO CLO IV DAC 4A                                                 | VOYA EURO CLO VOYE 4A AR 144A                           | CUSIP: ACI21JC13<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2500000 | PA      | $2938764.75   | 0.04%             | 2034-10-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-133.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1         | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34605 | PA      | $24096.05     | 0.00%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                              | VMWARE LLC SR UNSECURED 08/27 3.9                       | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1893431.97   | 0.02%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                     | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5       | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54021 | PA      | $53904.57     | 0.00%             | 2036-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COTTON NO.2 FUTR  MAR26 IFUS 20260309                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -69 | NC      | $49722.57     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 708229 FN 04/33 FLOATING VAR                  | CUSIP: 31401GY24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33122 | PA      | $33818.23     | 0.00%             | 2033-04-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $511.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RES FUND CORP 1999-TBC3                                          | MELLON RESIDENTIAL FUNDING COR MRFC 1999 TBC3 A2        | CUSIP: 585525DF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11192 | PA      | $10958.12     | 0.00%             | 2029-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/29 0.875                             | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    81458142 | PA      | $80857712.76  | 1.04%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-35627.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A2       | CUSIP: 92922F4B1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      695393 | PA      | $660967.47    | 0.01%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BP2373 FN 04/50 FIXED 4                       | CUSIP: 3140K9T74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      259646 | PA      | $250578.54    | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US ULTRA BOND CBT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        3199 | NC      | $8910157.15   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $23393.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                         | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                 | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1703959 | PA      | $2001850.74   | 0.03%             | 2031-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| SOUNDS POINT CLO IV-R LTD 2013-3RA                                      | SOUND POINT CLO LTD SNDPT 2013 3RA A 144A               | CUSIP: 83609YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      999627 | PA      | $1000880.32   | 0.01%             | 2031-04-18      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                                           | FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2                    | CUSIP: 31393CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       40483 | PA      | $40380.62     | 0.00%             | 2042-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H17                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H17 CF          | CUSIP: 38382YXH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1256894 | PA      | $1265352.72   | 0.02%             | 2072-08-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | WHITE SUGAR (ICE) DEC25 IFEU 20251114                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          -4 | NC      | $256.17       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DRSLF-2017-54A                                                          | DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A          | CUSIP: 26244RAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1432373 | PA      | $1433090.31   | 0.02%             | 2029-10-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-45562.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5510                                                 | FREDDIE MAC FHR 5510 FM                                 | CUSIP: 3137HJMT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7456305 | PA      | $7486259.27   | 0.10%             | 2055-02-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 2A1        | CUSIP: 92990GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      697347 | PA      | $574383.67    | 0.01%             | 2037-05-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| ST PAULS CLO II DAC 2A                                                  | ST PAULS CLO SPAUL 2A AR4 144A                          | CUSIP: ACI21LGL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      900000 | PA      | $1056392.53   | 0.01%             | 2035-10-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF1                                      | STRUCTURED ASSET SECURITIES CO SASC 2005 WF1 M2         | CUSIP: 86359BV81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      248045 | PA      | $248012.85    | 0.00%             | 2035-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| HENLEY CLO VI DAC 6A                                                    | HENLEY FUNDING LTD. HNLY 6A A 144A                      | CUSIP: ACI2PTDS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3100000 | PA      | $3645147.41   | 0.05%             | 2034-06-10      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-1987714.36  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO XIV DAC 14A                                          | HAYFIN EMERALD CLO HAYEM 14A A 144A                     | CUSIP: ACI2SSWQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     5700000 | PA      | $6709592.60   | 0.09%             | 2039-01-22      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4851                                                 | FREDDIE MAC FHR 4851 PF                                 | CUSIP: 3137FKAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7762859 | PA      | $7459130.43   | 0.10%             | 2057-08-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-64775.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-33056.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME PRI ALUM FUTR NOV25 XLME 20251117                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          37 | NC      | $20631.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $20693.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1        | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      251543 | PA      | $85532.91     | 0.00%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $916.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 803338 FN 09/44 FLOATING VAR                  | CUSIP: 31405YPX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       92097 | PA      | $93225.68     | 0.00%             | 2044-09-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA8                                      | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA8 1A7       | CUSIP: 32052DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      638913 | PA      | $230009.36    | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                         | BEAR STEARNS ALT A TRUST BALTA 2006 4 21A1              | CUSIP: 073871AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      188411 | PA      | $119135.20    | 0.00%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 3.0425 02/21/25-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2725.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RA2231 FR 01/49 FIXED 4               | CUSIP: 3133KHPQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      135378 | PA      | $130344.66    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-3A                                  | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 3A A1 144A    | CUSIP: 16678RDT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      107948 | PA      | $102069.04    | 0.00%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD DKK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-11407.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-OAT FUTURE   DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -2447 | NC      | $-2093466.29  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-1                                     | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 1 1A4           | CUSIP: 65538PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      136366 | PA      | $129096.14    | 0.00%             | 2047-03-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA1                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA1 1A1        | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      615323 | PA      | $570326.61    | 0.01%             | 2046-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $5881.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CORN FUTURE       DEC25 XCBT 20251212                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -384 | NC      | $167991.25    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-30094.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-8314.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $337146.39    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $300493.17    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H0326B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7000000 | PA      | $6381859.26   | 0.08%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/31 0.125                             | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   330476851 | PA      | $310423548.47 | 4.01%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-16                                               | FANNIE MAE FNR 2025 16 FA                               | CUSIP: 3136BU5D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1718594 | PA      | $1725598.92   | 0.02%             | 2055-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-3209.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                              | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/36 1 | CUSIP: ACI2NDKJ4<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     8611167 | PA      | $10057880.10  | 0.13%             | 2036-05-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/28 0.75                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    63601964 | PA      | $63320934.10  | 0.82%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2599253 | PA      | $2080904.53   | 0.03%             | 2037-10-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| MMIFS RE LTD                                                            | MMIFS RE LTD SECURED 144A 01/33 VAR                     | CUSIP: ACI2T3G55<br>LEI: 254900C86PCL10JRTQ88 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $180660.34    | 0.00%             | 2033-01-10      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/43 0.625                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    80393007 | PA      | $61120675.67  | 0.79%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XXI DAC 21A                                                 | HARVEST CLO HARVT 21A A1R 144A                          | CUSIP: ACI1WSV44<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1351725 | PA      | $1587991.39   | 0.02%             | 2031-07-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                      | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A     | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4445197 | PA      | $4450274.70   | 0.06%             | 2031-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD8245 FR 09/52 FIXED 4.5             | CUSIP: 3132DWES8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1237653 | PA      | $1207611.95   | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797NL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      406000 | PA      | $403387.15    | 0.01%             | 2025-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A2A1       | CUSIP: 939336X65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      289107 | PA      | $287269.73    | 0.00%             | 2045-01-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.034 09/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-340872.42   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $63132.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $212978.77    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $135.