# EDGAR Filing Document

**Accession Number:** 0001027263
**File Stem:** 0001752724-25-204756
**Filing Date:** 2025-8
**Character Count:** 351906
**Document Hash:** 3f7739b0d0e86ee5f07face9b4e3cfac
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-204756.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-204756

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** EQ ADVISORS TRUST
- **CENTRAL INDEX KEY:** 0001027263

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07953
- **FILM NUMBER:** 251255164

**BUSINESS ADDRESS:**
- **STREET 1:** 1345 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10105
- **BUSINESS PHONE:** 212-554-1234

**MAIL ADDRESS:**
- **STREET 1:** 1345 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** 787 TRUST
- **DATE OF NAME CHANGE:** 19961125

## Series and Classes Contracts Data

### EQ/PIMCO Total Return ESG Portfolio (Series ID: S000062647)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000203174 | Class IB     |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** EQ Advisors Trust

- **b. Investment Company Act file number:** 811-07953

- **c. CIK number of Registrant:** 0001027263

- **d. LEI of Registrant:** 549300Q691FLN6WHB832

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

  - **Street Address 1:** 1345 Avenue of the Americas

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10105

  - **Telephone number:** 212-554-1234

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

- **a. Name of Series:** EQ/PIMCO Total Return ESG Portfolio

- **b. EDGAR series identifier (if any):** S000062647

- **c. LEI of Series:** 549300NBLWYBHQJNZR73

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

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

- **b. Date as of which information is reported:** 2025-06-30

**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:** $370117425.43

**Total Liabilities:** $117035208.08

**Net Assets:** $253082217.35

**Cash Not Reported:** $1182153.31

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 42025.81000000 | **1-Year:** 4007.08000000 | **5-Year:** 17218.13000000 | **10-Year:** 18436.02000000 | **30-Year:** 28101.51000000

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

- **3-Month:** 0.00000000 | **1-Year:** 196.67000000 | **5-Year:** 635.24000000 | **10-Year:** 2380.41000000 | **30-Year:** 401.40000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000203174 | 0.11%                | -0.64%               | 1.92%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-553968.50              | $357261.41                                 |
| Month 2  | $-63205.03               | $-2707841.34                               |
| Month 3  | $-382042.61              | $4568060.34                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** LEH_AGG