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 544861 FN 12/36 FLOATING VAR                  | CUSIP: 31385HJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2242 | PA      | $2223.50      | 0.00%             | 2036-12-01      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1          | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      536786 | PA      | $526937.70    | 0.01%             | 2047-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| TRALEE CLO V LTD 2018-5A                                                | TRALEE CLO LTD TRAL 2018 5A A1RR 144A                   | CUSIP: 89300JBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2002352.24   | 0.03%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.86800 12/22/23-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-968531.99   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $36599.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FA          | CUSIP: 38383KCV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1539179 | PA      | $1548148.95   | 0.02%             | 2073-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $20793.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $19435.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BJ0639 FN 03/48 FIXED 4                       | CUSIP: 3140H1V98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      916098 | PA      | $880876.61    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-6903.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME NICKEL FUTURE JAN26 XLME 20260119                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          -1 | NC      | $1294.51      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | NATURAL GAS FUTR  MAR26 XNYM 20260225                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -17 | NC      | $-6055.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $17934.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $760425.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                       | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A       | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2100000 | PA      | $2100000.00   | 0.03%             | 2033-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-7521.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2006-19                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 2A3          | CUSIP: 12667CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3549582 | PA      | $3513546.68   | 0.05%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO II 2022-1A                                               | 37 CAPITAL CLO LTD PUTNM 2022 1A A1R 144A               | CUSIP: 88429PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     2100000 | PA      | $2103150.55   | 0.03%             | 2034-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-7751.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-84719.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-21014.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-10243.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $41544.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO VII DAC 7A                                       | BLACKROCK EUROPEAN CLO DAC BECLO 7A AR 144A             | CUSIP: ACI1W2WD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4923771 | PA      | $5785026.69   | 0.07%             | 2031-10-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LIVE CATTLE FUTR  DEC25 XCME 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          46 | NC      | $35003.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-47849.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A2         | CUSIP: 939336Z48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21685 | PA      | $21651.39     | 0.00%             | 2035-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3999.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                  | REALKREDIT DANMARK COVERED REGS 04/47 2.5               | CUSIP: ACI0B2V53<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |        7783 | PA      | $1148.39      | 0.00%             | 2047-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-16549.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICG US CLO 2018-1 LTD                                                   | ICG US CLO LTD ICG 2018 1A A1 144A                      | CUSIP: 449258AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       43441 | PA      | $43464.98     | 0.00%             | 2031-04-21      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN CLO DAC 2021-2A                                  | PALMER SQUARE EUROPEAN CLO PLMER 2021 2A A1 144A        | CUSIP: ACI2V0QZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2800000 | PA      | $3292048.34   | 0.04%             | 2035-04-15      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.763 09/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $898092.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.75750 01/18/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-7014.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $1687.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-7.99        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-2                                      | MLCC MORTGAGE INVESTORS INC MLCC 2006 2 4A              | CUSIP: 590219AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3417 | PA      | $3412.34      | 0.00%             | 2036-05-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/27 0.125                             | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    67501900 | PA      | $66581187.58  | 0.86%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-4328.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LEAN HOGS FUTURE  DEC25 XCME 20251212                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -72 | NC      | $-132031.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2339244.22   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $6194.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT AS COVERED REGS 10/43 0.5           | CUSIP: ACI1RMVS0<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.17         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR7                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR7 1A3A       | CUSIP: 172987AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      303084 | PA      | $288615.36    | 0.00%             | 2046-07-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COTTON NO.2 FUTR  DEC25 IFUS 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -26 | NC      | $22817.03     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BLACK DIAMOND CLO 2017-2 DAC                                            | BLACK DIAMOND CLO BLACK 2017 2A A1 144A                 | CUSIP: ACI1XBRF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |        8262 | PA      | $9705.14      | 0.00%             | 2032-01-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $1338.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $27424.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-695913.16   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5491                                                 | FREDDIE MAC FHR 5491 FA                                 | CUSIP: 3137HHVQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9308783 | PA      | $9322142.68   | 0.12%             | 2055-01-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/34 1.875                             | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   303920133 | PA      | $308461146.96 | 3.98%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $19597.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZM3037 FR 04/47 FIXED 4               | CUSIP: 3131XWLS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      523335 | PA      | $503595.16    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-501.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.55 04/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $55044.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF14                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF14 A1         | CUSIP: 32027LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1127704 | PA      | $1041501.95   | 0.01%             | 2036-10-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR5 1A1        | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19566 | PA      | $18865.32     | 0.00%             | 2034-10-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                                   | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 2A1          | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119235 | PA      | $111066.68    | 0.00%             | 2033-12-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ2                                            | PARK PLACE SECURITIES INC PPSI 2005 WHQ2 M4             | CUSIP: 70069FHX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8391000 | PA      | $7972537.47   | 0.10%             | 2035-05-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-27242.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                                     | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A1          | CUSIP: 59020USH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       94867 | PA      | $85574.86     | 0.00%             | 2035-02-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-116                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 116 QF          | CUSIP: 38381PC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23490792 | PA      | $23589618.18  | 0.30%             | 2055-07-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/27 0.375                             | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    55515922 | PA      | $55149395.89  | 0.71%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $23362.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBOUR CLO VI DAC 6A                                                    | ARBOUR CLO ARBR 6A AR 144A                              | CUSIP: ACI2RC930<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      800000 | PA      | $941361.90    | 0.01%             | 2037-11-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                                  | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20734 | PA      | $20236.59     | 0.00%             | 2030-12-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A        | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      249897 | PA      | $229937.15    | 0.00%             | 2046-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-4924.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-836887.53   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR15                                    | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR15 A1       | CUSIP: 94985AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6771 | PA      | $6509.02      | 0.00%             | 2036-10-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                        | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 2A1                | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54737 | PA      | $53031.51     | 0.00%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $262590.85    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-40729.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUT+5.89/0.3000 03/20/18-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $145442.20    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/28 1.75                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   294599973 | PA      | $299525580.95 | 3.87%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-427.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-4                                    | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A12          | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3849470 | PA      | $1927700.43   | 0.02%             | 2046-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | MILL WHEAT EURO   DEC25 XPAR 20251210                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | FR        |         -87 | NC      | $92786.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2951.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H22                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H22 F           | CUSIP: 38382YB36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16908619 | PA      | $16972256.77  | 0.22%             | 2072-10-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA7938 G2 03/52 FIXED 3.5                  | CUSIP: 36179WZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       72418 | PA      | $66708.99     | 0.00%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.31125 02/24/21-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4598546.97   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BABSON CLO LTD 2015-IA                                                  | BABSON CLO LTD BABSN 2015 IA AR 144A                    | CUSIP: 056162AN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      485217 | PA      | $485568.54    | 0.01%             | 2031-01-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-85159.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U4NEA1 PIMCO SWAPTION 2.465 PUT EUR 2025120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -65600000 | NC      | $-5121.