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Bear Stearns ALT-A Trust                                                     | Bear Stearns ALT-A Trust, Series 2005-7, Class 22A1                                                    | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16342 | PA      | $9346.25      | 0.00%             | 2035-09-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Wisconsin Power & Light Co.                                                  | Wisconsin Power & Light Co.                                                                            | CUSIP: 976826BR7<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300092.10    | 0.12%             | 2033-04-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3142GQEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382716 | PA      | $356296.70    | 0.14%             | 2053-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    400000 | PA      | $2097.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                           | GS Mortgage Securities Corp. Trust, Series 2017-GPTX, Class A                                          | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339416 | PA      | $293538.09    | 0.12%             | 2034-05-10      | Fixed         | 2.86%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                | Citigroup Mortgage Loan Trust, Series 2009-7, Class 5A2                                                | CUSIP: 17315MAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53442 | PA      | $25972.87     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    120000 | PA      | $-1160.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10400000 | PA      | $10399187.76  | 4.11%             | 2055-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4013.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140ACW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    846282 | PA      | $846882.48    | 0.33%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Japan International Cooperation Agency                                       | Japan International Cooperation Agency                                                                 | CUSIP: 47109LAB0<br>LEI: 254900XEIG78M2AJB031 | Long             | DBT              | NUSS              | JP        |    600000 | PA      | $584163.66    | 0.23%             | 2027-04-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    317530 | PA      | $529.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                         | JPMorgan Chase & Co.                                                                                   | CUSIP: 46647PEL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    500000 | PA      | $506447.85    | 0.20%             | 2028-07-22      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO 4                                                             | Pikes Peak CLO 4, Series 2019-4A, Class ARR                                                            | CUSIP: 72132WAN9<br>LEI: 2549002NRPBIF0UZPU88 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700010.50    | 0.28%             | 2034-07-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -1500000 | PA      | $-2830.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $115695.89    | 0.05%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                             | Republic of Peru                                                                                       | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   3400000 | PA      | $988733.05    | 0.39%             | 2032-08-12      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -100000 | PA      | $-403.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $536531.28    | 0.21%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $336.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $35376.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $9733.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                     | BX Trust, Series 2021-ARIA, Class A                                                                    | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $899156.16    | 0.36%             | 2036-10-15      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                                                 | SG Mortgage Securities Trust, Series 2006-FRE1, Class A2C                                              | CUSIP: 81879MAW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63477 | PA      | $30363.21     | 0.01%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $4652.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARM Mortgage Loan Trust                                                    | STARM Mortgage Loan Trust, Series 2007-1, Class 2A1                                                    | CUSIP: 78473NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19986 | PA      | $17235.77     | 0.01%             | 2037-02-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $382593.76    | 0.15%             | 2055-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                        | CWABS Asset-Backed Certificates Trust, Series 2006-3, Class M2                                         | CUSIP: 126670WD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    646879 | PA      | $627587.20    | 0.25%             | 2036-06-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    120000 | PA      | $-1125.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-34.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR Asset-Backed Securities Trust                                          | MASTR Asset-Backed Securities Trust, Series 2006-FRE2, Class A5                                        | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133457 | PA      | $79285.75     | 0.03%             | 2036-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $35591.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-93.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VMware LLC                                                                   | VMware LLC                                                                                             | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    500000 | PA      | $500989.70    | 0.20%             | 2030-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Highwoods Realty LP                                                          | Highwoods Realty LP                                                                                    | CUSIP: 431282AQ5<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97765.52     | 0.04%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-3917.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1321941.05   | 0.52%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3876.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Abu Dhabi National Energy Co. PJSC                                           | Abu Dhabi National Energy Co. PJSC                                                                     | CUSIP: 00388WAP6<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |    500000 | PA      | $477815.00    | 0.19%             | 2037-03-09      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                                 | Santander Holdings USA, Inc.                                                                           | CUSIP: 80282KBF2<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    500000 | PA      | $520834.25    | 0.21%             | 2029-03-09      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DWHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5214757 | PA      | $5125888.99   | 2.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                          | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4                                          | CUSIP: 17307GRE0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      4101 | PA      | $3943.64      | 0.00%             | 2035-05-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-1086.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                     | Republic of South Africa                                                                               | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |   2400000 | PA      | $126472.87    | 0.05%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Lloyds Bank plc                                                              | Lloyds Bank plc                                                                                        | CUSIP: N/A<br>LEI: H7FNTJ4851HG0EXQ1Z70       | Long             | DBT              | CORP              | GB        |    600000 | PA      | $431658.00    | 0.17%             | 2032-04-02      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                      | GSR Mortgage Loan Trust, Series 2005-AR7, Class 6A1                                                    | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3943 | PA      | $3444.76      | 0.00%             | 2035-11-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| RASC Trust                                                                   | RASC Trust, Series 2005-EMX5, Class A3                                                                 | CUSIP: 76110W7R1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81861 | PA      | $70599.46     | 0.03%             | 2035-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Trust                                  | Structured Asset Mortgage Investments Trust, Series 2002-AR3, Class A1                                 | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       166 | PA      | $160.96       | 0.00%             | 2032-09-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                          | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 1A1                          | CUSIP: 251510CV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2254 | PA      | $2226.91      | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    140000 | PA      | $-1981.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    900000 | PA      | $-1702.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-985.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                      | Mosaic Solar Loan Trust, Series 2022-1A, Class A                                                       | CUSIP: 61946QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1011368 | PA      | $860199.37    | 0.34%             | 2053-01-20      | Fixed         | 2.64%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    200000 | PA      | $1598.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 21H060689<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1700000 | PA      | $1722113.26   | 0.68%             | 2055-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2490000 | PA      | $102457.06    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DWLU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261454 | PA      | $265977.74    | 0.11%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Solutions Trust                                    | GoodLeap Sustainable Home Solutions Trust, Series 2023-1GS, Class A                                    | CUSIP: 38237VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    414159 | PA      | $398688.52    | 0.16%             | 2055-02-22      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                     | Benchmark Mortgage Trust, Series 2019-B9, Class A5                                                     | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $778038.00    | 0.31%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                                     | SCE Recovery Funding LLC, Series A-1                                                                   | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    360483 | PA      | $349668.87    | 0.14%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                     | Republic of South Africa                                                                               | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |  20400000 | PA      | $1195394.54   | 0.47%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2214.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    200000 | PA      | $574.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140JAJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9903 | PA      | $9080.46      | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                               | Southern California Edison Co.                                                                         | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40316.70     | 0.02%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-3, Class 1A1                                                       | CUSIP: 07384MQ70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6426 | PA      | $5983.10      | 0.00%             | 2034-07-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp.                                         | JP Morgan Mortgage Acquisition Corp., Series 2006-FRE1, Class M1                                       | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29420 | PA      | $29128.46     | 0.01%             | 2035-05-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    200000 | PA      | $1699.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Newcastle Mortgage Securities Trust                                          | Newcastle Mortgage Securities Trust, Series 2006-1, Class M5                                           | CUSIP: 65106AAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $880232.67    | 0.35%             | 2036-03-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-380.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                                    | Bank of Ireland Group plc                                                                              | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   1400000 | PA      | $1404353.86   | 0.55%             | 2026-09-16      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bills                                                                                    | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   2900000 | PA      | $2875394.08   | 1.14%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                        | NextEra Energy Capital Holdings, Inc.                                                                  | CUSIP: 65339KBW9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1960566.93   | 0.77%             | 2028-06-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Euro-Bund                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -14 | NC      | $16650.58     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bills                                                                                    | CUSIP: 912797QU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   2600000 | PA      | $2576435.68   | 1.02%             | 2025-09-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2800000 | PA      | $2604000.00   | 1.03%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $7701.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $600036.35    | 0.24%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $699.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                            | ONEOK Partners LP                                                                                      | CUSIP: 68268NAD5<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    800000 | PA      | $862475.12    | 0.34%             | 2037-10-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Weir Group, Inc.                                                             | Weir Group, Inc.                                                                                       | CUSIP: 94877DAA2<br>LEI: 2138009WEPEV2V98AV65 | Long             | DBT              | CORP              | US        |    300000 | PA      | $303514.89    | 0.12%             | 2030-05-06      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $14657.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $-12889.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1700000 | PA      | $-26827.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -300000 | PA      | $-1176.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    300000 | PA      | $762.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-1, Class 12A5                                                      | CUSIP: 07384MG97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6734 | PA      | $6022.65      | 0.00%             | 2034-04-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                       | Realkredit Danmark A/S, Series 23S                                                                     | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.13         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corp.                                                             | CVS Health Corp.                                                                                       | CUSIP: 12665JUE7<br>LEI: 549300EJG376EN5NQE29 | Long             | STIV             | CORP              | US        |    600000 | PA      | $598852.56    | 0.24%             | 2025-07-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    200000 | PA      | $1005.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | U.S. Treasury 2 Year Note                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         5 | NC      | $3860.69      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Group AG                                                                 | UBS Group AG                                                                                           | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $200296.14    | 0.08%             | 2027-08-05      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-3481.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    900000 | PA      | $-7908.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3057.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                | Equinix, Inc.                                                                                          | CUSIP: 29444UBL9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $931268.10    | 0.37%             | 2028-03-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-33.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRSP Ltd.                                                                    | BRSP Ltd., Series 2021-FL1, Class A                                                                    | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    303797 | PA      | $302461.73    | 0.12%             | 2038-08-19      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Warwick Finance Residential Mortgages Number Three plc                       | Warwick Finance Residential Mortgages Number Three plc, Series 3A, Class B                             | CUSIP: N/A<br>LEI: 213800JVKL1PIG7KRI38       | Long             | ABS-MBS          | CORP              | GB        |    100000 | PA      | $138455.22    | 0.05%             | 2049-12-21      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    450000 | PA      | $-8056.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                                                     | MF1 Ltd., Series 2020-FL4, Class A                                                                     | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    117550 | PA      | $117623.09    | 0.05%             | 2035-12-15      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                               | HarborView Mortgage Loan Trust, Series 2005-2, Class 2A1A                                              | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5543 | PA      | $5322.09      | 0.00%             | 2035-05-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1                            | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2057 | PA      | $2064.13      | 0.00%             | 2045-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $98188.21     | 0.04%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3516.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3131Y9ZL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18762 | PA      | $17168.74     | 0.01%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $23.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2800000 | PA      | $2509062.64   | 0.99%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| New York State Urban Development Corp.                                       | New York State Urban Development Corp.                                                                 | CUSIP: 650036AU0<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |    800000 | PA      | $783936.56    | 0.31%             | 2026-03-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F052680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11000000 | PA      | $10991835.80  | 4.34%             | 2055-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR16, Class 3A3                             | CUSIP: 92925GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10535 | PA      | $9331.69      | 0.00%             | 2036-12-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Foreign Exchange EUR/USD                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |     62000 | PA      | $7193.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan LLC Trust                                             | Wachovia Mortgage Loan LLC Trust, Series 2006-A, Class 2A1                                             | CUSIP: 92977TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2683 | PA      | $2621.95      | 0.00%             | 2036-05-20      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    444505 | PA      | $842.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA ACES, Series 2020-M33, Class X2                                                                   | CUSIP: 3136BBAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1845752 | PA      | $106733.36    | 0.04%             | 2031-01-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-926.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4628.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $102718.08    | 0.04%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2857.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                               | BCAP LLC Trust, Series 2007-AA2, Class 12A1                                                            | CUSIP: 05530NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48217 | PA      | $45984.09     | 0.02%             | 2047-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                                      | CenterPoint Energy Houston Electric LLC                                                                | CUSIP: 15189XBC1<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    300000 | PA      | $283983.60    | 0.11%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $-2663.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                              | Santander UK Group Holdings plc                                                                        | CUSIP: 80281LAP0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $623074.13    | 0.25%             | 2032-03-15      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Northern States Power Co.                                                    | Northern States Power Co.                                                                              | CUSIP: 665772CS6<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    872000 | PA      | $525390.73    | 0.21%             | 2051-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC                                                                                                  | CUSIP: 3128P7LZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6380 | PA      | $6370.78      | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                               | Morgan Stanley                                                                                         | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499439.40    | 0.20%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Lease Trust                                                      | BMW Vehicle Lease Trust, Series 2024-1, Class A3                                                       | CUSIP: 05611UAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $501669.25    | 0.20%             | 2027-03-25      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Nederlandse Waterschapsbank NV                                               | Nederlandse Waterschapsbank NV                                                                         | CUSIP: 63983TEH4<br>LEI: JLP5FSPH9WPSHY3NIM24 | Long             | DBT              | NUSS              | NL        |    400000 | PA      | $401454.68    | 0.16%             | 2028-06-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4173.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                          | Societe Generale SA                                                                                    | CUSIP: 83368RBQ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $302677.62    | 0.12%             | 2027-01-12      | Variable      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                              | Palmer Square Loan Funding Ltd., Series 2021-4A, Class A1                                              | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     50124 | PA      | $50124.16     | 0.02%             | 2029-10-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Home Equity Loan Trust                                                       | Home Equity Loan Trust, Series 2007-FRE1, Class 2AV3                                                   | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185503 | PA      | $179387.35    | 0.07%             | 2037-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Public Service Electric & Gas Co.                                            | Public Service Electric & Gas Co.                                                                      | CUSIP: 74456QCJ3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1369416.30   | 0.54%             | 2032-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $75969.18     | 0.03%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                             | IndyMac INDX Mortgage Loan Trust, Series 2006-AR35, Class 2A1A                                         | CUSIP: 45667SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42019 | PA      | $37592.81     | 0.01%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1500000 | PA      | $-15939.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                 | Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 1A2                               | CUSIP: 07389MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104238 | PA      | $102540.75    | 0.04%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-580.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wisconsin Power & Light Co.                                                  | Wisconsin Power & Light Co.                                                                            | CUSIP: 976826BS5<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |    400000 | PA      | $408769.68    | 0.16%             | 2034-03-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -2700000 | PA      | $-37063.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    200000 | PA      | $998.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                       | GreenSky Home Improvement Issuer Trust, Series 2025-1A, Class A3                                       | CUSIP: 39571NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $509950.80    | 0.20%             | 2060-03-25      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1560000 | PA      | $1417162.50   | 0.56%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                   | RALI Trust, Series 2006-QS12, Class 1A1                                                                | CUSIP: 751151AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140597 | PA      | $58262.08     | 0.02%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                                                | NYO Commercial Mortgage Trust, Series 2021-1290, Class A                                               | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $397999.48    | 0.16%             | 2038-11-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2238.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    301000 | PA      | $4242.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                               | Morgan Stanley Capital I Trust, Series 2020-CNP, Class A                                               | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $696203.20    | 0.28%             | 2042-04-05      | Variable      | 2.51%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $2280.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                              | Goldman Sachs Group, Inc. (The)                                                                        | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $501211.00    | 0.20%             | 2030-10-23      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3142GRGT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9213846 | PA      | $9228156.14   | 3.65%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BlueMountain Fuji Eur CLO V DAC                                              | BlueMountain Fuji Eur CLO V DAC, Series 5A, Class A                                                    | CUSIP: N/A<br>LEI: 635400IYPG2G6NM3OV52       | Long             | ABS-CBDO         | CORP              | IE        |    699423 | PA      | $821428.11    | 0.32%             | 2033-01-15      | Floating      | 3.19%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | U.S. Treasury 5 Year Note                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       228 | NC      | $308641.02    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1100000 | PA      | $9102.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3805.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-14281.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-4.41        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-11701.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| C-Bass Trust                                                                 | C-Bass Trust, Series 2006-CB9, Class A1                                                                | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10622 | PA      | $4655.07      | 0.00%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  31000000 | PA      | $2206.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    600000 | PA      | $2123.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $853791.43    | 0.34%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                         | Royal Bank of Canada                                                                                   | CUSIP: 78016FZW7<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    300000 | PA      | $305123.16    | 0.12%             | 2028-01-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Province of Ontario                                                          | Province of Ontario                                                                                    | CUSIP: 68333ZBG1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    400000 | PA      | $293768.49    | 0.12%             | 2034-12-02      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2015-H18, Class FB                                                                        | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136396 | PA      | $136377.18    | 0.05%             | 2065-07-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    900000 | PA      | $7130.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2006-118, Class A1                                                                        | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2472 | PA      | $2417.29      | 0.00%             | 2036-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    700000 | PA      | $7060.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                       | Residential Asset Securitization Trust, Series 2005-A11, Class 1A1                                     | CUSIP: 45660LZW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33159 | PA      | $19169.21     | 0.01%             | 2035-10-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -100000 | PA      | $-362.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                    | Commercial Mortgage Trust, Series 2018-COR3, Class A3                                                  | CUSIP: 12595VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $669375.21    | 0.26%             | 2051-05-10      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $9770.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-3917.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133BNCS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    288500 | PA      | $269080.43    | 0.11%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                             | Ventas Realty LP                                                                                       | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196896.78    | 0.08%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2897.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | U.S. Treasury Long Bond                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -5 | NC      | $-16257.35    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $13042.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                                | Banc of America Funding Trust, Series 2005-D, Class A1                                                 | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3709 | PA      | $3455.74      | 0.00%             | 2035-05-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                                     | Cooperatieve Rabobank UA                                                                               | CUSIP: 74977RDJ0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   2300000 | PA      | $2280474.84   | 0.90%             | 2026-09-24      | Variable      | 1.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Foreign Exchange EUR/USD                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |   1400000 | PA      | $4019.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                        | Japan Government Bond                                                                                  | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  90000000 | PA      | $560943.09    | 0.22%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140QSPN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354155 | PA      | $349779.31    | 0.14%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XLIX Ltd.                                               | Madison Park Funding XLIX Ltd., Series 2021-49A, Class AR                                              | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $798946.40    | 0.32%             | 2034-10-19      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   1500000 | PA      | $8347.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 21H050680<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1963671.80   | 0.78%             | 2055-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd.                                                           | Elevation CLO Ltd., Series 2022-16A, Class A1AR                                                        | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $697032.70    | 0.28%             | 2034-07-25      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    120000 | PA      | $-1765.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                                  | Nationwide Building Society                                                                            | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $512274.95    | 0.20%             | 2027-10-18      | Variable      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                               | Morgan Stanley                                                                                         | CUSIP: 61747YFN0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $501793.05    | 0.20%             | 2028-04-13      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| New Orleans Hotel Trust                                                      | New Orleans Hotel Trust, Series 2019-HNLA, Class A                                                     | CUSIP: 647622AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $498745.70    | 0.20%             | 2032-04-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Stifel Financial Corp.                                                       | Stifel Financial Corp.                                                                                 | CUSIP: 860630AG7<br>LEI: 549300E5F07FE5GHJX84 | Long             | DBT              | CORP              | US        |    900000 | PA      | $862632.81    | 0.34%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury STRIPS Bonds                                                                             | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $45997.30     | 0.02%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $15050.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                         | U.K. Treasury Bonds                                                                                    | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    771000 | PA      | $916880.18    | 0.36%             | 2054-07-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $241.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                        | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-GEL2, Class A3                      | CUSIP: 86363MAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105731 | PA      | $102731.02    | 0.04%             | 2037-05-25      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Sunrun Demeter Issuer LLC                                                    | Sunrun Demeter Issuer LLC, Series 2021-2A, Class A                                                     | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    654024 | PA      | $579568.34    | 0.23%             | 2057-01-30      | Fixed         | 2.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418E2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43115 | PA      | $43181.53     | 0.02%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STWD Mortgage Trust                                                          | STWD Mortgage Trust, Series 2021-LIH, Class A                                                          | CUSIP: 78486EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1200000 | PA      | $1195499.52   | 0.47%             | 2036-11-15      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Brookfield Finance I UK plc                                                  | Brookfield Finance I UK plc                                                                            | CUSIP: 11272BAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    700000 | PA      | $595229.95    | 0.24%             | 2032-01-30      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $-23354.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 31334XML0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29967 | PA      | $27487.69     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39915 | PA      | $39977.42     | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                                 | Mizuho Financial Group, Inc.                                                                           | CUSIP: 60687YCZ0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $311153.55    | 0.12%             | 2029-07-06      | Variable      | 5.78%                 | No            |                  2 | On Loan: —       |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -200000 | PA      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                               | HarborView Mortgage Loan Trust, Series 2005-12, Class 2A12                                             | CUSIP: 41161PVK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45269 | PA      | $32023.28     | 0.01%             | 2035-10-19      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                                    | Mid-America Apartments LP                                                                              | CUSIP: 59523UAR8<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    400000 | PA      | $372174.72    | 0.15%             | 2030-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1102.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                 | Chase Mortgage Finance Trust, Series 2005-A2, Class 3A5                                                | CUSIP: 16162WQM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25498 | PA      | $23180.64     | 0.01%             | 2036-01-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Argent Securities Trust                                                      | Argent Securities Trust, Series 2006-W2, Class A2B                                                     | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203639 | PA      | $109626.39    | 0.04%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133KRD92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    711646 | PA      | $714308.13    | 0.28%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury STRIPS Bonds                                                                             | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $136049.70    | 0.05%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                                  | Extended Stay America Trust, Series 2021-ESH, Class A1                                                 | CUSIP: 30227FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428864 | PA      | $430865.53    | 0.17%             | 2038-07-15      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                         | Prime Mortgage Trust, Series 2004-CL1, Class 1A2                                                       | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       503 | PA      | $477.74       | 0.00%             | 2034-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                               | HarborView Mortgage Loan Trust, Series 2005-14, Class 4A1A                                             | CUSIP: 41161PWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58139 | PA      | $29424.43     | 0.01%             | 2035-12-19      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140A1GJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    881718 | PA      | $883473.38    | 0.35%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    806363 | PA      | $-439.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                 | UBS Group AG                                                                                           | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    300000 | PA      | $292875.00    | 0.12%             | 2031-04-01      | Variable      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $766.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                                                             | FHF Issuer Trust, Series 2024-1A, Class A2                                                             | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    318230 | PA      | $321246.16    | 0.13%             | 2030-02-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140QSMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262476 | PA      | $259561.21    | 0.10%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDIO                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |   -400000 | PA      | $-29.68       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                               | BCAP LLC Trust, Series 2011-RR5, Class 12A1                                                            | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6717 | PA      | $6668.54      | 0.00%             | 2037-03-26      | Variable      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29677 | PA      | $30520.69     | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DVKP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15572 | PA      | $14259.57     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp.                                                            | NTT Finance Corp.                                                                                      | CUSIP: 62954WAJ4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $399862.40    | 0.16%             | 2025-07-25      | Fixed         | 4.24%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    200000 | PA      | $2199.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140QSSU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    925121 | PA      | $887205.23    | 0.35%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    181000 | PA      | $-3108.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -100000 | PA      | $-0.45        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15500000 | PA      | $13962108.60  | 5.52%             | 2055-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Choice Hotels International, Inc.                                            | Choice Hotels International, Inc.                                                                      | CUSIP: 169905AF3<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |    700000 | PA      | $662133.29    | 0.26%             | 2029-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $289157.16    | 0.11%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Finance North America LLC                                      | Mercedes-Benz Finance North America LLC                                                                | CUSIP: 58769JAF4<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    600000 | PA      | $600835.02    | 0.24%             | 2026-03-30      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -200000 | PA      | $-851.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133KQM78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4947330 | PA      | $4863019.09   | 1.92%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $4308.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA Trust                                                                   | GSAA Trust, Series 2006-7, Class AF2                                                                   | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    228911 | PA      | $83114.22     | 0.03%             | 2046-03-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO XI                                                          | Ocean Trails CLO XI, Series 2021-11A, Class AR                                                         | CUSIP: 67514VAL3<br>LEI: 549300E51CF32RJNO651 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $699440.00    | 0.28%             | 2034-07-20      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2005-79, Class NF                                                                         | CUSIP: 31394FHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3394 | PA      | $3370.46      | 0.00%             | 2035-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Sunnova Helios XI Issuer LLC                                                 | Sunnova Helios XI Issuer LLC, Series 2023-A, Class A                                                   | CUSIP: 86746AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    530039 | PA      | $490400.89    | 0.19%             | 2050-05-20      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1531.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Philippines                                                      | Republic of Philippines                                                                                | CUSIP: 718286CX3<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    600000 | PA      | $584325.00    | 0.23%             | 2048-01-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO XIX Ltd.                                                        | Trinitas CLO XIX Ltd., Series 2022-19A, Class A1R                                                      | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $698833.80    | 0.28%             | 2033-10-20      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust                         | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2021-HTL5, Class A                        | CUSIP: 46654PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $795999.44    | 0.31%             | 2038-11-15      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $26991.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Manulife Financial Corp.                                                     | Manulife Financial Corp.                                                                               | CUSIP: 56501RAN6<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |   1100000 | PA      | $1038850.56   | 0.41%             | 2032-03-16      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-24030.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HA Sustainable Infrastructure Capital, Inc.                                  | HA Sustainable Infrastructure Capital, Inc.                                                            | CUSIP: 40408AAA9<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    500000 | PA      | $505227.25    | 0.20%             | 2031-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31414LB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18644 | PA      | $19302.80     | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets Trust                                          | American Home Mortgage Assets Trust, Series 2006-5                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    476974 | PA      | $65820.89     | 0.03%             | 2036-06-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DMG82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12263 | PA      | $11209.95     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp.                                         | JP Morgan Mortgage Acquisition Corp., Series 2005-FRE1, Class M1                                       | CUSIP: 46626LCC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50785 | PA      | $49791.58     | 0.02%             | 2035-10-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $295078.92    | 0.12%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1152231.82   | 0.46%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                             | Republic of Peru                                                                                       | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    800000 | PA      | $232643.07    | 0.09%             | 2032-08-12      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| STWD Ltd.                                                                    | STWD Ltd., Series 2021-FL2, Class A                                                                    | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    368146 | PA      | $366694.37    | 0.14%             | 2038-04-18      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $-10828.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | U.S. Treasury 10 Year Note                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       258 | NC      | $547149.99    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Warwick Finance Residential Mortgages Number Three plc                       | Warwick Finance Residential Mortgages Number Three plc, Series 3A, Class A                             | CUSIP: N/A<br>LEI: 213800JVKL1PIG7KRI38       | Long             | ABS-MBS          | CORP              | GB        |    264292 | PA      | $363372.59    | 0.14%             | 2049-12-21      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                                 | Mizuho Financial Group, Inc.                                                                           | CUSIP: 60687YDF3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $513989.25    | 0.20%             | 2030-07-10      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DVK38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17686 | PA      | $16189.83     | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                                 | ING Groep NV                                                                                           | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | CORP              | NL        |    300000 | PA      | $280500.00    | 0.11%             | 2029-05-16      | Variable      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $17891.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                        | Japan Government Bond                                                                                  | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 120000000 | PA      | $788121.80    | 0.31%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC                                         | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class A                                         | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    192086 | PA      | $192019.39    | 0.08%             | 2036-11-25      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $-2693.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1500000 | PA      | $69822.20     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3500000 | PA      | $-40006.57    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Smurfit Westrock Financing DAC                                               | Smurfit Westrock Financing DAC                                                                         | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    400000 | PA      | $404485.80    | 0.16%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-976.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                      | Mosaic Solar Loan Trust, Series 2023-3A, Class A                                                       | CUSIP: 618933AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137831 | PA      | $136505.93    | 0.05%             | 2053-11-20      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                    | Soundview Home Loan Trust, Series 2007-WMC1, Class 3A1                                                 | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69487 | PA      | $17825.86     | 0.01%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Alba plc                                                                     | Alba plc, Series 2007-1, Class A3                                                                      | CUSIP: N/A<br>LEI: 2138008XOOHJFP498784       | Long             | ABS-MBS          | CORP              | GB        |    175014 | PA      | $235666.13    | 0.09%             | 2039-03-17      | Floating      | 4.51%                 | Yes           |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                               | HarborView Mortgage Loan Trust, Series 2005-4, Class 3A1                                               | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20999 | PA      | $15648.80     | 0.01%             | 2035-07-19      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| New York State Electric & Gas Corp.                                          | New York State Electric & Gas Corp.                                                                    | CUSIP: 649840CU7<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |    900000 | PA      | $933316.74    | 0.37%             | 2028-08-15      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Coty, Inc.                                                                   | Coty, Inc.                                                                                             | CUSIP: N/A<br>LEI: 549300BO9IWPF3S48F93       | Long             | DBT              | CORP              | US        |    500000 | PA      | $595689.32    | 0.24%             | 2027-05-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -200000 | PA      | $-0.52        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36179UMN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30996 | PA      | $30977.15     | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140QTED7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31441 | PA      | $31558.21     | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $448993.14    | 0.18%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    300000 | PA      | $728.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2015-58, Class AI                                                                         | CUSIP: 3136APU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133369 | PA      | $7430.32      | 0.00%             | 2055-08-25      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1269.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $-2399.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3138EPLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29034 | PA      | $28606.11     | 0.01%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                   | RALI Trust, Series 2005-QA13, Class 2A1                                                                | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6718 | PA      | $5914.92      | 0.00%             | 2035-12-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                     | JP Morgan Mortgage Trust, Series 2006-A6, Class 1A4L                                                   | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41753 | PA      | $29992.43     | 0.01%             | 2036-10-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                       | Merrill Lynch Mortgage Investors Trust, Series 2005-1, Class 2A5                                       | CUSIP: 59020UVM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26033 | PA      | $23374.50     | 0.01%             | 2035-04-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| New York State Electric & Gas Corp.                                          | New York State Electric & Gas Corp.                                                                    | CUSIP: 649840CW3<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1212339.36   | 0.48%             | 2034-08-15      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Co. Ltd.                                                        | Nissan Motor Co. Ltd.                                                                                  | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    800000 | PA      | $731000.00    | 0.29%             | 2030-09-17      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $542.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                         | Jyske Realkredit A/S, Series CCE                                                                       | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.10         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    700000 | PA      | $3480.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust                                 | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR16, Class A1                               | CUSIP: 94984NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279130 | PA      | $263711.03    | 0.10%             | 2036-10-25      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                               | Option One Mortgage Loan Trust, Series 2006-3, Class 2A3                                               | CUSIP: 68389BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1063501 | PA      | $496115.46    | 0.20%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-196.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  12700000 | PA      | $1028.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                                | Banc of America Funding Trust, Series 2007-2, Class 1A2                                                | CUSIP: 05951GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49785 | PA      | $39234.52     | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $9201.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-24991.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Jones Lang LaSalle, Inc.                                                     | Jones Lang LaSalle, Inc.                                                                               | CUSIP: 48020QAB3<br>LEI: 6SYKCME112RT8TQUO411 | Long             | DBT              | CORP              | US        |    400000 | PA      | $428768.72    | 0.17%             | 2028-12-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133WBMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    898635 | PA      | $901154.37    | 0.36%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    300000 | PA      | $1457.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                                 | Santander Holdings USA, Inc.                                                                           | CUSIP: 80282KBQ8<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    500000 | PA      | $512791.30    | 0.20%             | 2031-03-20      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $277.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2469.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    120000 | PA      | $-1412.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Foreign Exchange EUR/USD                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |     68000 | PA      | $8010.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2003-8, Class 2A1                                                       | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3380 | PA      | $3242.36      | 0.00%             | 2034-01-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  20000000 | PA      | $1693.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                        | Sumitomo Mitsui Financial Group, Inc.                                                                  | CUSIP: 86562MCT5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $301424.49    | 0.12%             | 2026-01-13      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                           | United Airlines Pass-Through Trust, Series 2016-2, Class AA                                            | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    498898 | PA      | $468724.96    | 0.19%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                     | JP Morgan Mortgage Trust, Series 2006-A3, Class 6A1                                                    | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11812 | PA      | $11708.35     | 0.00%             | 2034-08-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    181000 | PA      | $-3407.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-8.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                         | American Airlines Pass-Through Trust, Series 2016-3, Class A                                           | CUSIP: 023771S25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119578 | PA      | $109708.92    | 0.04%             | 2028-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $370.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418E2E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    839580 | PA      | $855417.50    | 0.34%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1117101.59   | 0.44%             | 2055-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -1700000 | PA      | $-3216.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-1522.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    191000 | PA      | $-3249.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418FAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1747563 | PA      | $1777798.08   | 0.70%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                              | CHL Mortgage Pass-Through Trust, Series 2005-HYB9, Class 3A2A                                          | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1841 | PA      | $1597.78      | 0.00%             | 2036-02-20      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-5.97        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $735292.95    | 0.29%             | 2055-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31416TL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20367 | PA      | $20597.61     | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                             | IndyMac INDX Mortgage Loan Trust, Series 2006-AR9, Class 2A1                                           | CUSIP: 45661EGE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160939 | PA      | $110052.05    | 0.04%             | 2036-06-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust Asset-Backed Certificates                     | Option One Mortgage Loan Trust Asset-Backed Certificates, Series 2005-4, Class M2                      | CUSIP: 68389FJJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    249112 | PA      | $235381.78    | 0.09%             | 2035-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    400000 | PA      | $883.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $28365.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3138ERDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8501 | PA      | $8494.27      | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                                              | Nissan Motor Acceptance Co. LLC                                                                        | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    800000 | PA      | $763000.00    | 0.30%             | 2026-09-16      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133BHJQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    222574 | PA      | $213702.27    | 0.08%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Foreign Exchange USD/SEK                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |    524000 | PA      | $2754.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4206.