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP FR NI 1.91 01/15/18-20Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | FR        |           1 | NC      | $-7806.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $21811.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                                           | ARGENT SECURITIES INC. ARSI 2006 W4 A2C                 | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1076164 | PA      | $258106.71    | 0.00%             | 2036-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MORTGAGE LOAN TR 2006-1                                    | INDYMAC INDB MORTGAGE LOAN TRU INDB 2006 1 A1           | CUSIP: 45661JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3636750 | PA      | $1146419.26   | 0.01%             | 2036-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-113419.69   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICG US CLO LTD 2015-2RA                                                 | ICG US CLO LTD ICG 2015 2RA A1R 144A                    | CUSIP: 44933WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2390487 | PA      | $2390486.26   | 0.03%             | 2033-01-16      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $709520.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-45127.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-39862.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A2         | CUSIP: 23245LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       58033 | PA      | $22019.77     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-10452.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | TTF NAT GAS F     NOV25 NDEX 20251030                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | NL        |         -10 | NC      | $15200.06     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED REGS 03/29 VAR                | CUSIP: ACI2B33K5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1000000 | PA      | $1309594.84   | 0.02%             | 2029-03-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1       | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36082 | PA      | $29192.37     | 0.00%             | 2047-02-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                          | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                 | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1647533 | PA      | $1506341.77   | 0.02%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR10                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR10 A3        | CUSIP: 92922FWZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      355424 | PA      | $346479.58    | 0.00%             | 2044-07-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTGE SEC VII 2003-1                                    | SALOMON BROTHERS MORTGAGE SECU SBM7 2003 1 A1 144A      | CUSIP: 79549AYP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91599 | PA      | $43778.60     | 0.00%             | 2033-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R SOFRRATE+15/91282CJH5 SOG                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-363508.96   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED REGS 10/50 1           | CUSIP: BK99HJII9<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.21         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $5299.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                                | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A                | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1700000 | PA      | $1702013.11   | 0.02%             | 2034-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                  | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 1A1 144A   | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      102250 | PA      | $49521.07     | 0.00%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BDS 2022-FL11 LLC                                                       | BDS LTD BDS 2022 FL11 ATS 144A                          | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3565735 | PA      | $3572486.56   | 0.05%             | 2039-03-19      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W1                                           | ARGENT SECURITIES INC. ARSI 2005 W1 A1                  | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1021058 | PA      | $930485.60    | 0.01%             | 2035-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $1190.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2022-6 DAC 6A                                              | OCP EURO CLO OCPE 2022 6A ARR 144A                      | CUSIP: ACI2YHRS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4900000 | PA      | $5770864.44   | 0.07%             | 2036-07-20      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 3A1         | CUSIP: 863579B49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24549 | PA      | $22600.27     | 0.00%             | 2035-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-5                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 5 A1A         | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      110182 | PA      | $95775.90     | 0.00%             | 2037-09-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                      | FANNIE MAE FNR 2007 73 A1                               | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       78952 | PA      | $77571.63     | 0.00%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-8                                                  | LEHMAN XS TRUST LXS 2006 8 3A4                          | CUSIP: 52522HAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2461695 | PA      | $2421800.63   | 0.03%             | 2036-06-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BK8718 FN 08/48 FIXED 4                       | CUSIP: 3140HNVL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50239 | PA      | $48273.84     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                             | FRANCE (GOVT OF) BONDS 144A REGS 07/31 0.1              | CUSIP: ACI1VB392<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    16647624 | PA      | $18530369.59  | 0.24%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA3993 FN 04/50 FIXED 4                       | CUSIP: 31418DNK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      275427 | PA      | $262513.97    | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.12 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $62331.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A35      | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1010341 | PA      | $847773.87    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-29240.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1         | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16159 | PA      | $15441.46     | 0.00%             | 2032-09-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   515300000 | PA      | $499626846.47 | 6.45%             | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $80054.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN MEAL FUTR DEC25 XCBT 20251212                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          47 | NC      | $-98550.08    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $166483.17    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $18515.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                                  | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A         | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4600000 | PA      | $4604830.00   | 0.06%             | 2034-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A        | CUSIP: 92925DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      865204 | PA      | $749058.32    | 0.01%             | 2046-12-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1         | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       62716 | PA      | $60171.61     | 0.00%             | 2034-01-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| ST PAULS CLO 4A                                                         | ST PAULS CLO SPAUL 4A ARR1 144A                         | CUSIP: ACI217GH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3579733 | PA      | $4205006.72   | 0.05%             | 2030-04-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-29CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 29CB A4       | CUSIP: 12667GUG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69249 | PA      | $37434.46     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRNTS-2021-17A                                                          | TRINITAS CLO LTD TRNTS 2021 17A AR 144A                 | CUSIP: 89642JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3200000 | PA      | $3200040.51   | 0.04%             | 2034-10-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $781.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BJ4340 FN 12/47 FIXED 4                       | CUSIP: 3140H5ZE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      284313 | PA      | $272812.14    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2          | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         128 | PA      | $126.89       | 0.00%             | 2034-04-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $476316.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1        | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18402 | PA      | $17359.55     | 0.00%             | 2034-11-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR6                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 2A1A       | CUSIP: 92922FJ25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2519 | PA      | $2577.72      | 0.00%             | 2045-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 2A1       | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       87266 | PA      | $81653.54     | 0.00%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A        | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2712 | PA      | $2621.86      | 0.00%             | 2035-05-19      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-2 LTD                                                | WELLFLEET CLO LTD WELF 2021 2A A1R 144A                 | CUSIP: 95023AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2706216.59   | 0.03%             | 2034-07-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.19000 11/04/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $19094587.96  | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVI 2021-1A                                  | PARK AVENUE INSTITUTIONAL ADVI PAIA 2021 1A A1AR 144A   | CUSIP: 70015QAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2200000 | PA      | $2201206.04   | 0.03%             | 2034-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-52                                               | FANNIE MAE FNR 2025 52 FB                               | CUSIP: 3136BWUZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3208616 | PA      | $3226266.95   | 0.04%             | 2055-07-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-35                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 35 A               | CUSIP: 313398VT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       72750 | PA      | $72619.67     | 0.00%             | 2031-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.165 04/16/19-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-4670153.27  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CAIRN CLO X BV 18-10A                                                   | CAIRN CLO BV CRNCL 2018 10A AR 144A                     | CUSIP: ACI1YFN80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2504861 | PA      | $2942787.23   | 0.04%             | 2031-10-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $43032.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK EURO FUNDING VIII DAC                                      | MADISON PARK EURO FUNDING CADOG 8A ARR 144A             | CUSIP: ACI2MYSN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    11843231 | PA      | $13919797.79  | 0.18%             | 2032-04-15      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-7316.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/31 0.125                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   247052145 | PA      | $230791170.35 | 2.98%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                                  | OZLM LTD OZLM 2019 24A A1AR 144A                        | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2479154 | PA      | $2483981.61   | 0.03%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN MEAL FUTR MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -39 | NC      | $55582.97     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-24563.