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                  | GSAMP Trust, Series 2006-NC2, Class A2B                                                                | CUSIP: 362463AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108188 | PA      | $58241.97     | 0.02%             | 2036-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3582.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goodman US Finance Three LLC                                                 | Goodman US Finance Three LLC                                                                           | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $489443.80    | 0.19%             | 2028-03-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                              | CHL Mortgage Pass-Through Trust, Series 2004-22, Class A3                                              | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11913 | PA      | $11392.45     | 0.00%             | 2034-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    100000 | PA      | $878.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  22600000 | PA      | $21977.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STWD Ltd.                                                                    | STWD Ltd., Series 2022-FL3, Class A                                                                    | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600903 | PA      | $599776.92    | 0.24%             | 2038-11-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $672.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Greywolf CLO III Ltd.                                                        | Greywolf CLO III Ltd., Series 2020-3RA, Class A1R2                                                     | CUSIP: 39809CAY0<br>LEI: 5493002TWMA4NNPZ2B66 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $701190.00    | 0.28%             | 2033-04-22      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| European Investment Bank                                                     | European Investment Bank                                                                               | CUSIP: 298785JV9<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | US        |    500000 | PA      | $489783.10    | 0.19%             | 2033-02-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 5560, Class FB                                                                           | CUSIP: 3137HLZD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $500243.00    | 0.20%             | 2055-06-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                        | CWABS Asset-Backed Certificates Trust, Series 2006-21, Class 2A4                                       | CUSIP: 12667LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204533 | PA      | $192281.99    | 0.08%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $739856.93    | 0.29%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                               | Option One Mortgage Loan Trust, Series 2007-CP1, Class 1A1                                             | CUSIP: 68402YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128281 | PA      | $115563.44    | 0.05%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    100000 | PA      | $204.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $390125.44    | 0.15%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    100000 | PA      | $325.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                | Citigroup Mortgage Loan Trust, Series 2006-WF2, Class A1                                               | CUSIP: 17309BAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96631 | PA      | $48324.24     | 0.02%             | 2036-05-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    699208 | PA      | $1100.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Trust                                         | JP Morgan Mortgage Acquisition Trust, Series 2007-CH3, Class A5                                        | CUSIP: 46630XAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22996 | PA      | $22734.00     | 0.01%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $581251.52    | 0.23%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $1853.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COPT Defense Properties LP                                                   | COPT Defense Properties LP                                                                             | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    800000 | PA      | $786804.00    | 0.31%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates | Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-R9, Class M1 | CUSIP: 03072SQ32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57428 | PA      | $56833.50     | 0.02%             | 2035-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2198.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $232.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                        | Wells Fargo Commercial Mortgage Trust, Series 2018-C48, Class A5                                       | CUSIP: 95001RAX7<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $792941.52    | 0.31%             | 2052-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Ares European CLO XIV DAC                                                    | Ares European CLO XIV DAC, Series 14A, Class AR                                                        | CUSIP: N/A<br>LEI: 635400CPKWIBFGMQTE81       | Long             | ABS-CBDO         | CORP              | IE        |    509496 | PA      | $600443.39    | 0.24%             | 2034-10-21      | Floating      | 3.27%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR6, Class 1A1A                             | CUSIP: 92922FH84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163444 | PA      | $162763.47    | 0.06%             | 2045-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-8, Class 2A1                                                       | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14970 | PA      | $13769.85     | 0.01%             | 2034-11-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $247.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                         | JPMorgan Chase & Co.                                                                                   | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    900000 | PA      | $838077.21    | 0.33%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    300000 | PA      | $1595.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JetBlue Pass-Through Trust                                                   | JetBlue Pass-Through Trust, Series 2020-1, Class A                                                     | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    634980 | PA      | $590372.88    | 0.23%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2015-H19, Class FK                                                                        | CUSIP: 38376RGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108900 | PA      | $108850.33    | 0.04%             | 2065-08-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                        | CWABS Asset-Backed Certificates Trust, Series 2006-24, Class 1A                                        | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600889 | PA      | $544062.46    | 0.21%             | 2047-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust                                                      | EMC Mortgage Loan Trust, Series 2001-A, Class A                                                        | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1947 | PA      | $1935.37      | 0.00%             | 2040-05-25      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                         | Charter Communications Operating LLC                                                                   | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $736784.00    | 0.29%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AP Moller - Maersk A/S                                                       | AP Moller - Maersk A/S                                                                                 | CUSIP: 00203QAE7<br>LEI: 549300D2K6PKKKXVNN73 | Long             | DBT              | CORP              | DK        |    700000 | PA      | $701642.90    | 0.28%             | 2029-06-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $235297.28    | 0.09%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| European Union                                                               | European Union                                                                                         | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |    100000 | PA      | $116737.87    | 0.05%             | 2031-12-04      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                                              | Post Road Equipment Finance LLC, Series 2025-1A, Class A2                                              | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $801665.28    | 0.32%             | 2031-05-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| CPPIB Capital, Inc.                                                          | CPPIB Capital, Inc.                                                                                    | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | NUSS              | CA        |    500000 | PA      | $383055.15    | 0.15%             | 2034-06-02      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                                              | Nissan Motor Acceptance Co. LLC                                                                        | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    800000 | PA      | $726549.92    | 0.29%             | 2028-03-09      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: —       |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $72561.54     | 0.03%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                              | NovaStar Mortgage Funding Trust, Series 2006-5, Class A2D                                              | CUSIP: 66988YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95802 | PA      | $26423.76     | 0.01%             | 2036-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                               | Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR5, Class A2A                             | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26770 | PA      | $20117.07     | 0.01%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $286419.51    | 0.11%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    100000 | PA      | $858.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                              | Danske Bank A/S                                                                                        | CUSIP: 23636AAZ4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1000000 | PA      | $993005.40    | 0.39%             | 2026-09-11      | Variable      | 1.62%                 | Yes           |                  2 | On Loan: No      |
| DC Office Trust                                                              | DC Office Trust, Series 2019-MTC, Class A                                                              | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1197411.41   | 0.47%             | 2045-09-15      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2005-32T1, Class A3                                                     | CUSIP: 12667GC84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85585 | PA      | $45374.96     | 0.02%             | 2035-08-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-10, Class 22A1                                                     | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2931 | PA      | $2594.74      | 0.00%             | 2035-01-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $15756.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    700000 | PA      | $4151.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1500000 | PA      | $-9927.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -200000 | PA      | $-652.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Mexican States                                                        | United Mexican States                                                                                  | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    500000 | PA      | $594682.17    | 0.23%             | 2032-05-25      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Bonos de la Tesoreria                                                        | Bonos de la Tesoreria                                                                                  | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |   1600000 | PA      | $490993.59    | 0.19%             | 2033-08-12      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13400000 | PA      | $8538264.26   | 3.37%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140XQZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316032 | PA      | $305073.32    | 0.12%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Edison International                                                         | Edison International                                                                                   | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    350000 | PA      | $354138.61    | 0.14%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-245.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140QSST9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    932953 | PA      | $868915.66    | 0.34%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 229000000 | PA      | $15164.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $8817.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                        | Global Payments, Inc.                                                                                  | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    700000 | PA      | $641315.08    | 0.25%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -200000 | PA      | $-43.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                               | Morgan Stanley Capital I Trust, Series 2021-230P, Class A                                              | CUSIP: 61772WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $95756.52     | 0.04%             | 2038-12-15      | Floating      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank NA                                                       | Morgan Stanley Bank NA                                                                                 | CUSIP: 61690U8B9<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    500000 | PA      | $510327.40    | 0.20%             | 2028-05-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                        | Japan Government Bond                                                                                  | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  52000000 | PA      | $289838.44    | 0.11%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2966.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mercedes-Benz Finance North America LLC                                      | Mercedes-Benz Finance North America LLC                                                                | CUSIP: 58769JAZ0<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202193.88    | 0.08%             | 2027-11-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| RFMSI Trust                                                                  | RFMSI Trust, Series 2007-S6, Class 1A11                                                                | CUSIP: 762009AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45074 | PA      | $35681.22     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $3208.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HAT Holdings I LLC                                                           | HAT Holdings I LLC                                                                                     | CUSIP: 418751AL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $833009.12    | 0.33%             | 2027-06-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1984026 | PA      | $1720679.36   | 0.68%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Expedia Group, Inc.                                                          | Expedia Group, Inc.                                                                                    | CUSIP: 30212PAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $471525.10    | 0.19%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                         | Prime Mortgage Trust, Series 2006-CL1, Class A1                                                        | CUSIP: 74161QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9335 | PA      | $9314.90      | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Weyerhaeuser Co.                                                             | Weyerhaeuser Co.                                                                                       | CUSIP: 962166CC6<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |    700000 | PA      | $702105.32    | 0.28%             | 2026-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133C1LA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42045 | PA      | $39158.75     | 0.02%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Province of British Columbia                                                 | Province of British Columbia                                                                           | CUSIP: 110709AK8<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |    200000 | PA      | $151526.62    | 0.06%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3178217 | PA      | $4737.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                         | Republic of Colombia                                                                                   | CUSIP: 195325EL5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    400000 | PA      | $400800.00    | 0.16%             | 2035-11-14      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-793.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RALI Trust                                                                   | RALI Trust, Series 2006-QS13, Class 1A10                                                               | CUSIP: 75115DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8726 | PA      | $6888.64      | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                              | Lehman XS Trust, Series 2006-8, Class 2A1                                                              | CUSIP: 52522HAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7499 | PA      | $9095.47      | 0.00%             | 2036-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1244781.01   | 0.49%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                                      | MF1 LLC, Series 2025-FL17, Class A                                                                     | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $499062.50    | 0.20%             | 2040-02-18      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1645.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                                         | FS Rialto Issuer LLC, Series 2022-FL4, Class A                                                         | CUSIP: 30326MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    303357 | PA      | $303357.32    | 0.12%             | 2039-01-19      | Floating      | 6.20%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -200000 | PA      | $-213.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Peru                                                             | Republic of Peru                                                                                       | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    100000 | PA      | $30576.49     | 0.01%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $13385.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $307929.66    | 0.12%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                       | Goldman Sachs Bank USA                                                                                 | CUSIP: 38151LAH3<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    500000 | PA      | $500629.15    | 0.20%             | 2027-05-21      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-1221.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  12015295 | PA      | $-104741.96   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2709.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                | Citigroup Mortgage Loan Trust, Series 2005-11, Class A2A                                               | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1479 | PA      | $1532.49      | 0.00%             | 2035-10-25      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-74837.74    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                 | UBS Group AG                                                                                           | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    600000 | PA      | $598227.54    | 0.24%             | 2026-04-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $518.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Solutions Trust                                    | GoodLeap Sustainable Home Solutions Trust, Series 2022-2CS, Class A                                    | CUSIP: 38237KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    711901 | PA      | $618948.05    | 0.24%             | 2049-04-20      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                                                    | FHF Trust, Series 2022-1A, Class A                                                                     | CUSIP: 30327CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160552 | PA      | $160172.47    | 0.06%             | 2028-01-18      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Worldwide Plaza Trust                                                        | Worldwide Plaza Trust, Series 2017-WWP, Class A                                                        | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $648627.03    | 0.26%             | 2036-11-10      | Fixed         | 3.53%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                                         | American Tower Corp.                                                                                   | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    400000 | PA      | $347237.48    | 0.14%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC Structured Pass-Through Certificates, Series T-63, Class 1A1                                     | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2418 | PA      | $2336.66      | 0.00%             | 2045-02-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                            | Republic of Chile                                                                                      | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    900000 | PA      | $912600.00    | 0.36%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $565288.20    | 0.22%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products, Inc. Trust                                 | Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 2A1                                | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19717 | PA      | $15490.49     | 0.01%             | 2046-12-26      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1446.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3530000 | PA      | $7878.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                              | Oncor Electric Delivery Co. LLC                                                                        | CUSIP: N/A<br>LEI: 549300SP2X2BS1KERD24       | Long             | DBT              | CORP              | US        |    500000 | PA      | $591349.34    | 0.23%             | 2031-05-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                        | Bank of America Corp.                                                                                  | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    600000 | PA      | $624106.20    | 0.25%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                                  | Extended Stay America Trust, Series 2021-ESH, Class A                                                  | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    686182 | PA      | $686396.90    | 0.27%             | 2038-07-15      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $218411.19    | 0.09%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 3617A8MD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25036 | PA      | $22418.91     | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $6582.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DNG64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    894415 | PA      | $807276.97    | 0.32%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $9951.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSPA Monetization Trust                                                      | GSPA Monetization Trust                                                                                | CUSIP: 36298GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175638 | PA      | $180998.91    | 0.07%             | 2029-10-09      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                          | First Horizon Alternative Mortgage Securities Trust, Series 2005-AA6, Class 3A1                        | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27966 | PA      | $23159.89     | 0.01%             | 2035-08-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2007-73, Class A1                                                                         | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5878 | PA      | $5771.42      | 0.00%             | 2037-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                               | Option One Mortgage Loan Trust, Series 2007-5, Class 1A1                                               | CUSIP: 68403HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    302807 | PA      | $175324.58    | 0.07%             | 2037-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Ameren Missouri Securitization Funding I LLC                                 | Ameren Missouri Securitization Funding I LLC, Series A-1                                               | CUSIP: 023940AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $692253.17    | 0.27%             | 2039-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                               | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3                              | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12686 | PA      | $12423.02     | 0.00%             | 2035-07-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                                 | Barclays plc                                                                                           | CUSIP: 06738EBR5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $619899.07    | 0.24%             | 2032-03-10      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    500000 | PA      | $3247.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-35516.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                        | BlueMountain CLO Ltd., Series 2018-3A, Class A1R                                                       | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    339496 | PA      | $339483.58    | 0.13%             | 2030-10-25      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| AP Moller - Maersk A/S                                                       | AP Moller - Maersk A/S                                                                                 | CUSIP: 00203QAF4<br>LEI: 549300D2K6PKKKXVNN73 | Long             | DBT              | CORP              | DK        |    300000 | PA      | $314557.26    | 0.12%             | 2033-09-14      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1602.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORT CRE Issuer LLC                                                          | FORT CRE Issuer LLC, Series 2022-FL3, Class A                                                          | CUSIP: 34706CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8844 | PA      | $8832.82      | 0.00%             | 2039-02-23      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Prologis LP                                                                  | Prologis LP                                                                                            | CUSIP: 74340XCP4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    700000 | PA      | $518161.56    | 0.20%             | 2033-02-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Stonepeak ABS                                                                | Stonepeak ABS, Series 2021-1A, Class AA                                                                | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250842 | PA      | $240169.55    | 0.09%             | 2033-02-28      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                           | Renaissance Home Equity Loan Trust, Series 2006-4, Class AF2                                           | CUSIP: 75970HAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    544629 | PA      | $159093.56    | 0.06%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC                                 | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A2                                  | CUSIP: 39154GAH9<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $500168.95    | 0.20%             | 2027-10-15      | Fixed         | 4.52%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Co.                                               | Southern California Edison Co., Series C                                                               | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $72467.50     | 0.03%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    300000 | PA      | $680.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OZLM IX Ltd.                                                                 | OZLM IX Ltd., Series 2014-9A, Class A1A4                                                               | CUSIP: 67109KBG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450303 | PA      | $450389.47    | 0.18%             | 2031-10-20      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Lazard Group LLC                                                             | Lazard Group LLC                                                                                       | CUSIP: 52107QAJ4<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |    700000 | PA      | $696728.20    | 0.28%             | 2028-09-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3108.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    300000 | PA      | $725.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| University of Michigan                                                       | University of Michigan                                                                                 | CUSIP: 914455UK4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    900000 | PA      | $662619.96    | 0.26%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -100000 | PA      | $-1.78        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                              | Goldman Sachs Group, Inc. (The)                                                                        | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $507446.40    | 0.20%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                | Enel Finance International NV                                                                          | CUSIP: 29278GAN8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   2300000 | PA      | $2143989.39   | 0.85%             | 2028-07-12      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12800000 | PA      | $9478000.64   | 3.75%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1848.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                             | Hilton USA Trust, Series 2016-SFP, Class A                                                             | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $516319.74    | 0.20%             | 2035-11-05      | Fixed         | 2.83%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-710.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $64410.57     | 0.03%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XLVI Ltd.                                               | Madison Park Funding XLVI Ltd., Series 2020-46A, Class ARR                                             | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700140.00    | 0.28%             | 2034-10-15      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F030686<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21800000 | PA      | $18874030.16  | 7.46%             | 2055-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                             | MortgageIT Trust, Series 2005-5, Class A2                                                              | CUSIP: 61915RAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18768 | PA      | $18646.03     | 0.01%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Sprint Spectrum Co. LLC                                                      | Sprint Spectrum Co. LLC                                                                                | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    220000 | PA      | $221473.19    | 0.09%             | 2028-03-20      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $-3482.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    483738 | PA      | $-148.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Crestline Denali CLO XV Ltd.                                                 | Crestline Denali CLO XV Ltd., Series 2017-1A, Class AR                                                 | CUSIP: 22616CAJ2<br>LEI: 254900I3X14OTGXOC969 | Long             | ABS-CBDO         | CORP              | KY        |     16757 | PA      | $16759.22     | 0.01%             | 2030-04-20      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Kilroy Realty LP                                                             | Kilroy Realty LP                                                                                       | CUSIP: 49427RAQ5<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1366022.42   | 0.54%             | 2032-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JDE Peet's NV                                                                | JDE Peet's NV                                                                                          | CUSIP: 47216QAC7<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    400000 | PA      | $340325.00    | 0.13%             | 2031-09-24      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| DOLP Trust                                                                   | DOLP Trust, Series 2021-NYC, Class A                                                                   | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $883825.70    | 0.35%             | 2041-05-10      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H14, Class FA                                                                        | CUSIP: 38376RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49132 | PA      | $49244.46     | 0.02%             | 2066-06-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                          | Thornburg Mortgage Securities Trust, Series 2007-3, Class 3A1                                          | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77664 | PA      | $68626.37     | 0.03%             | 2047-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    914316 | PA      | $914343.16    | 0.36%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC                                                                                                  | CUSIP: 3132XXNS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53430 | PA      | $49055.95     | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36185G6X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5019 | PA      | $4489.15      | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $58.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $610.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-378.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates Trust                                         | WaMu Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A3                                       | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197240 | PA      | $68065.39     | 0.03%             | 2037-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                                           | LPL Holdings, Inc.                                                                                     | CUSIP: 50212YAL8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    500000 | PA      | $507093.70    | 0.20%             | 2030-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-1788.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DWKN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    798327 | PA      | $799566.67    | 0.32%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $419689.74    | 0.17%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-6267.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Province of Quebec                                                           | Province of Quebec                                                                                     | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   1500000 | PA      | $1159975.80   | 0.46%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products, Inc. Trust                                 | Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 1A1                                | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19437 | PA      | $13647.95     | 0.01%             | 2036-01-26      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $-3631.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC                                                                                                  | CUSIP: 3128M8Q80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19915 | PA      | $19305.74     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                               | Southern California Edison Co.                                                                         | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    500000 | PA      | $504630.65    | 0.20%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                                                             | FHF Issuer Trust, Series 2024-2A, Class A2                                                             | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    505336 | PA      | $510395.84    | 0.20%             | 2030-06-15      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -100000 | PA      | $-106.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -3300000 | PA      | $-41879.43    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2006-OA11, Class A1B                                                    | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207878 | PA      | $201803.40    | 0.08%             | 2046-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BMW US Capital LLC                                                           | BMW US Capital LLC                                                                                     | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202214.94    | 0.08%             | 2028-03-21      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-29028.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY7, Class 4A2                              | CUSIP: 93364FAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37212 | PA      | $33827.61     | 0.01%             | 2037-07-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                           | United Airlines Pass-Through Trust, Series 2020-1, Class A                                             | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    397496 | PA      | $404630.88    | 0.16%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $214125.00    | 0.08%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    300000 | PA      | $963.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H02, Class FH                                                                        | CUSIP: 38376RPV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47333 | PA      | $47553.43     | 0.02%             | 2066-01-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                              | Goldman Sachs Group, Inc. (The)                                                                        | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $519256.65    | 0.21%             | 2030-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-89.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                               | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A                               | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    458584 | PA      | $458584.22    | 0.18%             | 2037-01-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H17, Class FM                                                                        | CUSIP: 38376RXJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       450 | PA      | $447.52       | 0.00%             | 2066-08-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2006-5, Class 3A2                                                                         | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1532 | PA      | $1568.35      | 0.00%             | 2035-05-25      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3138AU6B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6097 | PA      | $6028.99      | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                        | Japan Government Bond                                                                                  | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  97000000 | PA      | $617877.50    | 0.24%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2330000 | PA      | $7181.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                          | Thornburg Mortgage Securities Trust, Series 2007-1, Class A2B                                          | CUSIP: 88522EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19587 | PA      | $13767.86     | 0.01%             | 2037-03-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| First American Financial Corp.                                               | First American Financial Corp.                                                                         | CUSIP: 31847RAG7<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |    700000 | PA      | $669969.23    | 0.26%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                         | JPMorgan Chase & Co.                                                                                   | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    500000 | PA      | $510715.20    | 0.20%             | 2027-10-22      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Tesla Sustainable Energy Trust                                               | Tesla Sustainable Energy Trust, Series 2024-1A, Class A2                                               | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    483345 | PA      | $484907.06    | 0.19%             | 2050-06-21      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2006-OA12, Class A1B                                                    | CUSIP: 23243AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39823 | PA      | $40830.35     | 0.02%             | 2046-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $497721.71    | 0.20%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8967662 | PA      | $8614838.96   | 3.40%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $197330.66    | 0.08%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Host Hotels & Resorts LP                                                     | Host Hotels & Resorts LP, Series J                                                                     | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    300000 | PA      | $262384.53    | 0.10%             | 2031-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2545.