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 4A2              | CUSIP: 46630GAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4427 | PA      | $4445.67      | 0.00%             | 2035-07-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                        | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 2A1              | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70487 | PA      | $67274.42     | 0.00%             | 2035-08-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2004-3                                          | HOME EQUITY ASSET TRUST HEAT 2004 3 M1                  | CUSIP: 437084CE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      360619 | PA      | $359291.47    | 0.00%             | 2034-08-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1613.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.75000 01/18/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-153212.33   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME NICKEL FUTURE NOV25 XLME 20251117                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          -9 | NC      | $10452.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 4694                                                 | FREDDIE MAC FHR 4694 FA                                 | CUSIP: 3137BYWC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      110647 | PA      | $107762.81    | 0.00%             | 2047-06-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-10                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 10 2A1A       | CUSIP: 41161PTN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      207218 | PA      | $134182.00    | 0.00%             | 2035-11-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                               | MAN GLG EURO CLO GLGE 5A A1R 144A                       | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2560667 | PA      | $3009819.42   | 0.04%             | 2031-12-15      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| REGATTA XVI FUNDING LTD 2019-2A                                         | REGATTA XVI FUNDING LTD. REG16 2019 2A A1R 144A         | CUSIP: 75888TAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      557154 | PA      | $558520.29    | 0.01%             | 2033-01-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $27.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                    | GSAMP TRUST GSAMP 2007 FM1 A1                           | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1582740 | PA      | $846995.16    | 0.01%             | 2036-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/44 1.375                             | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   202306472 | PA      | $173167554.63 | 2.24%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR4                                     | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR4 2A4       | CUSIP: 94983PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      234126 | PA      | $232271.89    | 0.00%             | 2036-04-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LN TR 2004-2                                | STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4           | CUSIP: 86358EGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       98353 | PA      | $103271.50    | 0.00%             | 2034-03-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.421 05/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $44850.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-50CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 50CB 1A1      | CUSIP: 12668ALH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12946 | PA      | $10614.80     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U4NFA0 PIMCO SWAPTION 2.465 CALL EUR 202512          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -65600000 | NC      | $-433386.43   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      365000 | PA      | $360973.78    | 0.00%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-77855.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR16                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR16 1A1       | CUSIP: 92922F6W3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11020 | PA      | $10135.57     | 0.00%             | 2035-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 06/20/24-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3720575.18   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                    | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A     | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3900000 | PA      | $4578797.58   | 0.06%             | 2035-07-15      | Floating      | 2.96%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.4875 05/15/22-15Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $336.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5534                                                 | FREDDIE MAC FHR 5534 FP                                 | CUSIP: 3137HLER9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16967860 | PA      | $16942825.82  | 0.22%             | 2055-05-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                  | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A       | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      890535 | PA      | $578148.73    | 0.01%             | 2036-01-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-4.93        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $9853.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR1                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A5         | CUSIP: 939336PB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1967 | PA      | $1937.11      | 0.00%             | 2033-03-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $4533.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.59 12/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1733795.89   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 1.38 03/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-10861294.66 | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/33 1.375                             | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   325045328 | PA      | $320160774.34 | 4.13%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $5189.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                    | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    38800000 | PA      | $38800000.00  | 0.50%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                    | JYSKE REALKREDIT A/S COVERED REGS 10/50 1               | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    15535773 | PA      | $1923190.39   | 0.02%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-4                                  | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 4 M1          | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      739748 | PA      | $723305.34    | 0.01%             | 2035-02-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME ZINC FUTURE   JAN26 XLME 20260119                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          30 | NC      | $43463.05     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $13011.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $11253.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.736 10/15/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1460615.57   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-5858.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 3.13 05/15/22-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $180086.71    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-39463.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H14                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H14 FA          | CUSIP: 38380LYK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1074949 | PA      | $1086484.84   | 0.01%             | 2069-08-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1         | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8866 | PA      | $8164.32      | 0.00%             | 2035-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BRENT CRUDE FUTR  MAR26 IFEU 20260130                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |           3 | NC      | $-1609.85     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-5                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 5 M4            | CUSIP: 126673V33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75841 | PA      | $75459.70     | 0.00%             | 2035-10-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR14                                 | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR14 1A1A      | CUSIP: 45660LRU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      191480 | PA      | $140339.81    | 0.00%             | 2035-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.38 10/15/24-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-92624.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $6138.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 806506 FN 10/44 FLOATING VAR                  | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      109690 | PA      | $111047.60    | 0.00%             | 2044-10-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-18N                                                | LEHMAN XS TRUST LXS 2006 18N A3                         | CUSIP: 52522GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      623749 | PA      | $616119.99    | 0.01%             | 2036-12-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-28681.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-1129903.66  | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANCE BANCORP TRUST 2007-OA1                                         | ALLIANCE BANCORP TRUST ALBT 2007 OA1 A1                 | CUSIP: 01852TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2732756 | PA      | $2403219.05   | 0.03%             | 2037-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $237425.25    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5           | CUSIP: ACI1X30Y6<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |     2489369 | PA      | $266091.75    | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-3.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN MEAL FUTR JAN26 XCBT 20260114                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         188 | NC      | $-171936.19   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                                 | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    41299519 | PA      | $41370108.54  | 0.53%             | 2054-11-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BN8854 FN 04/49 FIXED 4                       | CUSIP: 3140JRZU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25607 | PA      | $24413.87     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QA1406 FR 07/49 FIXED 4               | CUSIP: 31334XR35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      194101 | PA      | $185517.88    | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.19700 11/08/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $33326792.43  | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN 60 CLO LTD                                                       | DRYDEN SENIOR LOAN FUND DRSLF 2018 60A A 144A           | CUSIP: 26251NAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      575069 | PA      | $575988.87    | 0.01%             | 2031-07-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-7                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 7 3CB         | CUSIP: 93934FBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      145037 | PA      | $124469.67    | 0.00%             | 2035-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CATAMARAN CLO LTD 2014-1A                                               | CATAMARAN CLO LTD CRMN 2014 1A A1AR 144A                | CUSIP: 14889DAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      725293 | PA      | $726199.29    | 0.01%             | 2030-04-22      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      933000 | PA      | $926543.02    | 0.01%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                        | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 1A2                | CUSIP: 36242DH55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18602 | PA      | $16285.02     | 0.00%             | 2035-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.31375 02/26/21-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $8585110.04   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 5                                                | SEQUOIA MORTGAGE TRUST SEMT 5 A                         | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4893 | PA      | $4831.89      | 0.00%             | 2026-10-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $2349.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-14449.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                             | BANK OF AMERICA CORP JR SUBORDINA 12/99 VAR             | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |     6580000 | NS      | $6654748.80   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H20                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H20 FG          | CUSIP: 38376RYS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3097 | PA      | $3106.96      | 0.00%             | 2066-08-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $28469.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                     | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3             | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1300705 | PA      | $1288141.45   | 0.02%             | 2034-10-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/29 2.125                             | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   100781705 | PA      | $104051925.19 | 1.34%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 10/26 0.125                             | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   168692805 | PA      | $167776168.78 | 2.17%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $20806.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-55983.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $7759.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.50000 12/15/21-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $2705278.37   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | PALLADIUM FUTURE  DEC25 XNYM 20251229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           4 | NC      | $7092.96      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST SERIES 2006-NC2 2006-NC2                 | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 NC2 A4         | CUSIP: 14453FAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2827707 | PA      | $2722606.08   | 0.04%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $3164.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1425.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | WHEAT FUTURE(CBT) DEC25 XCBT 20251212                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -120 | NC      | $309065.91    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | WHEAT FUTURE(CBT) MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -96 | NC      | $197612.85    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DRYDEN 52 EURO CLO 2017 17-52A                                          | DRYDEN EURO CLO DRYD 2017 52A AR 144A                   | CUSIP: ACI1YL2T4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     6094715 | PA      | $7145218.20   | 0.09%             | 2034-05-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 615096 FN 02/32 FLOATING VAR                  | CUSIP: 31388UKH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2700 | PA      | $2710.74      | 0.00%             | 2032-02-01      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-48480.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                  | REALKREDIT DANMARK COVERED REGS 10/53 1                 | CUSIP: BL63VNII8<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |        2791 | PA      | $326.82       | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.7675 05/13/21-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4528894.17   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                        | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A      | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      770629 | PA      | $771171.32    | 0.01%             | 2036-10-16      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $398422.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                  | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: ACI1WVDP0<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.26         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 2A4           | CUSIP: 12670FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      387250 | PA      | $375692.46    | 0.00%             | 2036-02-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR1                                   | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR1 A3         | CUSIP: 45662BAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240346 | PA      | $187394.33    | 0.00%             | 2036-08-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-4 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 4 1A3         | CUSIP: 93936NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3733918 | PA      | $2907277.93   | 0.04%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3         | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      114008 | PA      | $112276.44    | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-44171.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2         | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8290 | PA      | $8251.80      | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1          | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       59854 | PA      | $51935.02     | 0.00%             | 2047-01-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TTF NAT GAS F     DEC25 NDEX 20251127                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | NL        |         -40 | NC      | $54103.94     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-2955.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST 2003-2                               | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 2 M1          | CUSIP: 64352VCR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      345637 | PA      | $334869.63    | 0.00%             | 2033-03-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1       | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       82969 | PA      | $77598.36     | 0.00%             | 2046-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 3.466 09/15/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $192451.51    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 1A1              | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8421 | PA      | $8419.31      | 0.00%             | 2035-07-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XVI LTD 2022-1A                                       | MOUNTAIN VIEW CLO MVEW 2022 1A A1R 144A                 | CUSIP: 62432UAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3400000 | PA      | $3405716.11   | 0.04%             | 2034-04-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | UNITED MEXICAN STATES SR UNSECURED 01/38 6.625          | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1700000 | PA      | $1790967.00   | 0.02%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                             | CANADIAN GOVERNMENT RRB BONDS 12/26 4.25                | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    39425190 | PA      | $29531395.65  | 0.38%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | NATURAL GAS FUTR  JAN26 XNYM 20251229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -25 | NC      | $-5259.41     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $68745.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2008-1                                           | COUNTRYWIDE HOME LOANS CWHL 2008 1 A4                   | CUSIP: 12544YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       59972 | PA      | $61440.40     | 0.00%             | 2038-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-39519.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO 4 LTD 2023-2A                                            | 37 CAPITAL CLO LTD PUTNM 2023 2A AR 144A                | CUSIP: 883932AN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2300000 | PA      | $2301625.53   | 0.03%             | 2035-04-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2018-1A DAC                                   | ROCKFORD TOWER EUROPE CLO RFTE 2018 1A A1RR 144A        | CUSIP: ACI2ZP3T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1100000 | PA      | $1295649.60   | 0.02%             | 2036-08-29      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.37 06/06/18-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2591670.92  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $5965.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $677759.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.703 05/25/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2077238.67   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5           | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           1 | PA      | $0.16         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                      | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A       | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500625.00    | 0.01%             | 2035-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5564                                                 | FREDDIE MAC FHR 5564 FB                                 | CUSIP: 3137HMD23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1188922 | PA      | $1195113.01   | 0.02%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $90195.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA4                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A         | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      301462 | PA      | $267270.32    | 0.00%             | 2047-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $29516.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BM2007 FN 09/48 FIXED VAR                     | CUSIP: 3140J6GR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      154387 | PA      | $148426.45    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZS4772 FR 06/48 FIXED 4               | CUSIP: 3132A5JR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      109309 | PA      | $105088.92    | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 10/29 1.625                             | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    49791070 | PA      | $50790792.03  | 0.66%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-30                                                      | FANNIE MAE FNR 2006 30 KF                               | CUSIP: 31395B6R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16487 | PA      | $16381.41     | 0.00%             | 2036-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2006-AA2                                                 | BCAP LLC TRUST BCAP 2006 AA2 A1                         | CUSIP: 05530MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      631778 | PA      | $590919.02    | 0.01%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R 4.35/91282CDC2 BPS                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-286925.75   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $27144.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $6056.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-1 DAC 24-1A                    | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 1A AR 144A    | CUSIP: ACI2W0KY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3652515 | PA      | $4283626.07   | 0.06%             | 2033-08-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-45394.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO III DESIGNATED ACTIVITY CO 3A                    | BLACKROCK EUROPEAN CLO DAC BECLO 3A AR 144A             | CUSIP: ACI1Y3X37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1000000 | PA      | $1171996.07   | 0.02%             | 2035-07-19      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99727 | PA      | $92318.18     | 0.00%             | 2037-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-15                                                      | FANNIE MAE FNR 2006 15 FC                               | CUSIP: 31395BVE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33283 | PA      | $32819.40     | 0.00%             | 2036-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                                      | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2500000 | PA      | $2504271.93   | 0.03%             | 2034-10-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                                  | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      216484 | PA      | $210101.13    | 0.00%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 3.323 04/23/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $59150.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2005-2                                                  | CHASEFLEX TRUST CFLX 2005 2 3A2                         | CUSIP: 16165TBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      166820 | PA      | $70649.87     | 0.00%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT AS COVERED REGS 10/47 2.5           | CUSIP: ACI09WV27<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |       18117 | PA      | $2669.84      | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | UK NATURAL GAS FUTNOV25 IFEU 20251030                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -10 | NC      | $9836.89      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QE6052 FR 07/52 FIXED 4.5             | CUSIP: 3133BFWM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      124388 | PA      | $121253.14    | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1        | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56871 | PA      | $21652.14     | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-1213.