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14209 | PA      | $14615.97     | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2006-45T1, Class 1A16                                                   | CUSIP: 02149JCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227446 | PA      | $87922.92     | 0.03%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-1031.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1790.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Peru                                                             | Republic of Peru                                                                                       | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    100000 | PA      | $30576.49     | 0.01%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| EPR Properties                                                               | EPR Properties                                                                                         | CUSIP: 26884UAG4<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |    800000 | PA      | $726740.00    | 0.29%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-1686.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                                                          | Sandstone Peak Ltd., Series 2021-1A, Class A1R                                                         | CUSIP: 800130AN6<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $699795.60    | 0.28%             | 2034-10-15      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| INVESCO GOVT AND AGCY LEX                                                    | INVESCO GOVERNMENT & AGENCY PORTFOLIO OPEN-END FUND USD                                                | CUSIP: 825252885<br>LEI: O37NHJVF7S22I1ONOU83 | Long             | STIV             | RF                | US        |    380110 | PA      | $380110.00    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                 | Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE7, Class 2A2                               | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12590 | PA      | $12216.14     | 0.00%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   5300000 | PA      | $394843.87    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                                | Federative Republic of Brazil                                                                          | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | STIV             | NUSS              | BR        |   1800000 | PA      | $319467.62    | 0.13%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $6510.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                 | GS Mortgage Securities Trust, Series 2016-GS3, Class WMB                                               | CUSIP: 36251PBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $85342.81     | 0.03%             | 2049-10-10      | Variable      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                                | WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 2A1                              | CUSIP: 92990GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64183 | PA      | $51923.81     | 0.02%             | 2037-05-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2261.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $503234.41    | 0.20%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-3509.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                               | Morgan Stanley                                                                                         | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $518088.35    | 0.20%             | 2030-04-18      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  13900000 | PA      | $310.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  28000000 | PA      | $21418.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-1324.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Digital Dutch Finco BV                                                       | Digital Dutch Finco BV                                                                                 | CUSIP: N/A<br>LEI: 549300ONZ5IS6B6IMJ70       | Long             | DBT              | CORP              | NL        |   1200000 | PA      | $1198978.76   | 0.47%             | 2032-01-15      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    500000 | PA      | $10990.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                                              | AES Corp. (The)                                                                                        | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1373847.58   | 0.54%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Solutions Trust                                    | GoodLeap Sustainable Home Solutions Trust, Series 2023-3C, Class A                                     | CUSIP: 38237CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    417026 | PA      | $390887.55    | 0.15%             | 2055-07-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 4989, Class FA                                                                           | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162209 | PA      | $159818.20    | 0.06%             | 2040-08-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Norinchukin Bank (The)                                                       | Norinchukin Bank (The)                                                                                 | CUSIP: 656029AL9<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    600000 | PA      | $611566.62    | 0.24%             | 2028-03-09      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140AFCP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58199 | PA      | $58314.50     | 0.02%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                     | JP Morgan Mortgage Trust, Series 2005-S3, Class 1A2                                                    | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10419 | PA      | $4446.17      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-9444.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                     | Bear Stearns ALT-A Trust, Series 2005-4, Class 23A1                                                    | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11723 | PA      | $11180.16     | 0.00%             | 2035-05-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H20, Class PT                                                                        | CUSIP: 38376RYV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216700 | PA      | $223550.05    | 0.09%             | 2066-09-20      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-357.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-932.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66280 | PA      | $66403.62     | 0.03%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    400000 | PA      | $2119.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-693.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Clearway Energy Operating LLC                                                | Clearway Energy Operating LLC                                                                          | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |    600000 | PA      | $550140.00    | 0.22%             | 2031-02-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Equinix, Inc.                                                                | Equinix, Inc.                                                                                          | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1135193.64   | 0.45%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -100000 | PA      | $-133.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                          | Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A2                                           | CUSIP: 17307GXQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     26468 | PA      | $25845.34     | 0.01%             | 2035-09-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1500000 | PA      | $99205.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -200000 | PA      | $-524.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  14400000 | PA      | $1987.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                                 | San Diego Gas & Electric Co.                                                                           | CUSIP: 797440CE2<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    500000 | PA      | $510213.50    | 0.20%             | 2028-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | U.S. Treasury 10 Year Ultra Note                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -25 | NC      | $-72690.13    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2100000 | PA      | $1656447.87   | 0.65%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HAT Holdings I LLC                                                           | HAT Holdings I LLC                                                                                     | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $392151.60    | 0.15%             | 2026-06-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                                    | First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1                                  | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19061 | PA      | $17536.13     | 0.01%             | 2035-10-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| Northern States Power Co.                                                    | Northern States Power Co.                                                                              | CUSIP: 665772CV9<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    700000 | PA      | $592363.10    | 0.23%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                      | BPCE SA                                                                                                | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $528788.45    | 0.21%             | 2029-10-19      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $1963.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $18233.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $9087.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-1867.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                                                     | Regatta XVI Funding Ltd., Series 2019-2A, Class A1R                                                    | CUSIP: 75888TAL9<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |    681503 | PA      | $682150.00    | 0.27%             | 2033-01-15      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3368.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                     | Bear Stearns ALT-A Trust, Series 2006-3, Class 35A1                                                    | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45850 | PA      | $21813.84     | 0.01%             | 2036-05-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2002-11, Class 1A1                                                      | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8 | PA      | $8.72         | 0.00%             | 2033-02-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| TFDXX LEX BLACKROCK FED FUND                                                 | BLACKROCK LIQUIDITY FEDFUND OPEN-END FUND USD                                                          | CUSIP: 09248U700<br>LEI: 549300T8K043VZEOVK74 | Long             | STIV             | RF                | US        |    100000 | PA      | $100000.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $475214.70    | 0.19%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $9233.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                               | Morgan Stanley                                                                                         | CUSIP: 61747YFP5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $511041.25    | 0.20%             | 2028-04-13      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                     | Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE5, Class A2D                                   | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    410294 | PA      | $195155.76    | 0.08%             | 2036-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2707.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2017-H10, Class FB                                                                        | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178461 | PA      | $181023.16    | 0.07%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2007-42, Class AF                                                                         | CUSIP: 31396VN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       336 | PA      | $329.54       | 0.00%             | 2037-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1370785 | PA      | $-819.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                | Equinix, Inc.                                                                                          | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    800000 | PA      | $706762.64    | 0.28%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Norinchukin Bank (The)                                                       | Norinchukin Bank (The)                                                                                 | CUSIP: 656029AN5<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $504986.25    | 0.20%             | 2029-10-16      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $92655.51     | 0.04%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    200000 | PA      | $1553.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2004-10, Class 23A1                                                     | CUSIP: 07384M4K5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1102 | PA      | $1059.26      | 0.00%             | 2035-01-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                               | Accredited Mortgage Loan Trust, Series 2006-2, Class A4                                                | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26341 | PA      | $26126.77     | 0.01%             | 2036-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                              | CHL Mortgage Pass-Through Trust, Series 2004-HYB9, Class 1A1                                           | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2045 | PA      | $2066.17      | 0.00%             | 2035-02-20      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    120000 | PA      | $-1176.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    630000 | PA      | $-1703.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $16838.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Sunnova Sol IV Issuer LLC                                                    | Sunnova Sol IV Issuer LLC, Series 2022-A, Class A                                                      | CUSIP: 86745AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1424248 | PA      | $1206917.13   | 0.48%             | 2049-02-22      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                 | UBS Group AG                                                                                           | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    500000 | PA      | $502970.35    | 0.20%             | 2027-01-12      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-26.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133KRBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1692591 | PA      | $1622559.64   | 0.64%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                             | Republic of Peru                                                                                       | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    221000 | PA      | $67574.04     | 0.03%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| RASC Trust                                                                   | RASC Trust, Series 2006-EMX2, Class M1                                                                 | CUSIP: 75406AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96408 | PA      | $94611.60     | 0.04%             | 2036-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Landmark Mortgage Securities No. 3 plc                                       | Landmark Mortgage Securities No. 3 plc, Series 3, Class A                                              | CUSIP: N/A<br>LEI: 213800S8KWEEVI3XTK68       | Long             | ABS-MBS          | CORP              | GB        |    356277 | PA      | $478388.11    | 0.19%             | 2044-04-17      | Floating      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $4461.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXVI Ltd.                                              | Madison Park Funding XXXVI Ltd., Series 2019-36A, Class A1RR                                           | CUSIP: 55819PBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $698515.30    | 0.28%             | 2035-04-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -100000 | PA      | $-144.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                                     | Lloyds Banking Group plc                                                                               | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $405331.16    | 0.16%             | 2028-01-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                               | BNP Paribas SA                                                                                         | CUSIP: 09659W2C7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $293111.40    | 0.12%             | 2027-11-16      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 4989, Class FB                                                                           | CUSIP: 3137FUKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120172 | PA      | $118342.88    | 0.05%             | 2040-10-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                       | NXP BV                                                                                                 | CUSIP: 62947QBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $502010.00    | 0.20%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2003-25, Class KP                                                                         | CUSIP: 31393APU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4762 | PA      | $4744.53      | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    900000 | PA      | $17341.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| European Union                                                               | European Union                                                                                         | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |    100000 | PA      | $82185.14     | 0.03%             | 2043-02-04      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                                                    | FHF Trust, Series 2023-1A, Class A2                                                                    | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118547 | PA      | $119553.25    | 0.05%             | 2028-06-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| CVC Cordatus Loan Fund VII DAC                                               | CVC Cordatus Loan Fund VII DAC, Series 7A, Class ARR                                                   | CUSIP: N/A<br>LEI: 635400CLBI5JM6YQBR92       | Long             | ABS-CBDO         | CORP              | IE        |    470261 | PA      | $552830.62    | 0.22%             | 2031-09-15      | Floating      | 2.60%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2416.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA, Series 2004-W2, Class 5AF                                                                        | CUSIP: 31393XGV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3953 | PA      | $3942.57      | 0.00%             | 2044-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $744062.50    | 0.29%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4013.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                               | Banc of America Mortgage Trust, Series 2003-D, Class 2A4                                               | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32 | PA      | $31.79        | 0.00%             | 2033-05-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H17, Class FC                                                                        | CUSIP: 38376RXT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184866 | PA      | $185372.84    | 0.07%             | 2066-08-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                               | Broadcom, Inc.                                                                                         | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    215000 | PA      | $181104.30    | 0.07%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 3140ACWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48936 | PA      | $48971.08     | 0.02%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNG Bank NV                                                                  | BNG Bank NV                                                                                            | CUSIP: 05591F2Y5<br>LEI: 529900GGYMNGRQTDOO93 | Long             | DBT              | NUSS              | NL        |    600000 | PA      | $620380.68    | 0.25%             | 2030-02-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    599000 | PA      | $8271.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                    | Soundview Home Loan Trust, Series 2007-OPT5, Class 1A1                                                 | CUSIP: 83613FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    475380 | PA      | $367926.53    | 0.15%             | 2037-10-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                       | Standard Chartered plc                                                                                 | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $503695.00    | 0.20%             | 2030-10-15      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $87635.45     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                               | Broadcom, Inc.                                                                                         | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     46000 | PA      | $37853.66     | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-10306.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2452 | PA      | $2445.56      | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -100000 | PA      | $-172.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |   1300000 | PA      | $22431.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Notes                                                                   | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $268454.96    | 0.11%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    300000 | PA      | $1977.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-2515.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MSSG Trust                                                                   | MSSG Trust, Series 2017-237P, Class A                                                                  | CUSIP: 55375KAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $656535.60    | 0.26%             | 2039-09-13      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Florida Power & Light Co.                                                    | Florida Power & Light Co.                                                                              | CUSIP: 341081GK7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102358.30    | 0.04%             | 2028-04-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BIG Commercial Mortgage Trust                                                | BIG Commercial Mortgage Trust, Series 2022-BIG, Class A                                                | CUSIP: 05551UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    626615 | PA      | $624031.54    | 0.25%             | 2039-02-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                         | American Airlines Pass-Through Trust, Series 2016-3, Class AA                                          | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179487 | PA      | $169159.56    | 0.07%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1300000 | PA      | $-616.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC                                                                                                  | CUSIP: 3128KKPB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23769 | PA      | $25018.85     | 0.01%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                        | Japan Government Bond                                                                                  | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  67100000 | PA      | $468541.17    | 0.19%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DVM36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    428027 | PA      | $441184.23    | 0.17%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-641.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    250000 | PA      | $-4327.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| California Health Facilities Financing Authority                             | California Health Facilities Financing Authority                                                       | CUSIP: 13032UD88<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |   1300000 | PA      | $1216825.61   | 0.48%             | 2037-06-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Foreign Exchange EUR/USD                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |    245000 | PA      | $817.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                        | Nomura Holdings, Inc.                                                                                  | CUSIP: 65535HAR0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    900000 | PA      | $898896.87    | 0.36%             | 2025-07-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    500000 | PA      | $-4692.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-751.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                       | Bear Stearns ARM Trust, Series 2003-1, Class 6A1                                                       | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       519 | PA      | $523.15       | 0.00%             | 2033-04-25      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2018-38, Class WF                                                                         | CUSIP: 38380V2S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121260 | PA      | $117592.05    | 0.05%             | 2043-10-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    700000 | PA      | $3653.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                                              | Sumitomo Mitsui Trust Bank Ltd.                                                                        | CUSIP: 86563VBH1<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $309046.80    | 0.12%             | 2028-03-09      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -300000 | PA      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $8446.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $229.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -1700000 | PA      | $-2254.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Argent Securities, Inc. Asset-Backed Pass-Through Certificates               | Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2006-M1, Class A2C              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    618902 | PA      | $153220.68    | 0.06%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-3.43        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -200000 | PA      | $-1365.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONE Mortgage Trust                                                           | ONE Mortgage Trust, Series 2021-PARK, Class A                                                          | CUSIP: 682413AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $685124.93    | 0.27%             | 2036-03-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $311.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   6400000 | PA      | $-279913.84   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                              | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class ASB                                             | CUSIP: 12532BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78159 | PA      | $77571.49     | 0.03%             | 2054-12-10      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDIT                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    500000 | PA      | $12876.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 3360, Class FC                                                                           | CUSIP: 31397KE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3112 | PA      | $3112.47      | 0.00%             | 2037-05-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -200000 | PA      | $-1734.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Crown Point CLO 7 Ltd.                                                       | Crown Point CLO 7 Ltd., Series 2018-7A, Class AR                                                       | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    267285 | PA      | $267309.76    | 0.11%             | 2031-10-20      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bills                                                                                    | CUSIP: 912797RC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5300000 | PA      | $5235114.22   | 2.07%             | 2025-10-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    100000 | PA      | $734.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ares XXVII CLO Ltd.                                                          | Ares XXVII CLO Ltd., Series 2013-2A, Class AR3                                                         | CUSIP: 00190YBP9<br>LEI: 549300BC3E2Y44TL8536 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $700140.00    | 0.28%             | 2034-10-28      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    120000 | PA      | $-1622.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                           | Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 3A                                          | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37136 | PA      | $30466.71     | 0.01%             | 2035-07-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Smurfit Kappa Treasury ULC                                                   | Smurfit Kappa Treasury ULC                                                                             | CUSIP: 83272GAD3<br>LEI: 635400B3DOXSWFOWJT40 | Long             | DBT              | CORP              | IE        |    600000 | PA      | $613828.92    | 0.24%             | 2030-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Mondelez International, Inc.                                                 | Mondelez International, Inc.                                                                           | CUSIP: 609207BD6<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    700000 | PA      | $532713.44    | 0.21%             | 2031-07-03      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3600000 | PA      | $2981250.00   | 1.18%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                   | RALI Trust, Series 2007-QA3, Class A1                                                                  | CUSIP: 74923XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153910 | PA      | $138587.94    | 0.05%             | 2037-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 3617A36W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10999 | PA      | $9849.45      | 0.00%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-251733.35   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4.73        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Romania Government Bond                                                      | Romania Government Bond                                                                                | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    600000 | PA      | $673198.43    | 0.27%             | 2036-02-22      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC                                         | Ready Capital Mortgage Financing LLC, Series 2023-FL11, Class A                                        | CUSIP: 75575RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    230816 | PA      | $230743.62    | 0.09%             | 2039-10-25      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $-5759.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                                 | Pacific Gas and Electric Co.                                                                           | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1097921.00   | 0.43%             | 2053-04-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                       | NXP BV                                                                                                 | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1394148.00   | 0.55%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Residential Finance Trust                           | Specialty Underwriting & Residential Finance Trust, Series 2006-BC5, Class A2D                         | CUSIP: 84751NAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    477203 | PA      | $263815.06    | 0.10%             | 2037-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust                         | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2021-NYAH, Class A                        | CUSIP: 46654EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $687749.58    | 0.27%             | 2038-06-15      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2200000 | PA      | $17628.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                               | Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A3                             | CUSIP: 86360UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    562173 | PA      | $454899.00    | 0.18%             | 2046-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA                                                                                                   | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180458 | PA      | $175821.54    | 0.07%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                                      | Fremont Home Loan Trust, Series 2005-D, Class M1                                                       | CUSIP: 35729PMF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280228 | PA      | $252310.25    | 0.10%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                                 | ING Groep NV                                                                                           | CUSIP: 456837BR3<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $608885.10    | 0.24%             | 2031-03-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-0.25        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3133BWPG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4063623 | PA      | $3784697.57   | 1.50%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   1600000 | PA      | $28540.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOP                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -200000 | PA      | $-30.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                       | Alternative Loan Trust, Series 2006-OA3, Class 1A1                                                     | CUSIP: 12668BB44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24963 | PA      | $21330.62     | 0.01%             | 2036-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                     | Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-WMC2, Class A2C                                  | CUSIP: 61749KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225006 | PA      | $80734.83     | 0.03%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                            | HSBC Holdings plc                                                                                      | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $506221.80    | 0.20%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities Mortgage Loan Trust                                | Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-AR2, Class A1                               | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86051 | PA      | $80235.41     | 0.03%             | 2037-03-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Canada 10 Year Bond                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |        17 | NC      | $13214.41     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-23550.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | FNMA                                                                                                   | CUSIP: 3138ENEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69785 | PA      | $71789.00     | 0.03%             | 2038-05-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4914.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DWLL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50842 | PA      | $50864.97     | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                                  | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class A5                                 | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $552953.82    | 0.22%             | 2053-05-15      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Inflation Linked Bonds                                                                   | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $246708.15    | 0.10%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury STRIPS Bonds                                                                             | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $143814.60    | 0.06%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  31000000 | PA      | $2202.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $740953.17    | 0.29%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-792.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                         | UMBS                                                                                                   | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8245 | PA      | $7560.39      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2023-H02, Class FA                                                                        | CUSIP: 38382YN82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292212 | PA      | $292408.79    | 0.12%             | 2073-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Store Capital LLC                                                            | Store Capital LLC                                                                                      | CUSIP: 862121AD2<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |    500000 | PA      | $423158.00    | 0.17%             | 2031-12-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                        | FHLMC, Series 2248, Class FB                                                                           | CUSIP: 3133TPV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        27 | PA      | $26.75        | 0.00%             | 2030-09-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                   | UMBS                                                                                                   | CUSIP: 3132DWFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    404501 | PA      | $377273.40    | 0.15%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Long Gilt                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        17 | NC      | $45595.90     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Ally Financial, Inc.                                                         | Ally Financial, Inc.                                                                                   | CUSIP: 02005NBP4<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1376930.10   | 0.54%             | 2028-11-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                                              | Sumitomo Mitsui Trust Bank Ltd.                                                                        | CUSIP: 86563VBA6<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   1600000 | PA      | $1561629.92   | 0.62%             | 2027-03-10      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                | UMBS, 30 Year, Single Family                                                                           | CUSIP: 01F040685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7650000 | PA      | $7116293.16   | 2.81%             | 2055-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1377.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| European Union                                                               | European Union                                                                                         | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |   1000000 | PA      | $1202446.30   | 0.48%             | 2029-10-05      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                          | OIS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 229000000 | PA      | $16040.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                         | GNMA, Series 2016-H22, Class FA                                                                        | CUSIP: 38376RC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102938 | PA      | $103129.14    | 0.04%             | 2066-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     80000 | PA      | $158.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | Forward Foreign Currency Contract                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-12.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                      | GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1                                                    | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15019 | PA      | $14421.43     | 0.01%             | 2035-09-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                                      | Fremont Home Loan Trust, Series 2006-E, Class 2A1                                                      | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2026 | PA      | $908.10       | 0.00%             | 2037-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | NDIRS                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   6128216 | PA      | $-3309.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. Treasury Bonds                                                                                    | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $1789937.50   | 0.71%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                               | Structured Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 1A1                               | CUSIP: 86363GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24994 | PA      | $20576.23     | 0.01%             | 2047-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | CDI                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    700000 | PA      | $7398.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** EQ Advisors Trust

**Signature:** Brian Walsh

**Name of Signer:** Brian Walsh

**Title:** Chief Financial Officer and Treasurer