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $7481.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                           | GREYWOLF CLO LTD GWOLF 2020 3RA A1R2 144A               | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3218222 | PA      | $3226781.70   | 0.04%             | 2033-04-22      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A1                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A1 2A2         | CUSIP: 59020UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      260312 | PA      | $247868.17    | 0.00%             | 2034-02-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          22 | NC      | $-5695.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR12                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR12 A1        | CUSIP: 92922FZE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       93604 | PA      | $89957.02     | 0.00%             | 2044-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A4        | CUSIP: 45660LQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84533 | PA      | $63098.53     | 0.00%             | 2035-08-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2024-3A LTD                                             | ATLANTIC AVENUE LTD MCCP 2024 3A A 144A                 | CUSIP: 04822JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4750000 | PA      | $4755937.50   | 0.06%             | 2035-01-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BK5226 FN 09/48 FIXED 4                       | CUSIP: 3140HJYY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3385 | PA      | $3358.61      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002 AR2                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A          | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      144705 | PA      | $140643.95    | 0.00%             | 2034-02-27      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-4526.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO2                                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO2 A1         | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60513 | PA      | $51694.02     | 0.00%             | 2045-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KBX1       | FHLMC MULTIFAMILY STRUCTURED P FHMS KBX1 A2             | CUSIP: 3137F4CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      258758 | PA      | $257224.73    | 0.00%             | 2026-01-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                 | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N7309<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.28         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 847524 FH 06/33 FLOATING VAR          | CUSIP: 3128JRLD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23868 | PA      | $24314.45     | 0.00%             | 2033-06-01      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $6043.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS R SOFRRATE+13/912828V49 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-541694.11   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1        | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      320008 | PA      | $275679.73    | 0.00%             | 2035-12-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA4733 FN 09/52 FIXED 4.5                     | CUSIP: 31418EHK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      876343 | PA      | $854528.80    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-16090.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BBAM EUROPEAN CLO I DAC 1A                                              | BBAM EUROPEAN CLO BBAME 1A AR 144A                      | CUSIP: ACI2M3430<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1000000 | PA      | $1175735.54   | 0.02%             | 2034-07-22      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEXICAN UDIBONOS BONDS 08/34 4                          | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     2727663 | PA      | $142672.26    | 0.00%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/53 1                | CUSIP: ACI1N7374<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |       12255 | PA      | $1540.14      | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-2                                    | WELLS FARGO HOME EQUITY TRUST WFHET 2005 2 M9           | CUSIP: 94981PAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      236905 | PA      | $237191.58    | 0.00%             | 2034-12-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $41852.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-3 LTD                                      | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 3A A1R 144A     | CUSIP: 05684NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     1600000 | PA      | $1605898.75   | 0.02%             | 2035-07-17      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.75000 03/18/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $631570.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.842 02/13/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-119573.21   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                               | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A AR 144A          | CUSIP: ACI2VQ1V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     9522954 | PA      | $11183872.88  | 0.14%             | 2033-08-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $47.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-6186.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-4                                   | TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A6            | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1230258 | PA      | $31469.26     | 0.00%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $25615.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                         | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |       63000 | PA      | $60584.88     | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 3A1        | CUSIP: 93362FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60751 | PA      | $54878.99     | 0.00%             | 2036-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA1                                     | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA1 A1        | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112664 | PA      | $112776.04    | 0.00%             | 2034-06-25      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-10                     | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 10 A3         | CUSIP: 07387AET8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      129484 | PA      | $129260.06    | 0.00%             | 2035-10-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                         | JUBILEE CDO BV JUBIL 2016 17A A1RR 144A                 | CUSIP: ACI1W2TB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     6153185 | PA      | $7228905.43   | 0.09%             | 2031-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 2A1          | CUSIP: 05951EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2126801 | PA      | $1836956.41   | 0.02%             | 2047-01-20      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC2                                  | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A         | CUSIP: 585525FX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30096 | PA      | $29892.47     | 0.00%             | 2032-08-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZA7045 FR 06/49 FIXED 4               | CUSIP: 31329QZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21662 | PA      | $20794.33     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SPAUL-11A                                                               | ST PAULS CLO SPAUL 11A AR 144A                          | CUSIP: ACI2SP260<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3690796 | PA      | $4337864.39   | 0.06%             | 2032-01-17      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA3                                     | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA3 A1        | CUSIP: 32051D6B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18062 | PA      | $18437.66     | 0.00%             | 2034-09-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| M360 2021-CRE3 LLC                                                      | M360 LTD. M360 2021 CRE3 A 144A                         | CUSIP: 55379AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      111590 | PA      | $109898.05    | 0.00%             | 2038-11-22      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER CLO LTD 2017-3A                                   | WIND RIVER CLO LTD WINDR 2017 3A AR2 144A               | CUSIP: 97316LAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6700000 | PA      | $6710334.88   | 0.09%             | 2035-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COFFEE 'C' FUTURE MAR26 IFUS 20260319                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           7 | NC      | $204985.57    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | TRS R 4.27/9128283R9 MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-551863.61   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US LONG BOND(CBT) DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -4352 | NC      | $-10878782.61 | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-R1                                     | RESIDENTIAL ASSET SECURITIZATI RAST 2006 R1 A2          | CUSIP: 76113MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54859 | PA      | $14783.18     | 0.00%             | 2046-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                             | FRANCE (GOVT OF) BONDS 144A REGS 03/26 0.1              | CUSIP: ACI1N4959<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    83842234 | PA      | $98070820.77  | 1.27%             | 2026-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-1063.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-119.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2.95         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $305.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/27 2.375                             | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2765560 | PA      | $2815420.08   | 0.04%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED REGS 09/27 VAR                | CUSIP: ACI27Z6Z3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      300000 | PA      | $413638.72    | 0.01%             | 2027-09-30      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.76000 01/18/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-232090.77   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                   | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 10091158773 | PA      | $69396547.80  | 0.90%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING V CLO LTD 2016-5A                                         | CEDAR FUNDING LTD CEDF 2016 5A A1R 144A                 | CUSIP: 15032AAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1294092 | PA      | $1296238.19   | 0.02%             | 2031-07-17      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/26 0.125                             | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   226154207 | PA      | $225381306.51 | 2.91%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        3893 | NC      | $4327804.41   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A              | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 2A AR1 144A   | CUSIP: ACI1XGH29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2109701 | PA      | $2478315.57   | 0.03%             | 2031-11-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOYBEAN OIL FUTR  DEC25 XCBT 20251212                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          -7 | NC      | $19858.54     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | CARBON EMISSIONS FUTURES NDEX 20251215                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | NL        |          13 | NC      | $-2926.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA8099 G2 06/52 FIXED 3.5                  | CUSIP: 36179W7L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   111420325 | PA      | $102108247.31 | 1.32%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $2254.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/28 3.625                             | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   297719087 | PA      | $316836052.53 | 4.09%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $2430.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/45 0.75                              | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   166946843 | PA      | $124615218.84 | 1.61%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-94543.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $171200.54    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                             | FRANCE (GOVT OF) BONDS 144A REGS 07/38 0.1              | CUSIP: ACI25Z7H4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      120188 | PA      | $114413.63    | 0.00%             | 2038-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.573 08/26/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $798835.82    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2          | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       45851 | PA      | $44414.69     | 0.00%             | 2034-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE6                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE6 A2B        | CUSIP: 59023XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8864867 | PA      | $2799980.79   | 0.04%             | 2037-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.41875 03/05/21-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $9599193.82   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/35 1.875                             | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   150500592 | PA      | $151766428.40 | 1.96%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $41778.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 1.9975 07/25/19-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1434006.40  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOUR CLO VII DAC 7A                                                   | ARBOUR CLO ARBR 7A AR 144A                              | CUSIP: ACI2S2CF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4200000 | PA      | $4938301.81   | 0.06%             | 2038-12-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A5                                     | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A5 A3          | CUSIP: 45660LJZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3812366 | PA      | $2291326.86   | 0.03%             | 2035-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-19XS                                     | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS 1A1       | CUSIP: 863579YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      216650 | PA      | $209144.68    | 0.00%             | 2035-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME PRI ALUM FUTR JAN26 XLME 20260119                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -17 | NC      | $-22473.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2761.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR5                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7         | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90435 | PA      | $90667.12     | 0.00%             | 2033-06-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $141.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2013-1A                                                    | VOYA CLO LTD INGIM 2013 1A A1AR 144A                    | CUSIP: 92917CAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      227656 | PA      | $227782.37    | 0.00%             | 2030-10-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                     | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1       | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       63295 | PA      | $58419.70     | 0.00%             | 2036-02-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797NA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      121000 | PA      | $120605.87    | 0.00%             | 2025-10-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.813 05/14/21-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1834820.77   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.59 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $407591.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-55243.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-137.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.58 03/15/22-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $274261.03    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                                 | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1        | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12017 | PA      | $11684.76     | 0.00%             | 2031-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                        | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 1A1              | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76519 | PA      | $59734.08     | 0.00%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA6          | CUSIP: 059515AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55017 | PA      | $47404.89     | 0.00%             | 2037-04-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CORN FUTURE       MAR26 XCBT 20260313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |        -156 | NC      | $-8955.77     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A        | CUSIP: 41161PSK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      107759 | PA      | $103555.37    | 0.00%             | 2035-06-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/42 0.75                              | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   195529313 | PA      | $155209702.25 | 2.00%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-476527.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3                                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH3 M3        | CUSIP: 17309QAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17188000 | PA      | $16935709.38  | 0.22%             | 2036-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 847216 FH 01/34 FLOATING VAR          | CUSIP: 3128JRAR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       92672 | PA      | $94956.52     | 0.00%             | 2034-01-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 3.3 06/04/2025-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $16153.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD0250 FR 06/48 FIXED 4               | CUSIP: 3132DMH32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1109929 | PA      | $1067664.14   | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN GOVT CPI LINKED BONDS 03/29 0.1                   | CUSIP: ACI1BXN03<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 13845138750 | PA      | $95587021.43  | 1.23%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN EUR CLO 5A                                                 | BLUEMOUNTAIN EUR CLO BLUME 5A A 144A                    | CUSIP: ACI1GHFQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      875015 | PA      | $1028252.33   | 0.01%             | 2033-01-15      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $57228.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME PRI ALUM FUTR NOV25 XLME 20251117                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |         -41 | NC      | $-78310.07    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                 | BCAP LLC TRUST BCAP 2011 RR5 10A6 144A                  | CUSIP: 05533YBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1002562 | PA      | $908433.49    | 0.01%             | 2036-04-26      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260514                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-51539.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $80550.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 647903 FN 04/27 FLOATING VAR                  | CUSIP: 31390JX89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         396 | PA      | $398.20       | 0.00%             | 2027-04-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                         | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |     1050000 | PA      | $1119825.00   | 0.01%             | 2032-01-07      | Floating      | 12.43%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-678593.02   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP EM NI 2.7 04/15/23-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1716315.94   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    64300000 | PA      | $64792026.17  | 0.84%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 2A4       | CUSIP: 12668BSJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      947451 | PA      | $335732.78    | 0.00%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/43 0.5              | CUSIP: ACI1RSH20<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.30         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-WMC2                                  | MORGAN STANLEY CAPITAL INC MSAC 2004 WMC2 M1            | CUSIP: 61746RHS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      202149 | PA      | $204632.67    | 0.00%             | 2034-07-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $44303.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-2                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 2 1A            | CUSIP: 12668NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140164 | PA      | $128050.43    | 0.00%             | 2037-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-5969518.88  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 1A1        | CUSIP: 12668ACG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      147526 | PA      | $140555.62    | 0.00%             | 2035-11-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-1                       | BEAR STEARNS ASSET BACKED SECU BSABS 2004 1 M1          | CUSIP: 07384YSY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37819 | PA      | $43032.61     | 0.00%             | 2034-06-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A2        | CUSIP: 92925VAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150201 | PA      | $129259.51    | 0.00%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $77.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/55 2.375                             | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    79849380 | PA      | $78036688.08  | 1.01%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-46CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 46CB A12      | CUSIP: 12667G7F4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       58842 | PA      | $37871.99     | 0.00%             | 2035-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-31.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN ABS MANUFACTURED HOUSING 2001-B                                  | LEHMAN ABS MANUFACTURED HOUSIN LABMH 2001 B M2          | CUSIP: 52519SAM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3570605 | PA      | $3399107.81   | 0.04%             | 2040-04-15      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A      | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      173906 | PA      | $161245.39    | 0.00%             | 2035-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS SA 12A CLAS/ISIT/TIPS          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       | -8853836422 | PA      | $-59920675.65 | -0.77%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 544860 FN 09/34 FLOATING VAR                  | CUSIP: 31385HJD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1800 | PA      | $1784.15      | 0.00%             | 2034-09-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/53 1.5                               | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13692672 | PA      | $10970416.27  | 0.14%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 3.365 09/15/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-31853.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                                 | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 2A3       | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2349335 | PA      | $2132246.21   | 0.03%             | 2037-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1375.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO X BV 10A                                              | ARES EUROPEAN CLO ARESE 10A AR 144A                     | CUSIP: ACI1Y2RR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2647182 | PA      | $3107304.11   | 0.04%             | 2031-10-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR15                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR15 A1        | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      444329 | PA      | $437754.75    | 0.01%             | 2036-07-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                                  | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 2A1        | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1380 | PA      | $1437.30      | 0.00%             | 2035-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                               | SEQUOIA MORTGAGE TRUST SEMT 10 1A                       | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4206 | PA      | $4089.21      | 0.00%             | 2027-10-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-28279.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/47 0.875                             | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   189376711 | PA      | $139991787.23 | 1.81%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | WTI CRUDE FUTURE  MAR26 XNYM 20260220                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          11 | NC      | $-19495.39    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: ACI1WZT66<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     8590640 | PA      | $1068457.45   | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 2021-43A                      | NEUBERGER BERMAN CLO LTD NEUB 2021 43A AR 144A          | CUSIP: 64134AAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2702997.35   | 0.03%             | 2036-07-17      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $3834.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/50 0.25                              | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   103872375 | PA      | $61518481.55  | 0.79%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO LTD 2017-1A                                                  | ROMARK CLO LTD RMRK 2017 1A A1R 144A                    | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1172382 | PA      | $1173035.89   | 0.02%             | 2030-10-23      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                                     | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2A        | CUSIP: 59024LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       98925 | PA      | $27888.93     | 0.00%             | 2037-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COFFEE 'C' FUTURE DEC25 IFUS 20251218                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -11 | NC      | $-337038.75   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | KC HRW WHEAT FUT  DEC25 XCBT 20251212                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -63 | NC      | $211416.01    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR19                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR19 A1        | CUSIP: 45660LXA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       81347 | PA      | $65393.54     | 0.00%             | 2035-10-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | NY HARB ULSD FUT  MAR26 XNYM 20260227                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          30 | NC      | $17975.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3797.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1269.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARALLEL 2021-1 LTD                                                     | PARALLEL LTD PARL 2021 1A AR 144A                       | CUSIP: 69916HAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1600000 | PA      | $1601280.00   | 0.02%             | 2034-07-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.74000 09/10/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-186558.85   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/29 2.5                               | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   104832419 | PA      | $109572743.19 | 1.41%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-7                                    | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 7 4A1          | CUSIP: 007036MX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33862 | PA      | $31544.91     | 0.00%             | 2035-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR1                                     | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2         | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      164512 | PA      | $150433.03    | 0.00%             | 2045-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO I LTD 2018-3A                                           | 522 FUNDING CLO LTD MORGN 2018 3A AR 144A               | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2207948 | PA      | $2210463.07   | 0.03%             | 2031-10-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC1                                  | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC1 A         | CUSIP: 585525FN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2758 | PA      | $2030.83      | 0.00%             | 2030-09-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $194974.29    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1         | CUSIP: 07384MB68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      153839 | PA      | $145076.04    | 0.00%             | 2034-02-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITT CAP I 2003-NC2                                 | MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 NC2 M1        | CUSIP: 61746WA75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      154132 | PA      | $164649.15    | 0.00%             | 2033-02-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-47118.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-5                                        | NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2C               | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1189350 | PA      | $368329.87    | 0.00%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12        | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1681462 | PA      | $1675527.24   | 0.02%             | 2031-12-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL ZA6946 FR 05/49 FIXED 4               | CUSIP: 31329QWF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      254634 | PA      | $244517.48    | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A5                                            | JP MORGAN MORTGAGE TRUST JPMMT 2005 A5 3A3              | CUSIP: 466247SL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2046 | PA      | $2051.73      | 0.00%             | 2035-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 2A5           | CUSIP: 126673BR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      254961 | PA      | $247435.29    | 0.00%             | 2034-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $4219.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO6                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1         | CUSIP: 75114NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2475739 | PA      | $519846.72    | 0.01%             | 2046-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM8                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 NQM8 A1 144A     | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6343838 | PA      | $5804339.36   | 0.07%             | 2066-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 3A3        | CUSIP: 45661EGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133554 | PA      | $115810.79    | 0.00%             | 2036-06-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                    | JYSKE REALKREDIT A/S COVERED 10/47 2.5                  | CUSIP: ACI09QH00<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |        6710 | PA      | $988.48       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $93391.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTER MTGE SEC 2007-FA4                                   | FIRST HORIZON ALTERNATIVE MORT FHAMS 2007 FA4 1A8       | CUSIP: 32052WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      139222 | PA      | $47293.22     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 081557 G2 12/35 FLOATING VAR               | CUSIP: 36225DWT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      113409 | PA      | $116146.26    | 0.00%             | 2035-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-94602.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-52209.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | UNITED MEXICAN STATES SR UNSECURED 07/32 5.85           | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1800000 | PA      | $1860570.00   | 0.02%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                           | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                  | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4138 | PA      | $4122.43      | 0.00%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SOFR/2.28500 11/15/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $13989502.83  | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-59844.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $2950.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2010-H01                                     | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H01 FA          | CUSIP: 38376T5N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1271604 | PA      | $1278365.74   | 0.02%             | 2060-01-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $177561.91    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2003-A5                                     | RESIDENTIAL ASSET SECURITIZATI RAST 2003 A5 A2          | CUSIP: 45660NQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32030 | PA      | $31781.50     | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $28971.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/47 2.5              | CUSIP: ACI0CR3W9<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        3158 | PA      | $465.38       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | GOLD 100 OZ FUTR  DEC25 XCEC 20251229                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -42 | NC      | $-909686.14   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-982.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-8                                      | HOME EQUITY ASSET TRUST HEAT 2005 8 M2                  | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5595933 | PA      | $5506034.52   | 0.07%             | 2036-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $138741.80    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                    | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |           2 | PA      | $0.21         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $874.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $12556.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-1                                   | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 1 2A          | CUSIP: 41161PCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39863 | PA      | $37091.79     | 0.00%             | 2034-04-19      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE2                                     | MORGAN STANLEY CAPITAL INC MSAC 2005 HE2 M2             | CUSIP: 61744CNC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      108544 | PA      | $106378.75    | 0.00%             | 2035-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-96068.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SOFR/2.30000 11/15/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-11962085.12 | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2022-1 LTD                                           | ROCKFORD TOWER CLO LTD ROCKT 2022 1A A1R 144A           | CUSIP: 77340JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3200000 | PA      | $3212231.94   | 0.04%             | 2035-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LME PRI ALUM FUTR JAN26 XLME 20260119                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |           2 | NC      | $2081.22      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CONTEGO CLO IV DAC 4A                                                   | CONTEGO CLO DAC CONTE 4A AR 144A                        | CUSIP: ACI25QZ00<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3776196 | PA      | $4436162.63   | 0.06%             | 2030-01-23      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2322649.71  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1             | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41338 | PA      | $40071.06     | 0.00%             | 2044-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-18                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 18 6A1         | CUSIP: 863579XK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      104501 | PA      | $93842.78     | 0.00%             | 2035-09-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BRENT CRUDE FUTR  JUN26 IFEU 20260430                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | GB        |          15 | NC      | $-20095.28    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-154.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-37982.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $213080.09    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer