# EDGAR Filing Document

**Accession Number:** 0000742212
**File Stem:** 0001752724-23-042311
**Filing Date:** 2023-2
**Character Count:** 422908
**Document Hash:** dd0334dc6a2da57532052edae2aca7e3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-042311.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001752724-23-042311

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NORTHWESTERN MUTUAL SERIES FUND INC
- **CENTRAL INDEX KEY:** 0000742212
- **IRS NUMBER:** 391603401
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03990
- **FILM NUMBER:** 23672566

**BUSINESS ADDRESS:**
- **STREET 1:** 720 E WISCONSIN AVE
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202
- **BUSINESS PHONE:** 4142992508

**MAIL ADDRESS:**
- **STREET 1:** 720 EAST WISCONSIN AVE
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NORTHWESTERN MUTUAL VARIABLE LIFE SERIES FUND INC
- **DATE OF NAME CHANGE:** 19940830

## Series and Classes Contracts Data

### Multi-Sector Bond Portfolio (Series ID: S000018235)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000050283 | Multi-Sector Bond Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** NORTHWESTERN MUTUAL SERIES FUND INC

- **b. Investment Company Act file number:** 811-03990

- **c. CIK number of Registrant:** 0000742212

- **d. LEI of Registrant:** 549300T1UBX7MDSNZA55

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

  - **Street Address 1:** 720 E WISCONSIN AVE

  - **City:** MILWAUKEE

  - **State:** WI

  - **Foreign country:** US

  - **Zip / Postal Code:** 53202

  - **Telephone number:** 414-271-1444

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

- **a. Name of Series:** Multi-Sector Bond Portfolio

- **b. EDGAR series identifier (if any):** S000018235

- **c. LEI of Series:** P0C14V6IL3O47L1ZG636

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1122672889.24

**Total Liabilities:** $10236492.27

**Net Assets:** $1112436396.97

**Delayed Delivery Securities:** $30538.46

**Cash Not Reported:** $15517234.40

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1151.35000000 | **1-Year:** -24706.28000000 | **5-Year:** -61298.86000000 | **10-Year:** -70711.25000000 | **30-Year:** -48060.44000000

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

- **3-Month:** -1875.83000000 | **1-Year:** -38865.75000000 | **5-Year:** -174826.31000000 | **10-Year:** -48458.50000000 | **30-Year:** -18971.27000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000050283 | 0.58%                | 5.06%                | -0.22%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-799338.82              | $6214991.26                                |
| Month 2  | $-1693885.28             | $47487798.32                               |
| Month 3  | $-5323091.60             | $8272521.06                                |

**Designated Index Information**

- **Index Name:** 1/3 Bloomberg Global Aggregate Credit Hedged, 1/3 ICE BofA Global High Yield BB-B Rated Constrained Developed Markets Index Hedged, 1/3 JP Morgan EMBI Global

- **Index Identifier:** LGDRTRUH, BAMLC0A4CBBBEY, EMBIG

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Intercontinental Exchange, Inc.                      | Long: SWPC0JVO0 CDS EUR R F  5.00000 1 CCPCORPORATE / Short: SWPC0JVO0 CDS EUR P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    1600000 | OU      | $242478.78    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                           | Morgan Stanley ABS Capital I Inc Trust 2007-HE5                                                                        | CUSIP: 61753KAD8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | ABS-MBS          | CORP              | US        |      54610 | PA      | $24238.24     | 0.00%             | 2037-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                  | Petroleos Mexicanos                                                                                                    | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     600000 | PA      | $523606.52    | 0.05%             | 2028-02-21      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                               | CCO Holdings LLC / CCO Holdings Capital Corp                                                                           | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     800000 | PA      | $613784.00    | 0.06%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Republic of Paraguay                                 | Paraguay Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |     300000 | PA      | $288237.03    | 0.03%             | 2044-08-11      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                             | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397XL2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $187198.06    | 0.02%             | 2025-08-04      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0JJ14 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0JJ14 CDS USD P V 03MEVENT 2 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    5336000 | OU      | $-255538.91   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                        | PURCHASED USD / SOLD AUD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-7786.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                       | PURCHASED CNH / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $27513.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOBLE FINANCE CO                                     | Noble Finance Co                                                                                                       | CUSIP: 65505JAA9<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |      32532 | PA      | $35866.53     | 0.00%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                   | Renaissance Home Equity Loan Trust 2006-4                                                                              | CUSIP: 75970HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1514158 | PA      | $486911.49    | 0.04%             | 2037-01-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                 | Colombia Government International Bond                                                                                 | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    6000000 | PA      | $4081835.34   | 0.37%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                    | PURCHASED USD / SOLD HUF                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-15047.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PORT AUTH OF NEW YORK & NEW JE                       | Port Authority of New York & New Jersey                                                                                | CUSIP: 73358WEK6<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     200000 | PA      | $188559.94    | 0.02%             | 2051-10-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Republic of Ghana                                    | Ghana Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     800000 | PA      | $277840.00    | 0.02%             | 2051-03-26      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| CGG SA                                               | CGG SA                                                                                                                 | CUSIP: 000000000<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $173412.82    | 0.02%             | 2027-04-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                           | Morgan Stanley ABS Capital I Inc Trust 2005-HE5                                                                        | CUSIP: 61744CUV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5956056 | PA      | $4860066.38   | 0.44%             | 2035-09-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                        | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-4041944.09  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                          | CUSIP: 172967KN0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     400000 | PA      | $379124.52    | 0.03%             | 2026-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| MMK INTL CAPITAL DAC                                 | MMK International Capital DAC                                                                                          | CUSIP: 553142AA8<br>LEI: 635400CNBLB2PNXXQI80 | Long             | DBT              | CORP              | IE        |    1400000 | PA      | $420000.00    | 0.04%             | 2024-06-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                             | Occidental Petroleum Corp                                                                                              | CUSIP: 674599EB7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     700000 | PA      | $697465.12    | 0.06%             | 2025-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                                   | Serbia International Bond                                                                                              | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     700000 | PA      | $452873.78    | 0.04%             | 2033-03-03      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                          | Long: SWPC0IOF9 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IOF9 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     400000 | OU      | $-10648.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                  | Virgin Money UK PLC                                                                                                    | CUSIP: 000000000<br>LEI: 213800ZK9VGCYYR6O495 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $114337.66    | 0.01%             | 2025-06-22      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT DRILL VIII/IX                              | Odebrecht Drilling Norbe VIII/IX Ltd                                                                                   | CUSIP: G67106AC1<br>LEI: 549300YNW6BY570L6488 | Long             | DBT              | CORP              | KY        |    1756862 | PA      | $953097.64    | 0.09%             | 2026-12-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust         | Wells Fargo Mortgage Backed Securities 2007-AR8 Trust                                                                  | CUSIP: 94985YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19015 | PA      | $16088.27     | 0.00%             | 2037-11-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                   | Ukraine Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     600000 | PA      | $115327.55    | 0.01%             | 2028-06-20      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | PURCHASED USD / SOLD BRL                                                                                               | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $415.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                             | Cheniere Energy Partners LP                                                                                            | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1191904.00   | 0.11%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst     | Asset Backed Securities Corp Home Equity Loan Trust Series WMC 2005-HE5                                                | CUSIP: 04541GSL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91993 | PA      | $88821.41     | 0.01%             | 2035-06-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                             | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397XU2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     800000 | PA      | $745168.00    | 0.07%             | 2026-01-08      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation              | Structured Asset Securities Corp Mortgage Loan Trust 2007-WF1                                                          | CUSIP: 86358BAT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      51140 | PA      | $49128.85     | 0.00%             | 2037-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                     | Peruvian Government International Bond                                                                                 | CUSIP: 715638DS8<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2700000 | PA      | $1963006.27   | 0.18%             | 2041-03-11      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                    | EURO-BUND FUTURE MAR23                                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         22 | NC      | $-159709.91   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| The Federal Republic of Nigeria                      | Nigeria Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     700000 | PA      | $449134.00    | 0.04%             | 2047-11-28      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                             | Lloyds Banking Group PLC                                                                                               | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $183638.07    | 0.02%             | 2033-08-11      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding                            | Madison Park Euro Funding XIV DAC                                                                                      | CUSIP: 000000000<br>LEI: 635400XLHN7OVUSEV112 | Long             | ABS-CBDO         | CORP              | IE        |     300000 | PA      | $310372.66    | 0.03%             | 2032-07-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                                                               | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     115000 | PA      | $79342.33     | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                    | Citigroup Mortgage Loan Trust 2007-AR4                                                                                 | CUSIP: 17311WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     291125 | PA      | $241998.32    | 0.02%             | 2037-03-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                | CPI Property Group SA                                                                                                  | CUSIP: 000000000<br>LEI: 222100CO2ZOTEPGJO223 | Long             | DBT              | CORP              | LU        |     700000 | PA      | $531563.81    | 0.05%             | 2027-04-23      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL FIN EU                                | Liberty Mutual Finance Europe DAC                                                                                      | CUSIP: 000000000<br>LEI: 254900GTNATA5DHR0920 | Long             | DBT              | CORP              | IE        |     100000 | PA      | $104188.95    | 0.01%             | 2024-03-27      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                 | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $12644.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                        | CommScope Inc                                                                                                          | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $4595340.00   | 0.41%             | 2029-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust               | Structured Asset Investment Loan Trust 2006-BNC3                                                                       | CUSIP: 86361KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       6600 | PA      | $6308.47      | 0.00%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                     | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     200000 | PA      | $176337.17    | 0.02%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     500000 | PA      | $441265.76    | 0.04%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                          | Long: SWPC0IO36 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IO36 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     400000 | OU      | $-10648.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                 | PURCHASED USD / SOLD AUD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $161.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                | CWABS Asset-Backed Certificates Trust 2007-13                                                                          | CUSIP: 126698AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1161478 | PA      | $1116669.23   | 0.10%             | 2047-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                          | Long: SWU01KS69 IRS EUR R F  1.50000 SWU01KS69 CCPVANILLA / Short: SWU01KS69 IRS EUR P V 06MEURIB SWUV1KS61 CCPVANILLA | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4400000 | OU      | $-179064.41   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation              | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4                                                          | CUSIP: 86359RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     133727 | PA      | $129430.15    | 0.01%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                           | Sprint LLC                                                                                                             | CUSIP: 85207UAH8<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101954.00    | 0.01%             | 2024-06-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                | CWABS Asset-Backed Certificates Trust 2006-1                                                                           | CUSIP: 126670TG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      85745 | PA      | $75568.58     | 0.01%             | 2036-07-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust               | Structured Asset Investment Loan Trust 2005-7                                                                          | CUSIP: 86358EWD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     265407 | PA      | $250246.93    | 0.02%             | 2035-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Russian Federation                                   | Russian Foreign Bond - Eurobond                                                                                        | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     200000 | PA      | $62000.00     | 0.01%             | 2027-06-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust           | HSI Asset Securitization Corp Trust 2006-NC1                                                                           | CUSIP: 40430HER5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     818845 | PA      | $756066.64    | 0.07%             | 2035-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BANCO DE SABADELL SA                                 | Banco de Sabadell SA                                                                                                   | CUSIP: 000000000<br>LEI: SI5RG2M0WQQLZCXKRM20 | Long             | DBT              | CORP              | ES        |     900000 | PA      | $926727.73    | 0.08%             | 2024-05-10      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                 | Fannie Mae Trust 2003-W6                                                                                               | CUSIP: 31393BX75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14447 | PA      | $14114.67     | 0.00%             | 2042-09-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                         | Barclays PLC                                                                                                           | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    3000000 | PA      | $2905610.58   | 0.26%             | 2028-08-09      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                  | Intesa Sanpaolo SpA                                                                                                    | CUSIP: 46115HBL0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $171109.97    | 0.02%             | 2029-09-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                        | UniCredit SpA                                                                                                          | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    5700000 | PA      | $5224005.26   | 0.47%             | 2034-04-02      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                     | Deutsche Bank AG/New York NY                                                                                           | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1300000 | PA      | $1042194.86   | 0.09%             | 2031-09-18      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                     | RALI Series 2007-QA1 Trust                                                                                             | CUSIP: 74923GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4248 | PA      | $4312.60      | 0.00%             | 2037-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Home Equity Loan Trust                               | Home Equity Loan Trust                                                                                                 | CUSIP: 43710XAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $436440.20    | 0.04%             | 2037-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| ADLER Real Estate AG                                 | ADLER Real Estate AG                                                                                                   | CUSIP: 000000000<br>LEI: 529900Y6QFNN3D363B76 | Long             | DBT              | CORP              | DE        |    4900000 | PA      | $3613944.53   | 0.32%             | 2026-04-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                          | GSAMP Trust 2004-WF                                                                                                    | CUSIP: 36242DKL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      13402 | PA      | $12757.41     | 0.00%             | 2034-10-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust           | Bear Stearns Asset Backed Securities I Trust 2007-HE6                                                                  | CUSIP: 07387YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55916 | PA      | $54891.27     | 0.00%             | 2037-08-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                       | CUSIP: 912828W71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3970000 | PA      | $3845937.50   | 0.35%             | 2024-03-31      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                             | Ford Motor Credit Co LLC                                                                                               | CUSIP: 000000000<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     100000 | PA      | $114836.48    | 0.01%             | 2025-03-06      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                   | Dominican Republic International Bond                                                                                  | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     550000 | PA      | $456533.58    | 0.04%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Weyerhaeuser Co                                      | Weyerhaeuser Co                                                                                                        | CUSIP: 962166BR4<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              |  | US        |     424000 | PA      | $468682.76    | 0.04%             | 2032-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                                   | Dominican Republic International Bond                                                                                  | CUSIP: P3579EBK2<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     500000 | PA      | $504540.33    | 0.05%             | 2026-01-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020 TR                              | Alaska Airlines 2020-1 Class A Pass Through Trust                                                                      | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     168645 | PA      | $160511.29    | 0.01%             | 2027-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                              | Goldman Sachs & Co. LLC                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | RA               | CORP              | US        |   50000000 | PA      | $50000000.00  | 4.49%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                             | Petroleos de Venezuela SA                                                                                              | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    4300000 | PA      | $193653.55    | 0.02%             | 2037-04-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                             | Santander UK Group Holdings PLC                                                                                        | CUSIP: 000000000<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    1390000 | PA      | $1611122.46   | 0.14%             | 2024-06-24      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                          | Aker BP ASA                                                                                                            | CUSIP: 00973RAF0<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |     400000 | PA      | $351877.09    | 0.03%             | 2030-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                           | VMware Inc                                                                                                             | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     100000 | PA      | $93021.51     | 0.01%             | 2030-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2006-OA2                                                                                        | CUSIP: 126694R75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     283855 | PA      | $232885.90    | 0.02%             | 2046-05-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GROWTHPOINT PROPERTIES L                             | Growthpoint Properties International Pty Ltd                                                                           | CUSIP: 40009VAA6<br>LEI: 378900C761245FC57265 | Long             | DBT              |  | ZA        |     300000 | PA      | $297798.00    | 0.03%             | 2023-05-02      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| BANCO DE SABADELL SA                                 | Banco de Sabadell SA                                                                                                   | CUSIP: 000000000<br>LEI: SI5RG2M0WQQLZCXKRM20 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $191349.70    | 0.02%             | 2027-03-11      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF BELARUS                                  | Republic of Belarus International Bond                                                                                 | CUSIP: 07737JAE3<br>LEI: 635400CVCOWYLHF4ZB08 | Long             | DBT              | NUSS              | BY        |     600000 | PA      | $246000.00    | 0.02%             | 2026-02-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                   | Ukraine Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1700000 | PA      | $320733.43    | 0.03%             | 2032-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                              | Fremont Home Loan Trust 2005-2                                                                                         | CUSIP: 35729PLP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $265733.76    | 0.02%             | 2035-06-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                  | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    2580000 | PA      | $1785098.65   | 0.16%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| Euro Galaxy CLO DAC                                  | Euro-Galaxy III CLO DAC                                                                                                | CUSIP: 000000000<br>LEI: 635400H1W7SGWXGQOB43 | Long             | ABS-CBDO         | CORP              | IE        |     300000 | PA      | $310672.43    | 0.03%             | 2034-04-24      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                         | Centene Corp                                                                                                           | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     200000 | PA      | $187572.64    | 0.02%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ATLANTIA SPA                                         | Atlantia SpA                                                                                                           | CUSIP: 000000000<br>LEI: 8156008DEC771409C487 | Long             | DBT              | CORP              | IT        |    1200000 | PA      | $1193439.86   | 0.11%             | 2025-02-03      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                    | Iliad Holding SASU                                                                                                     | CUSIP: 449691AA2<br>LEI: 9695009PXA7OI9NXN582 | Long             | DBT              | CORP              | FR        |    2700000 | PA      | $2504125.37   | 0.23%             | 2026-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF JORDAN                                    | Jordan Government International Bond                                                                                   | CUSIP: 418097AL5<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |     400000 | PA      | $357520.00    | 0.03%             | 2030-07-07      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE                                | Melco Resorts Finance Ltd                                                                                              | CUSIP: 58547DAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    5700000 | PA      | $5234352.69   | 0.47%             | 2025-06-06      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Numericable Group SA                                 | Numericable Group SA USD Term Loan B11                                                                                 | CUSIP: 67053NAK0<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     192366 | PA      | $182026.67    | 0.02%             | 2025-07-31      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2006-45T1                                                                                       | CUSIP: 02149JAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     105075 | PA      | $40100.22     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                             | Sunac China Holdings Ltd                                                                                               | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |     600000 | PA      | $127361.89    | 0.01%             | 2024-08-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ESC CB144A INTELSAT JA                               | ESC CB144A INTELSAT JA                                                                                                 | CUSIP: 458ESCAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     200000 | PA      | $0.00         | 0.00%             | 2024-10-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Kaisa Group Holdings Ltd                             | Kaisa Group Holdings Ltd                                                                                               | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |     400000 | PA      | $54192.03     | 0.00%             | 2024-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Republic of Turkey                                   | Turkey Government International Bond                                                                                   | CUSIP: 900123CB4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    2800000 | PA      | $1815956.80   | 0.16%             | 2043-04-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                                   | Dominican Republic International Bond                                                                                  | CUSIP: 25714PDW5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    2800000 | PA      | $2303061.01   | 0.21%             | 2048-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                          | Long: SWPC0IPK7 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IPK7 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     300000 | OU      | $-7986.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates              | WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust                                                          | CUSIP: 92925VAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2469 | PA      | $2206.41      | 0.00%             | 2037-02-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                               | Federal Home Loan Banks                                                                                                | CUSIP: 3130ATJ99<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   10800000 | PA      | $10799994.38  | 0.97%             | 2023-01-06      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Man GLG Euro CLO                                     | Man GLG Euro CLO VI DAC                                                                                                | CUSIP: 000000000<br>LEI: 635400D8TYQFYNLHNR61 | Long             | ABS-CBDO         | CORP              | IE        |     299832 | PA      | $309706.35    | 0.03%             | 2032-10-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                               | CVS Pass-Through Trust                                                                                                 | CUSIP: 126650BY5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     594255 | PA      | $580017.30    | 0.05%             | 2034-01-10      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                             | Santander UK Group Holdings PLC                                                                                        | CUSIP: 80281LAP0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $618171.64    | 0.06%             | 2032-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                             | Long: SWPC0LC99 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0LC99 CDS USD P V 03MEVENT FLO SOVEREIGN               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |     300000 | OU      | $-4038.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMER AIRLINE 17-2 AA PTT                             | American Airlines 2017-2 Class AA Pass Through Trust                                                                   | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     151290 | PA      | $130606.72    | 0.01%             | 2029-10-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                    | Citigroup Mortgage Loan Trust 2007-10                                                                                  | CUSIP: 17313QAR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | ABS-MBS          | CORP              | US        |      10498 | PA      | $9179.90      | 0.00%             | 2037-09-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR ULTRA FUT MAR23                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        255 | NC      | $-71847.73    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Wellfleet CLO Ltd                                    | Wellfleet CLO 2017-1 Ltd                                                                                               | CUSIP: 94950GAL1<br>LEI: 2549003PA4N7YYXOW035 | Long             | ABS-CBDO         | CORP              | KY        |    2750847 | PA      | $2710959.88   | 0.24%             | 2029-04-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                             | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     300000 | PA      | $263667.00    | 0.02%             | 2027-11-02      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Sculptor CLO XXV, Ltd.                               | Sculptor CLO XXV Ltd                                                                                                   | CUSIP: 811244AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2056178.65   | 0.18%             | 2031-01-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2006-5T2                                                                                        | CUSIP: 12668BMU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     353064 | PA      | $129611.72    | 0.01%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| LEASEPLAN CORPORATION NV                             | LeasePlan Corp NV                                                                                                      | CUSIP: 52206AAD2<br>LEI: 724500C60L930FVHS484 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $281472.21    | 0.03%             | 2024-10-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                       | CUSIP: 9128285P1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4230000 | PA      | $4160932.05   | 0.37%             | 2023-11-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                             | EQT Corp                                                                                                               | CUSIP: 26884LAH2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5512925.00   | 0.50%             | 2025-02-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                             | Sunac China Holdings Ltd                                                                                               | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |    2000000 | PA      | $423076.88    | 0.04%             | 2024-04-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                | Venezuela Government International Bond                                                                                | CUSIP: P97475AG5<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      32000 | PA      | $2000.00      | 0.00%             | 2020-12-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond - WI Reopening                                                                        | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19800000 | PA      | $19385437.50  | 1.74%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                          | GSAMP Trust 2007-FM2                                                                                                   | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     154450 | PA      | $92664.08     | 0.01%             | 2037-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| ESC GCB INTELSAT JACKS                               | ESC GCB INTELSAT JACKS                                                                                                 | CUSIP: 458ESCAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     700000 | PA      | $0.00         | 0.00%             | 2023-08-01      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| KKR Financial CLO Ltd                                | KKR CLO 9 Ltd                                                                                                          | CUSIP: 48250LAW9<br>LEI: 549300C6QY0XRSC8FH09 | Long             | ABS-CBDO         | CORP              | KY        |    2041970 | PA      | $1999787.62   | 0.18%             | 2030-07-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                 | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $16138.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                      | DAE Funding LLC                                                                                                        | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1579826.17   | 0.14%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| AA Bond Co Ltd                                       | AA Bond Co Ltd                                                                                                         | CUSIP: 000000000<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |    1200000 | PA      | $1372954.34   | 0.12%             | 2024-07-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ATLAS LUXCO 4 / ALL UNI                              | Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    1400000 | PA      | $1185565.63   | 0.11%             | 2028-06-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0LB90 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0LB90 CDS USD P V 03MEVENT 2 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   61000000 | OU      | $486174.27    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| INEOS Quattro Holdings UK Ltd                        | INEOS Quattro Holdings UK Ltd EUR Term Loan B                                                                          | CUSIP: 000000000<br>LEI: 213800HKSMBSJQ32CA45 | Long             | LON              | CORP              | GB        |    1100000 | PA      | $1098508.11   | 0.10%             | 2026-01-29      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                             | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     400000 | PA      | $394740.00    | 0.04%             | 2024-03-18      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust               | Residential Asset Securitization Trust 2007-A2                                                                         | CUSIP: 761120AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3298230 | PA      | $874460.33    | 0.08%             | 2037-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| State of Qatar                                       | Qatar Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |     800000 | PA      | $778000.00    | 0.07%             | 2049-03-14      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                             | Provincia de Buenos Aires/Government Bonds                                                                             | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |     740000 | PA      | $2404.03      | 0.00%             | 2025-04-12      | Fixed         | 72.91%                | No            |                  2 | On Loan: No      |
| Republic of Paraguay                                 | Paraguay Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |     600000 | PA      | $523089.65    | 0.05%             | 2048-03-13      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                       | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21477407 | PA      | $21535054.97  | 1.94%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust       | Securitized Asset Backed Receivables LLC Trust 2005-FR4                                                                | CUSIP: 81375WFJ0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |      34669 | PA      | $32724.84     | 0.00%             | 2036-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                 | PURCHASED MXN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | MX        |          1 | NC      | $14.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                 | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $5347.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MANITOWOC COMPANY INC                                | Manitowoc Co Inc/The                                                                                                   | CUSIP: 563571AL2<br>LEI: 2RTSLGQ89VMY18RHX631 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $5813697.22   | 0.52%             | 2026-04-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                          | Towd Point Mortgage Funding 2019 - Granite4 PLC                                                                        | CUSIP: 000000000<br>LEI: 635400655NWVVZHH1395 | Long             | ABS-MBS          | CORP              | GB        |    1258600 | PA      | $1511141.78   | 0.14%             | 2051-10-20      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                               | CHL Mortgage Pass-Through Trust 2005-22                                                                                | CUSIP: 126694LW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9032 | PA      | $7095.28      | 0.00%             | 2035-10-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Laurelin BV                                          | Laurelin 2016-1 DAC                                                                                                    | CUSIP: 000000000<br>LEI: 5493000IP0JWCUCF6H56 | Long             | ABS-CBDO         | CORP              | IE        |     400000 | PA      | $414052.05    | 0.04%             | 2031-10-20      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust           | HSI Asset Securitization Corp Trust 2005-I1                                                                            | CUSIP: 40430HCN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     155821 | PA      | $138098.75    | 0.01%             | 2035-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2007-AL1                                                                                        | CUSIP: 02150NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3336136 | PA      | $2647958.15   | 0.24%             | 2037-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd                                      | Sands China Ltd                                                                                                        | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    3200000 | PA      | $2996169.60   | 0.27%             | 2028-08-08      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ALBION FINANCING 3 SARL                              | Albion Financing 3 SARL EUR Term Loan                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    1400000 | PA      | $1459560.02   | 0.13%             | 2026-08-17      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                               | Fairfax Financial Holdings Ltd                                                                                         | CUSIP: 000000000<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $466451.58    | 0.04%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                        | Mastr Asset Backed Securities Trust 2006-HE3                                                                           | CUSIP: 57645JAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1996893 | PA      | $606140.83    | 0.05%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MID LLC/FINAN                             | Blue Racer Midstream LLC / Blue Racer Finance Corp                                                                     | CUSIP: 095796AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $96797.00     | 0.01%             | 2026-07-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                     | Deutsche Bank AG/New York NY                                                                                           | CUSIP: 25160PAG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     700000 | PA      | $497122.93    | 0.04%             | 2033-01-07      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                   | Ukraine Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     300000 | PA      | $55556.25     | 0.00%             | 2034-09-25      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                     | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96695.60     | 0.01%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION OIL B SHS EQUITY                       | CONSTELLATION OIL B SHS EQUITY                                                                                         | CUSIP: 000000000<br>LEI: 5493005YJTU769NW5I10 | Long             | EC               | CORP              | US        |     112235 | NS      | $12165.83     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BARCLAYS PLC                                         | Barclays PLC                                                                                                           | CUSIP: 06738EBU8<br>LEI: 213800LBQA1Y9L22JB70 | Short            | DBT              | CORP              | GB        |   -2100000 | PA      | $-1815190.55  | -0.16%            | 2027-11-24      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                               | Egypt Government International Bond                                                                                    | CUSIP: 03846JAC4<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    1900000 | PA      | $1170096.00   | 0.11%             | 2061-02-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Eurosail Plc                                         | Eurosail-NL 2007-2 BV                                                                                                  | CUSIP: 000000000<br>LEI: 724500VX65TCSYFLOA51 | Long             | ABS-MBS          | CORP              | NL        |      26224 | PA      | $27941.19     | 0.00%             | 2040-10-17      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates              | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust                                                          | CUSIP: 93362FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6317 | PA      | $5721.60      | 0.00%             | 2036-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                      | Sands China Ltd                                                                                                        | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     400000 | PA      | $342572.00    | 0.03%             | 2027-03-08      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM INT FIN                             | Deutsche Telekom International Finance BV                                                                              | CUSIP: 25156PAC7<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |     475000 | PA      | $560147.28    | 0.05%             | 2030-06-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FIN                              | Mitchells & Butlers Finance PLC                                                                                        | CUSIP: 000000000<br>LEI: 213800E7QA1U8BF34219 | Long             | SN               | CORP              | GB        |     922834 | PA      | $999052.09    | 0.09%             | 2030-12-15      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                    | NatWest Group PLC                                                                                                      | CUSIP: 780097BQ3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $461723.36    | 0.04%             | 2025-12-29      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2006-HY10                                                                                       | CUSIP: 12668BUH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6287 | PA      | $5483.92      | 0.00%             | 2036-05-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0KSX1 CDS USD R F  5.00000 1 CCPCORPORATE / Short: SWPC0KSX1 CDS USD P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    1000000 | OU      | $62842.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0KTA0 CDS USD R F  5.00000 1 CCPCORPORATE / Short: SWPC0KTA0 CDS USD P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     900000 | OU      | $61441.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | PURCHASED USD / SOLD CNH                                                                                               | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-109.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Altice Financing SA                                  | Altice Financing SA USD 2017 1st Lien Term Loan                                                                        | CUSIP: 000000000<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | LON              | CORP              | LU        |    1160305 | PA      | $1113893.07   | 0.10%             | 2026-01-31      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| ABERTIS INFRAESTRUCTURAS                             | Abertis Infraestructuras SA                                                                                            | CUSIP: 000000000<br>LEI: 549300GKFVWI02JQ5332 | Long             | DBT              | CORP              | ES        |     600000 | PA      | $497887.47    | 0.04%             | 2032-03-26      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO X LTD                               | Marble Point Clo X Ltd                                                                                                 | CUSIP: 566061AL1<br>LEI: 549300PJ1FVY9B16K017 | Long             | ABS-CBDO         | CORP              | KY        |    5200000 | PA      | $5086573.49   | 0.46%             | 2030-10-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0KWL2 CDS USD R F  5.00000 1 CCPCORPORATE / Short: SWPC0KWL2 CDS USD P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     300000 | OU      | $16169.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Envision Healthcare Corporation                      | Envision Healthcare Corporation 2022 Term Loan                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     169231 | PA      | $164048.92    | 0.01%             | 2027-04-29      | Floating      | 12.12%                | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                             | Long: SWPC0KAW2 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0KAW2 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    1800000 | OU      | $206955.24    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                     | Altice France SA/France                                                                                                | CUSIP: 000000000<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    1400000 | PA      | $1129615.80   | 0.10%             | 2029-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| National Fuel Gas Co                                 | National Fuel Gas Co                                                                                                   | CUSIP: 636180BM2<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |     300000 | PA      | $298430.42    | 0.03%             | 2025-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| KENNEDY-WILSON INC                                   | Kennedy-Wilson Inc                                                                                                     | CUSIP: 489399AN5<br>LEI: 5EA4464UK7FM5QNNKL62 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1372500.00   | 0.12%             | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PINNACLE BIDCO PLC                                   | Pinnacle Bidco PLC                                                                                                     | CUSIP: 000000000<br>LEI: 2138006Z5V8OBL2A2Q06 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $93530.52     | 0.01%             | 2025-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CGG SA                                               | CGG SA                                                                                                                 | CUSIP: 12531TAF6<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |    3400000 | PA      | $2717945.07   | 0.24%             | 2027-04-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                     | Vmed O2 UK Financing I PLC                                                                                             | CUSIP: 000000000<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $469695.25    | 0.04%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Connect Finco Sarl                                   | Connect Finco Sarl 2021 Term Loan B                                                                                    | CUSIP: 000000000<br>LEI: 2594001KNYIQ456J2792 | Long             | LON              | CORP              | LU        |    1170000 | PA      | $1154883.82   | 0.10%             | 2026-12-11      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| RUSSIAN FEDERATION                                   | Russian Foreign Bond - Eurobond                                                                                        | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     200000 | PA      | $66000.00     | 0.01%             | 2047-06-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JB4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $198980.43    | 0.02%             | 2023-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS         | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust                                       | CUSIP: 939355BR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     241480 | PA      | $185781.58    | 0.02%             | 2047-04-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI S                             | Banca Monte dei Paschi di Siena SpA                                                                                    | CUSIP: 000000000<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     500000 | PA      | $464253.94    | 0.04%             | 2030-01-22      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                             | Sabine Pass Liquefaction LLC                                                                                           | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     800000 | PA      | $800193.22    | 0.07%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Corp                                | Freedom Mortgage Corp                                                                                                  | CUSIP: 35640YAB3<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |     782000 | PA      | $703390.99    | 0.06%             | 2025-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2006-OA17                                                                                       | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21633 | PA      | $17308.77     | 0.00%             | 2046-12-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                             | Sabine Pass Liquefaction LLC                                                                                           | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     400000 | PA      | $404736.68    | 0.04%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                  | Virgin Money UK PLC                                                                                                    | CUSIP: 000000000<br>LEI: 213800ZK9VGCYYR6O495 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $218273.52    | 0.02%             | 2027-09-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US ULTRA BOND CBT MAR23                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        250 | NC      | $-659077.56   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Hilton Domestic Operating Company, Inc.              | Hilton Domestic Operating Company, Inc. 2019 Term Loan B2                                                              | CUSIP: 43289DAH6<br>LEI: 549300406TN7EY0NPH20 | Long             | LON              | CORP              | US        |    1120295 | PA      | $1115836.55   | 0.10%             | 2026-06-22      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                       | WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust                                                              | CUSIP: 933631AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     106395 | PA      | $90615.78     | 0.01%             | 2037-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                           | AbbVie Inc                                                                                                             | CUSIP: 00287YDM8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     400000 | PA      | $422511.41    | 0.04%             | 2023-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                  | Sound Point Clo XVI Ltd                                                                                                | CUSIP: 83610KAJ2<br>LEI: 549300ZK5CJ7PM7YBH85 | Long             | ABS-CBDO         | CORP              | KY        |    5200000 | PA      | $5109000.00   | 0.46%             | 2030-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                              | Imperial Brands Finance PLC                                                                                            | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $183428.39    | 0.02%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                       | PARIBAS REPO                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | RA               | CORP              | US        |   63700000 | PA      | $63700000.00  | 5.73%             |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                        | DISH DBS Corp                                                                                                          | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5200000 | PA      | $4150250.00   | 0.37%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                          | Long: SWPC0IMR5 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IMR5 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     500000 | OU      | $-13310.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                       | Long Beach Mortgage Loan Trust 2006-1                                                                                  | CUSIP: 542514RM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      53546 | PA      | $43733.76     | 0.00%             | 2036-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                     | Vmed O2 UK Financing I PLC                                                                                             | CUSIP: 000000000<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    1200000 | PA      | $1017997.47   | 0.09%             | 2031-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                      | Nissan Motor Co Ltd                                                                                                    | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $424335.87    | 0.04%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| NuStar Logistics LP                                  | NuStar Logistics LP                                                                                                    | CUSIP: 67059TAF2<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |     200000 | PA      | $192581.44    | 0.02%             | 2026-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                | CWABS Asset-Backed Certificates Trust 2006-5                                                                           | CUSIP: 126670YH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       1829 | PA      | $1825.82      | 0.00%             | 2036-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0KV17 CDS USD R F  5.00000 1 CCPCDX / Short: SWPC0KV17 CDS USD P V 03MEVENT 2 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    4059000 | OU      | $83885.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                    | HSBC Holdings PLC                                                                                                      | CUSIP: 404280AW9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2300000 | PA      | $2224655.80   | 0.20%             | 2026-03-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                  | Petroleos Mexicanos                                                                                                    | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    4536000 | PA      | $3561880.39   | 0.32%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Ares Euro CLO                                        | Ares European CLO VI DAC                                                                                               | CUSIP: 000000000<br>LEI: 635400IKZCKH2JKELA27 | Long             | ABS-CBDO         | CORP              | IE        |     494180 | PA      | $514464.47    | 0.05%             | 2030-04-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                             | Ford Motor Credit Co LLC                                                                                               | CUSIP: 000000000<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     900000 | PA      | $942932.20    | 0.08%             | 2024-03-06      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Ares European CLO                                    | Ares European CLO X DAC                                                                                                | CUSIP: 000000000<br>LEI: 635400SFL7VSI4HNPI68 | Long             | ABS-CBDO         | CORP              | IE        |    1100000 | PA      | $1142221.06   | 0.10%             | 2031-10-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                             | Virgin Media Secured Finance PLC                                                                                       | CUSIP: 000000000<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |    3200000 | PA      | $2992826.57   | 0.27%             | 2030-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                             | Republic of South Africa Government International Bond                                                                 | CUSIP: 836205AV6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     500000 | PA      | $348750.00    | 0.03%             | 2046-10-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                     | BAT Capital Corp                                                                                                       | CUSIP: 05526DAZ8<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96288.70     | 0.01%             | 2024-08-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust          | MF1 2022-FL8 Ltd                                                                                                       | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $958305.60    | 0.09%             | 2037-02-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                       | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21972780 | PA      | $21668912.38  | 1.95%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JOHN LEWIS PLC                                       | John Lewis PLC                                                                                                         | CUSIP: 000000000<br>LEI: 213800JSUFNZLZLCVJ25 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $724772.84    | 0.07%             | 2034-12-18      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                      | DAE Funding LLC                                                                                                        | CUSIP: 23371DAG9<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |     700000 | PA      | $619500.00    | 0.06%             | 2028-03-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MUNI ELEC AUTH OF GEORGIA                            | Municipal Electric Authority of Georgia                                                                                | CUSIP: 626207YM0<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |      96000 | PA      | $103640.87    | 0.01%             | 2057-04-01      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                             | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                              | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1200000 | PA      | $1188551.75   | 0.11%             | 2024-01-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI S                             | Banca Monte dei Paschi di Siena SpA                                                                                    | CUSIP: 000000000<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    3800000 | PA      | $3846896.61   | 0.35%             | 2024-09-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                      | Venture 33 CLO Ltd                                                                                                     | CUSIP: 92330YAN3<br>LEI: 549300NQPL9XHZ20E278 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $983490.71    | 0.09%             | 2031-07-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                              | Romanian Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1400000 | PA      | $957504.23    | 0.09%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                              | Park Aerospace Holdings Ltd                                                                                            | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |    3900000 | PA      | $3890373.75   | 0.35%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                       | Accredited Mortgage Loan Trust 2005-3                                                                                  | CUSIP: 004375DW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97344 | PA      | $95643.01     | 0.01%             | 2035-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Residential Finance         | Specialty Underwriting & Residential Finance Trust Series 2005-BC2                                                     | CUSIP: 84751PFW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      97075 | PA      | $94137.44     | 0.01%             | 2035-12-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                    | NatWest Group PLC                                                                                                      | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $198141.00    | 0.02%             | 2024-06-25      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                | Indonesia Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    1900000 | PA      | $1971276.41   | 0.18%             | 2028-06-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Cairn CLO BV                                         | Cairn CLO VIII BV                                                                                                      | CUSIP: 000000000<br>LEI: 724500TUDV2WZSWFEN09 | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $731609.24    | 0.07%             | 2031-10-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc            | Structured Asset Mortgage Investments II Trust 2005-AR8                                                                | CUSIP: 86359LRY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     233375 | PA      | $184310.20    | 0.02%             | 2036-02-25      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| BANCO BTG PACTUAL/CAYMAN                             | Banco BTG Pactual SA/Cayman Islands                                                                                    | CUSIP: 05971AAE1<br>LEI: 2549002JHJ73KGETOK78 | Long             | DBT              | CORP              | BR        |     500000 | PA      | $481875.00    | 0.04%             | 2025-01-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0HEJ4 CDS USD R F  5.00000 1 CCPCORPORATE / Short: SWPC0HEJ4 CDS USD P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     700000 | OU      | $18103.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOXAM SAS                                            | Loxam SAS                                                                                                              | CUSIP: 000000000<br>LEI: 969500BNA2YRNE1R5K91 | Long             | DBT              | CORP              | FR        |     900000 | PA      | $915153.39    | 0.08%             | 2025-01-14      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ADANI ELECTRICITY MUMBAI                             | Adani Electricity Mumbai Ltd                                                                                           | CUSIP: 00654GAA1<br>LEI: 335800AIC1B5EBFVUC38 | Long             | DBT              | CORP              | IN        |     300000 | PA      | $227337.67    | 0.02%             | 2030-02-12      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $85403.14     | 0.01%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                            | NovaStar Mortgage Funding Trust Series 2007-2                                                                          | CUSIP: 66989EAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143089 | PA      | $141051.07    | 0.01%             | 2037-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Arab Republic of Egypt                               | Egypt Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    1550000 | PA      | $1146504.93   | 0.10%             | 2030-04-16      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                     | IndyMac INDX Mortgage Loan Trust 2004-AR6                                                                              | CUSIP: 45660NX83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14131 | PA      | $13321.49     | 0.00%             | 2034-10-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FNC NL II                                 | Teva Pharmaceutical Finance Netherlands II BV                                                                          | CUSIP: 000000000<br>LEI: 549300HSQCIKJAOYIT23 | Long             | DBT              | CORP              | NL        |     800000 | PA      | $819793.04    | 0.07%             | 2025-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                               | Chubb INA Holdings Inc                                                                                                 | CUSIP: 171239AC0<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |     200000 | PA      | $187204.83    | 0.02%             | 2027-06-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG                                     | Credit Suisse AG                                                                                                       | CUSIP: 22546DAA4<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |    7400000 | PA      | $7155800.00   | 0.64%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Loxam SAS                                            | Loxam SAS                                                                                                              | CUSIP: 000000000<br>LEI: 969500BNA2YRNE1R5K91 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $94908.62     | 0.01%             | 2026-04-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NN Group NV                                          | NN Group NV                                                                                                            | CUSIP: 000000000<br>LEI: 724500OHYNDT9OY6Q215 | Long             | DBT              | CORP              | NL        |    2600000 | PA      | $2703152.58   | 0.24%             | 2026-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DAE SUKUK DIFC LTD                                   | DAE Sukuk Difc Ltd                                                                                                     | CUSIP: 23302JAA3<br>LEI: 635400AMGMPG1J5EQD94 | Long             | DBT              | CORP              | AE        |    1000000 | PA      | $947920.00    | 0.09%             | 2026-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GE CAPITAL UK FUNDING UN                             | GE Capital UK Funding Unlimited Co                                                                                     | CUSIP: 000000000<br>LEI: BR7Z6BPTFF652NNO9651 | Long             | DBT              | CORP              | IE        |     800000 | PA      | $979450.75    | 0.09%             | 2033-01-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                             | Santander UK Group Holdings PLC                                                                                        | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $3574478.20   | 0.32%             | 2028-11-03      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0K1S1 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0K1S1 CDS EUR P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     100000 | OU      | $-10434.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT SA                             | Ubisoft Entertainment SA                                                                                               | CUSIP: 000000000<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |     800000 | PA      | $657213.17    | 0.06%             | 2027-11-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                             | Saudi Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    9300000 | PA      | $8242125.00   | 0.74%             | 2046-10-26      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Casino Guichard-Perrachon SA                         | Casino Guichard-Perrachon SA 2021 EUR Term Loan B                                                                      | CUSIP: 000000000<br>LEI: 969500VHL8F83GBL6L29 | Long             | LON              | CORP              | FR        |    1000000 | PA      | $900515.64    | 0.08%             | 2025-08-31      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                | CWABS Asset-Backed Certificates Trust 2007-8                                                                           | CUSIP: 12670FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     749266 | PA      | $637210.89    | 0.06%             | 2047-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| ZF FINANCE GMBH                                      | ZF Finance GmbH                                                                                                        | CUSIP: 000000000<br>LEI: 5493001N9T6QDCCXB426 | Long             | DBT              | CORP              | DE        |    2000000 | PA      | $1794642.83   | 0.16%             | 2028-09-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                     | Societe Generale SA                                                                                                    | CUSIP: 83367TBV0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $287589.35    | 0.03%             | 2023-10-04      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                    | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $9094.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                        | Mastr Asset Backed Securities Trust 2006-WMC4                                                                          | CUSIP: 57645MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     846978 | PA      | $271578.57    | 0.02%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0KJ52 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0KJ52 CDS EUR P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     500000 | OU      | $-77521.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                              | GLP Capital LP / GLP Financing II Inc                                                                                  | CUSIP: 361841AK5<br>LEI: 5493006GWRDBCZYWTM57 | Long             | DBT              | CORP              | US        |     400000 | PA      | $392211.82    | 0.04%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                 | Colombia Government International Bond                                                                                 | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $136217.17    | 0.01%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Georgia-Pacific LLC                                  | Georgia-Pacific LLC                                                                                                    | CUSIP: 373298BU1<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |     200000 | PA      | $243792.39    | 0.02%             | 2031-05-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2005-59                                                                                         | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3817 | PA      | $3331.02      | 0.00%             | 2035-11-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                | Time Warner Cable LLC                                                                                                  | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     200000 | PA      | $189400.81    | 0.02%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ROYAL BK SCOTLND GRP PLC                             | NatWest Group PLC                                                                                                      | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    3700000 | PA      | $3500799.29   | 0.31%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| INTELSAT EMERGENCE SA                                | INTELSAT EMERGENCE SA                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |       9427 | NS      | $226248.00    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                               | Brazilian Government International Bond                                                                                | CUSIP: 105756BW9<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    1000000 | PA      | $740652.29    | 0.07%             | 2045-01-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRIBOROUGH NY BRIDGE & TUNNEL                        | Triborough Bridge & Tunnel Authority                                                                                   | CUSIP: 89602NVM3<br>LEI: 54930020ZN4LQF7K3456 | Long             | DBT              | MUN               | US        |     800000 | PA      | $804852.96    | 0.07%             | 2040-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| TOLL BROS FINANCE CORP                               | Toll Brothers Finance Corp                                                                                             | CUSIP: 88947EAT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $90856.14     | 0.01%             | 2028-02-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                        | UniCredit SpA                                                                                                          | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    2900000 | PA      | $2568020.01   | 0.23%             | 2026-09-22      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                               | CVS Pass-Through Trust Series 2013                                                                                     | CUSIP: 12665UAA2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     356318 | PA      | $320228.12    | 0.03%             | 2036-01-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FI                             | SMBC Aviation Capital Finance DAC                                                                                      | CUSIP: 78448TAF9<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |     200000 | PA      | $163998.23    | 0.01%             | 2028-06-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                      | Fontainebleau Miami Beach Trust 2019-FBLU                                                                              | CUSIP: 34461LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $933588.30    | 0.08%             | 2036-12-10      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| UNIQUE PUB FINANCE CO                                | Unique Pub Finance Co PLC/The                                                                                          | CUSIP: 000000000<br>LEI: 213800FOMWLKHQTI5562 | Long             | DBT              | CORP              | GB        |     177280 | PA      | $212378.92    | 0.02%             | 2024-03-28      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 A PTT                              | United Airlines 2019-2 Class A Pass Through Trust                                                                      | CUSIP: 90932MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      87888 | PA      | $70503.60     | 0.01%             | 2028-05-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro                | Carlyle Euro CLO 2021-2 DAC                                                                                            | CUSIP: 000000000<br>LEI: 635400GXUD5SKWFXE966 | Long             | ABS-CBDO         | CORP              | IE        |     899590 | PA      | $937260.74    | 0.08%             | 2031-01-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| STYROLUTION                                          | INEOS Styrolution Group GmbH                                                                                           | CUSIP: 000000000<br>LEI: 5299003M4PGUGL48LS74 | Long             | DBT              | CORP              | DE        |    3200000 | PA      | $2774605.08   | 0.25%             | 2027-01-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NATIONAL BK HUNGARY BILL                             | National Bank of Hungary Bill                                                                                          | CUSIP: 000000000<br>LEI: SS58IXU92ZSUMORZFG95 | Long             | STIV             | NUSS              | HU        |  437000000 | PA      | $1171589.62   | 0.11%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Q-PARK HOLDING BV                                    | Q-Park Holding I BV                                                                                                    | CUSIP: 000000000<br>LEI: 2549003839B7HE3NDP48 | Long             | DBT              | CORP              | NL        |    1000000 | PA      | $890613.98    | 0.08%             | 2027-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| The Federal Republic of Nigeria                      | Nigeria Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    2800000 | PA      | $2104844.00   | 0.19%             | 2032-02-16      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Vonovia Finance BV                                   | Vonovia Finance BV                                                                                                     | CUSIP: 25155FAB2<br>LEI: 5299009XLZLD9TALOZ03 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $295885.21    | 0.03%             | 2023-10-02      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SUMMER (BC) BIDC                                     | Summer BC Bidco B LLC                                                                                                  | CUSIP: 865632AA1<br>LEI: 213800CCW2O2WZ7YV169 | Long             | DBT              | CORP              | US        |     400000 | PA      | $324576.00    | 0.03%             | 2026-10-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2005-1CB                                                                                        | CUSIP: 12667F2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     259581 | PA      | $126164.39    | 0.01%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ADLER REAL ESTATE AG                                 | ADLER Real Estate AG                                                                                                   | CUSIP: 000000000<br>LEI: 529900Y6QFNN3D363B76 | Long             | DBT              | CORP              | DE        |    2288000 | PA      | $2143039.88   | 0.19%             | 2024-02-06      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FIN 3 PLC                             | Tesco Property Finance 3 PLC                                                                                           | CUSIP: 000000000<br>LEI: 213800HCQGDQGFP75D78 | Long             | DBT              | CORP              | GB        |      92080 | PA      | $103670.61    | 0.01%             | 2040-04-13      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                  | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QBX9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     378000 | PA      | $220052.62    | 0.02%             | 2046-01-23      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                | CWABS Asset-Backed Certificates Trust 2006-BC2                                                                         | CUSIP: 23242HAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     900000 | PA      | $771001.11    | 0.07%             | 2037-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MET GOVT NASHVILLE & DAVIDSON                        | Metropolitan Government of Nashville & Davidson County TN Water & Sewer Revenue                                        | CUSIP: 592098G50<br>LEI: 549300GW8FVQJ3DU6O10 | Long             | DBT              | MUN               | US        |     100000 | PA      | $112000.50    | 0.01%             | 2037-07-01      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| BELLIS ACQUISITION CO PL                             | Bellis Acquisition Co PLC                                                                                              | CUSIP: 000000000<br>LEI: 259400CYE2267UB4A481 | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $3926669.92   | 0.35%             | 2026-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INEOS FINANCE PLC                                    | INEOS Finance PLC                                                                                                      | CUSIP: 000000000<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |     600000 | PA      | $552333.95    | 0.05%             | 2026-05-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 21-1 A PPT                               | British Airways 2021-1 Class A Pass Through Trust                                                                      | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     393608 | PA      | $320407.91    | 0.03%             | 2035-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI S                             | Banca Monte dei Paschi di Siena SpA                                                                                    | CUSIP: 000000000<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    7100000 | PA      | $6065636.75   | 0.55%             | 2028-01-18      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                         | Centene Corp                                                                                                           | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     500000 | PA      | $456917.91    | 0.04%             | 2029-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF NEW YORK & NEW JE                       | Port Authority of New York & New Jersey                                                                                | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    1100000 | PA      | $1148677.97   | 0.10%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF MOROCCO                                   | Morocco Government International Bond                                                                                  | CUSIP: 617726AM6<br>LEI: 529900F3MBW9XY5K1X07 | Long             | DBT              | NUSS              | MA        |     500000 | PA      | $341691.00    | 0.03%             | 2050-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Volkswagen Leasing GmbH                              | Volkswagen Leasing GmbH                                                                                                | CUSIP: 000000000<br>LEI: 5299004GLEUX88BSNB74 | Long             | DBT              | CORP              | DE        |    1800000 | PA      | $1913830.10   | 0.17%             | 2024-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | BNP Paribas SA                                                                                                         | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    1800000 | PA      | $1782006.37   | 0.16%             | 2025-01-10      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                              | Dell International LLC / EMC Corp                                                                                      | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     293000 | PA      | $293185.37    | 0.03%             | 2023-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION OIL SA                                 | Constellation Oil Services Holding SA                                                                                  | CUSIP: 21038MAM5<br>LEI: 5493005YJTU769NW5I10 | Long             | DBT              | CORP              | LU        |     100335 | PA      | $59072.23     | 0.01%             | 2026-12-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RIVERSIDE CA ELEC REVENUE                            | City of Riverside CA Electric Revenue                                                                                  | CUSIP: 768874SG5<br>LEI: 549300FG48YQF1N4C302 | Long             | DBT              | MUN               | US        |     200000 | PA      | $241948.10    | 0.02%             | 2040-10-01      | Fixed         | 7.61%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     500000 | PA      | $453199.30    | 0.04%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                 | ACE Securities Corp Home Equity Loan Trust Series 2006-FM1                                                             | CUSIP: 00441VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7110054 | PA      | $1882562.51   | 0.17%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDI                                     | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2278118.49   | 0.20%             | 2031-06-17      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                          | Long: SWPC0IO28 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IO28 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     300000 | OU      | $-7986.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                             | Ford Motor Credit Co LLC                                                                                               | CUSIP: 000000000<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98347.55     | 0.01%             | 2025-11-25      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                  | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AR4                                                    | CUSIP: 65535VMX3<br>LEI: 549300B3CEAHYG7K8164 | Long             | ABS-MBS          | CORP              | US        |       1263 | PA      | $1259.58      | 0.00%             | 2035-08-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLD                               | Corestate Capital Holding SA                                                                                           | CUSIP: 000000000<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $214216.45    | 0.02%             | 2023-04-15      | Fixed         | 8.00%                 | Yes           |                  3 | On Loan: No      |
| PINNACLE BIDCO PLC                                   | Pinnacle Bidco PLC                                                                                                     | CUSIP: 000000000<br>LEI: 2138006Z5V8OBL2A2Q06 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $418993.09    | 0.04%             | 2025-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                          | RAAC Series 2007-RP4 Trust                                                                                             | CUSIP: 74919LAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     168714 | PA      | $149933.23    | 0.01%             | 2046-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT / FINCO                               | Caesars Resort Collection LLC / CRC Finco Inc                                                                          | CUSIP: 12770RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7300000 | PA      | $7146014.31   | 0.64%             | 2025-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI S                             | Banca Monte dei Paschi di Siena SpA                                                                                    | CUSIP: 000000000<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     300000 | PA      | $274525.34    | 0.02%             | 2026-01-09      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                | CWABS Asset-Backed Certificates Trust 2006-5                                                                           | CUSIP: 126670YJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1422027.45   | 0.13%             | 2036-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL/CONNE                             | Connect Finco SARL / Connect US Finco LLC                                                                              | CUSIP: 20752TAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    1800000 | PA      | $1668167.14   | 0.15%             | 2026-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                              | GSR Mortgage Loan Trust 2006-AR1                                                                                       | CUSIP: 3623414A4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |        976 | PA      | $934.62       | 0.00%             | 2036-01-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| SANTOS FINANCE LTD                                   | Santos Finance Ltd                                                                                                     | CUSIP: 803014AA7<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |     700000 | PA      | $556401.90    | 0.05%             | 2031-04-29      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust               | Structured Asset Investment Loan Trust                                                                                 | CUSIP: 86358EEM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9755 | PA      | $9582.60      | 0.00%             | 2033-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                           | VMware Inc                                                                                                             | CUSIP: 928563AE5<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1355076.62   | 0.12%             | 2027-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                    | Long: SWPC0K1X0 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0K1X0 CDS USD P V 03MEVENT FLO SOVEREIGN               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | GB        |    5700000 | OU      | $-195233.49   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0KDU3 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0KDU3 CDS EUR P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    3100000 | OU      | $-31308.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                     | Societe Generale SA                                                                                                    | CUSIP: 83367TBF5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $197963.72    | 0.02%             | 2023-12-18      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| NuStar Logistics LP                                  | NuStar Logistics LP                                                                                                    | CUSIP: 67059TAE5<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1309080.51   | 0.12%             | 2027-04-28      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Cantor Fitzgerald LP                                 | Cantor Fitzgerald LP                                                                                                   | CUSIP: 138616AE7<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98114.39     | 0.01%             | 2024-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORG                                     | Organon & Co / Organon Foreign Debt Co-Issuer BV                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3647556.86   | 0.33%             | 2028-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                  | Banc of America Funding 2007-6 Trust                                                                                   | CUSIP: 059526AB9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |      40314 | PA      | $36949.33     | 0.00%             | 2037-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                | Continental Resources Inc/OK                                                                                           | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1282764.00   | 0.12%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ADIENT GLOBAL HOLDINGS                               | Adient Global Holdings Ltd                                                                                             | CUSIP: 000000000<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |     400000 | PA      | $408554.60    | 0.04%             | 2024-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                              | Romanian Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     500000 | PA      | $298867.36    | 0.03%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CenturyLink, Inc.                                    | CenturyLink, Inc. 2020 Term Loan B                                                                                     | CUSIP: 15669GAH7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |    5228325 | PA      | $4958491.10   | 0.45%             | 2027-03-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities       | Credit Suisse First Boston Mortgage Securities Corp                                                                    | CUSIP: 22540A7A0<br>LEI: 549300506SI9CRFV9Z86 | Long             | ABS-MBS          | CORP              | US        |       2128 | PA      | $2011.64      | 0.00%             | 2032-01-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC                             | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp                                                                   | CUSIP: 983133AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     800000 | PA      | $685704.00    | 0.06%             | 2029-10-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                             | Omega Healthcare Investors Inc                                                                                         | CUSIP: 681936BB5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |     100000 | PA      | $98530.89     | 0.01%             | 2024-04-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                          | Ivory Coast Government International Bond                                                                              | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     800000 | PA      | $601250.07    | 0.05%             | 2048-03-22      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ALBANIA                                  | Albania Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 254900EDM43U3SGRND29 | Long             | DBT              | NUSS              | AL        |    1400000 | PA      | $1330033.49   | 0.12%             | 2027-06-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                     | BAT Capital Corp                                                                                                       | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     500000 | PA      | $456780.95    | 0.04%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0LDA5 CDS USD R F  5.00000 1 CCPCDX / Short: SWPC0LDA5 CDS USD P V 03MEVENT 2 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   80600000 | OU      | $469416.82    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF SRI LANKA                                | Sri Lanka Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 254900HXCCIOHM74FA02 | Long             | DBT              | NUSS              | LK        |    1600000 | PA      | $494527.65    | 0.04%             | 2030-03-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                      | Sands China Ltd                                                                                                        | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    1700000 | PA      | $1568744.63   | 0.14%             | 2026-01-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                  | Altice Financing SA                                                                                                    | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    5400000 | PA      | $4247439.50   | 0.38%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER PARTNERS                             | Energy Transfer LP                                                                                                     | CUSIP: 29273RAJ8<br>LEI: 5493008K8W3OKZE54J59 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1805829.37   | 0.16%             | 2038-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                         | UBS Group AG                                                                                                           | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     400000 | PA      | $386595.00    | 0.03%             | 2027-08-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                               | NXP BV / NXP Funding LLC                                                                                               | CUSIP: 62947QBB3<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | XX        |    1600000 | PA      | $1590792.16   | 0.14%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                | Indonesia Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    1700000 | PA      | $1595823.96   | 0.14%             | 2027-02-14      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                             | CHS/Community Health Systems Inc                                                                                       | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     700000 | PA      | $637290.50    | 0.06%             | 2026-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Golden State Tobacco Securitization Corp             | GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT                                                            | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3030000 | PA      | $2678929.96   | 0.24%             | 2050-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                         | Barclays PLC                                                                                                           | CUSIP: 06738EBU8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2100000 | PA      | $1815190.55   | 0.16%             | 2027-11-24      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                      | NGPL PipeCo LLC                                                                                                        | CUSIP: 62912XAC8<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $4058015.48   | 0.36%             | 2037-12-15      | Fixed         | 7.77%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019                                 | Huarong Finance 2019 Co Ltd                                                                                            | CUSIP: 000000000<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |     800000 | PA      | $792000.00    | 0.07%             | 2023-02-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Lincoln Financing SARL                               | Lincoln Financing SARL                                                                                                 | CUSIP: 000000000<br>LEI: 222100831I4WRVCLV609 | Long             | DBT              | CORP              | LU        |    6000000 | PA      | $6326356.50   | 0.57%             | 2024-04-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                             | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                                              | CUSIP: 71568PAN9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    1500000 | PA      | $1229396.55   | 0.11%             | 2030-06-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                     | Soundview Home Loan Trust 2006-OPT2                                                                                    | CUSIP: 83611MML9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113813 | PA      | $108298.06    | 0.01%             | 2036-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| ATHORA NETHERLANDS                                   | Athora Netherlands NV                                                                                                  | CUSIP: 000000000<br>LEI: 724500MKKXKEVWMN9E13 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $208412.23    | 0.02%             | 2025-06-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR NOTE (CBT)MAR23                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        985 | NC      | $-854419.27   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Asset-Backed Certificates                | CWABS Asset-Backed Certificates Trust 2006-25                                                                          | CUSIP: 12668HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     369771 | PA      | $336970.69    | 0.03%             | 2037-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                       | CUSIP: 9128283J7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3400000 | PA      | $3254570.30   | 0.29%             | 2024-11-30      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| IHO Verwaltungs GmbH                                 | IHO Verwaltungs GmbH                                                                                                   | CUSIP: 000000000<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |    4950000 | PA      | $4592669.88   | 0.41%             | 2026-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust          | Bear Stearns ARM Trust 2007-4                                                                                          | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53889 | PA      | $48100.25     | 0.00%             | 2047-06-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                 | ACE Securities Corp Home Equity Loan Trust Series 2004-RM2                                                             | CUSIP: 004421JX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37596 | PA      | $33915.89     | 0.00%             | 2035-01-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                             | PURCHASED USD / SOLD IDR                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-52.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                             | Marsh & McLennan Cos Inc                                                                                               | CUSIP: 571748BL5<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96979.73     | 0.01%             | 2026-09-21      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                  | Banc of America Funding 2005-H Trust                                                                                   | CUSIP: 05946XJ38<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |      73953 | PA      | $64637.86     | 0.01%             | 2035-11-20      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                           | Morgan Stanley ABS Capital I Inc Trust 2006-HE8                                                                        | CUSIP: 61750SAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | ABS-MBS          | CORP              | US        |      54852 | PA      | $25859.79     | 0.00%             | 2036-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & FINANCE                              | Odebrecht Oil & Gas Finance Ltd                                                                                        | CUSIP: G6712EAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     782000 | PA      | $1720.40      | 0.00%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                      | Nissan Motor Co Ltd                                                                                                    | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    6400000 | PA      | $5803173.95   | 0.52%             | 2027-09-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc            | Structured Asset Mortgage Investments II Trust 2006-AR6                                                                | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147728 | PA      | $120350.97    | 0.01%             | 2046-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                        | PURCHASED USD / SOLD CNH                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $57900.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trust                      | Suntrust Alternative Loan Trust Series 2005-1F                                                                         | CUSIP: 86789MAA5<br>LEI: 7E1PDLW1JL6TS0BS1G03 | Long             | ABS-MBS          | CORP              | US        |       5881 | PA      | $4959.03      | 0.00%             | 2035-12-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                             | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                              | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     900000 | PA      | $858991.20    | 0.08%             | 2026-04-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                | Venezuela Government International Bond                                                                                | CUSIP: P97475AJ9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     204000 | PA      | $16830.00     | 0.00%             | 2038-03-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                        | Aircastle Ltd                                                                                                          | CUSIP: 00928QAS0<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $282129.54    | 0.03%             | 2026-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                     | Altice France SA/France                                                                                                | CUSIP: 000000000<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    1850000 | PA      | $1492706.60   | 0.13%             | 2029-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MIDWEST CONNECTOR CAPIT                              | Midwest Connector Capital Co LLC                                                                                       | CUSIP: 59833CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $193647.59    | 0.02%             | 2024-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Oak Hill European Credit Partners PLC                | OAK Hill European Credit Partners VII DAC                                                                              | CUSIP: 000000000<br>LEI: 5493002IYTC83ODTTK84 | Long             | ABS-CBDO         | CORP              | IE        |    1200000 | PA      | $1243146.14   | 0.11%             | 2031-10-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| NEW METRO GLOBAL LTD                                 | New Metro Global Ltd                                                                                                   | CUSIP: 000000000<br>LEI: 549300HJRNTCANEH0D47 | Long             | DBT              | CORP              | VG        |    1700000 | PA      | $1143930.00   | 0.10%             | 2026-05-02      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                               | CHL Mortgage Pass-Through Trust 2005-HYB8                                                                              | CUSIP: 126694QE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1307 | PA      | $1130.15      | 0.00%             | 2035-12-20      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER PARTNERS                             | Energy Transfer LP                                                                                                     | CUSIP: 29273RAS8<br>LEI: 5493008K8W3OKZE54J59 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99807.79     | 0.01%             | 2023-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $1828082.95   | 0.16%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                              | Kinder Morgan Energy Partners LP                                                                                       | CUSIP: 494550BF2<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    2382000 | PA      | $2387344.35   | 0.21%             | 2040-09-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                       | CUSIP: 912828D56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3700000 | PA      | $3569921.88   | 0.32%             | 2024-08-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0KBE1 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0KBE1 CDS USD P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     400000 | OU      | $1874.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INEOS Styrolution US Holding LLC                     | INEOS Styrolution US Holding LLC 2021 USD Term Loan B                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2158068 | PA      | $2116525.20   | 0.19%             | 2026-01-29      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                  | General Electric Co                                                                                                    | CUSIP: 000000000<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |     500000 | PA      | $527186.74    | 0.05%             | 2035-09-19      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                  | Sound Point Clo XIV Ltd                                                                                                | CUSIP: 83609NAN0<br>LEI: 549300TT7IR66ASPWY89 | Long             | ABS-CBDO         | CORP              | KY        |     363822 | PA      | $361050.32    | 0.03%             | 2029-01-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                       | CUSIP: 000000000<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1408770.41   | 0.13%             | 2027-02-02      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                               | Federal Home Loan Banks                                                                                                | CUSIP: 3130ATLQ8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   10800000 | PA      | $10800227.56  | 0.97%             | 2023-02-10      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE                                | Melco Resorts Finance Ltd                                                                                              | CUSIP: 58547DAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     700000 | PA      | $559713.00    | 0.05%             | 2029-12-04      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                | Argentine Republic Government International Bond                                                                       | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     405455 | PA      | $107445.58    | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                    | HSBC Holdings PLC                                                                                                      | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4900000 | PA      | $4288892.14   | 0.39%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0JPK5 CDS EUR R F  5.00000 1 CCPCORPORATE / Short: SWPC0JPK5 CDS EUR P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    2700000 | OU      | $303481.56    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Bain Capital Euro CLO                                | Bain Capital Euro Clo 2018-2 DAC                                                                                       | CUSIP: 000000000<br>LEI: 635400CJJQJHYAMATG34 | Long             | ABS-CBDO         | CORP              | IE        |     300000 | PA      | $312071.78    | 0.03%             | 2032-01-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                             | Banco Bilbao Vizcaya Argentaria SA                                                                                     | CUSIP: 05946KAL5<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    2300000 | PA      | $2302844.27   | 0.21%             | 2028-09-14      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                             | Virgin Media Secured Finance PLC                                                                                       | CUSIP: 000000000<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |    1200000 | PA      | $1106148.72   | 0.10%             | 2030-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FINA                             | Mitchells & Butlers Finance PLC                                                                                        | CUSIP: 000000000<br>LEI: 213800E7QA1U8BF34219 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $214488.87    | 0.02%             | 2030-09-15      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| ALROSA Finance SA                                    | ALROSA Finance SA                                                                                                      | CUSIP: 02109TAD4<br>LEI: 254900MMZQESKBV0DI36 | Long             | DBT              | CORP              | LU        |     500000 | PA      | $66875.00     | 0.01%             | 2024-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $77588.65     | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                               | Federal Home Loan Banks                                                                                                | CUSIP: 3130ATJX6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   10700000 | PA      | $10700035.95  | 0.96%             | 2023-01-10      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                             | Republic of South Africa Government International Bond                                                                 | CUSIP: 836205BB9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4500000 | PA      | $3292650.00   | 0.30%             | 2049-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Dean Witter Capital I Trust           | Morgan Stanley Dean Witter Capital I Inc Trust 2003-NC2                                                                | CUSIP: 61746WA75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16064 | PA      | $15709.03     | 0.00%             | 2033-02-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| BANCO DO BRASIL (CAYMAN)                             | Banco do Brasil SA/Cayman                                                                                              | CUSIP: 05959LAF0<br>LEI: QE0Q0253K88YAGNPE356 | Long             | DBT              | CORP              | BR        |     900000 | PA      | $879300.00    | 0.08%             | 2025-01-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FIN 6 PLC                             | Tesco Property Finance 6 PLC                                                                                           | CUSIP: 000000000<br>LEI: 213800FORYFOB97FHO66 | Long             | DBT              | CORP              | GB        |    2560067 | PA      | $2779707.49   | 0.25%             | 2044-07-13      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0J5H4 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0J5H4 CDS USD P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     100000 | OU      | $122.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                | Mexico Government International Bond                                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1000000 | PA      | $580718.85    | 0.05%             | 2051-10-25      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                    | ABFC 2007-WMC1 Trust                                                                                                   | CUSIP: 04545EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8401753 | PA      | $5805801.42   | 0.52%             | 2037-06-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                             | Service Properties Trust                                                                                               | CUSIP: 44106MAZ5<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |     200000 | PA      | $181814.30    | 0.02%             | 2024-10-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175BM5<br>LEI: 0J0XRGZE3PBRFEZ7MV65 | Long             | DBT              | CORP              | US        |     100000 | PA      | $83255.21     | 0.01%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                   | Seagate HDD Cayman                                                                                                     | CUSIP: 81180WBG5<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |     920000 | PA      | $1009056.00   | 0.09%             | 2032-12-01      | Fixed         | 9.63%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI S                             | Banca Monte dei Paschi di Siena SpA                                                                                    | CUSIP: 000000000<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     800000 | PA      | $745889.21    | 0.07%             | 2030-09-10      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                     | Deutsche Bank AG                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    2500000 | PA      | $1946039.71   | 0.17%             | 2032-02-17      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Through Trust              | Popular ABS Mortgage Pass-Through Trust 2006-A                                                                         | CUSIP: 73316PJW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      40638 | PA      | $39829.70     | 0.00%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                     | RALI Series 2006-QA7 Trust                                                                                             | CUSIP: 751152AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4300 | PA      | $4094.41      | 0.00%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ENRGY TRANS PT/REG FIN                               | Energy Transfer LP / Regency Energy Finance Corp                                                                       | CUSIP: 75886AAJ7<br>LEI: 5493008K8W3OKZE54J59 | Long             | DBT              | CORP              | US        |     300000 | PA      | $297805.93    | 0.03%             | 2023-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ATLANTIA SPA                                         | Atlantia SpA                                                                                                           | CUSIP: 000000000<br>LEI: 8156008DEC771409C487 | Long             | DBT              | CORP              | IT        |    5500000 | PA      | $4873472.87   | 0.44%             | 2028-02-12      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                      | DAE Funding LLC                                                                                                        | CUSIP: 23371DAF1<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |     500000 | PA      | $466900.00    | 0.04%             | 2025-03-20      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                          | Long: SWPC0IZX8 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IZX8 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     200000 | OU      | $-5324.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                  | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1700000 | PA      | $1039125.00   | 0.09%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| GROWTHPOINT PROPERTIES L                             | Growthpoint Properties International Pty Ltd                                                                           | CUSIP: 000000000<br>LEI: 378900C761245FC57265 | Long             | DBT              |  | ZA        |    5800000 | PA      | $5757428.00   | 0.52%             | 2023-05-02      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                     | IndyMac INDX Mortgage Loan Trust 2005-AR12                                                                             | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1177 | PA      | $1080.78      | 0.00%             | 2035-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                     | Soundview Home Loan Trust 2006-2                                                                                       | CUSIP: 83611MNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     163019 | PA      | $161004.42    | 0.01%             | 2036-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                 | Bank of America Corp                                                                                                   | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     973000 | PA      | $881080.08    | 0.08%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                       | CUSIP: 912828B66<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8700000 | PA      | $8511726.61   | 0.77%             | 2024-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0HWO3 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0HWO3 CDS USD P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     200000 | OU      | $281.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EMPRESA DE TRANSPORTE ME                             | Empresa de Transporte de Pasajeros Metro SA                                                                            | CUSIP: 000000000<br>LEI: 959800T4M5QUPYMSCH69 | Long             | DBT              | CORP              | CL        |    1400000 | PA      | $1173287.44   | 0.11%             | 2050-05-07      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                       | Carrington Mortgage Loan Trust Series 2005-FRE1                                                                        | CUSIP: 144531EH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8016000 | PA      | $5912524.65   | 0.53%             | 2035-12-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: SWU00S6N0 IRS CAD R F  2.50000  CCPVANILLA / Short: SWU00S6N0 IRS CAD P V 03MCDOR CCPVANILLA                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | CA        |    8000000 | OU      | $-404306.06   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                             | Plains All American Pipeline LP / PAA Finance Corp                                                                     | CUSIP: 72650RAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     277000 | PA      | $272525.57    | 0.02%             | 2037-01-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                             | Lloyds Banking Group PLC                                                                                               | CUSIP: 53944YAS2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    2500000 | PA      | $2307773.60   | 0.21%             | 2028-03-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC.                             | Standard Industries Inc. 2021 Term Loan B                                                                              | CUSIP: 85350EAB2<br>LEI: 54930064UHXCIUWVI755 | Long             | LON              | CORP              | US        |    1197475 | PA      | $1181656.36   | 0.11%             | 2028-09-22      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                   | Panama Government International Bond                                                                                   | CUSIP: 698299AW4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    1900000 | PA      | $1978945.44   | 0.18%             | 2036-01-26      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                      | DAE Funding LLC                                                                                                        | CUSIP: 000000000<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |     200000 | PA      | $177000.00    | 0.02%             | 2028-03-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                     | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1150970.47   | 0.10%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                         | CaixaBank SA                                                                                                           | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $208577.08    | 0.02%             | 2024-06-13      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                       | CUSIP: 9128285Z9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10590000 | PA      | $10339728.54  | 0.93%             | 2024-01-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NPC UKRENERGO                                        | NPC Ukrenergo                                                                                                          | CUSIP: 000000000<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |     800000 | PA      | $138144.00    | 0.01%             | 2028-11-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division     | LONG GILT FUTURE MAR23                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        -31 | NC      | $244697.41    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ALTICE FINANCING SA                                  | Altice Financing SA                                                                                                    | CUSIP: 000000000<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $168702.84    | 0.02%             | 2028-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sunac China Holdings Ltd                             | Sunac China Holdings Ltd                                                                                               | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |    1600000 | PA      | $344980.59    | 0.03%             | 2023-04-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                              | GSR Mortgage Loan Trust 2007-AR1                                                                                       | CUSIP: 362290AC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |       6642 | PA      | $4322.01      | 0.00%             | 2047-03-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| BANCO VOTORANTIM                                     | Banco Votorantim SA                                                                                                    | CUSIP: 000000000<br>LEI: X2EUTZGMHS8RBQFIUS93 | Long             | DBT              | CORP              | BR        |     200000 | PA      | $194000.00    | 0.02%             | 2024-09-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                | Long: SWU01DQL4 IRS CAD R F  2.05000 SWU01DQL4 CCPVANILLA / Short: SWU01DQL4 IRS CAD P V 03MCDOR SWUV1DQL6 CCPVANILLA  | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |   33800000 | OU      | $-611942.26   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3300000 | PA      | $2495334.44   | 0.22%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                             | Petroleos de Venezuela SA                                                                                              | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    6500000 | PA      | $292500.00    | 0.03%             | 2027-04-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALROSA FINANCE SA                                    | ALROSA Finance SA                                                                                                      | CUSIP: 02109TAE2<br>LEI: 254900MMZQESKBV0DI36 | Long             | DBT              | CORP              | LU        |    8500000 | PA      | $855312.50    | 0.08%             | 2027-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                                   | Dominican Republic International Bond                                                                                  | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    2800000 | PA      | $2303061.01   | 0.21%             | 2048-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                          | Long: SWU01KS77 IRS EUR R F  1.75000 SWU01KS77 CCPVANILLA / Short: SWU01KS77 IRS EUR P V 06MEURIB SWUV1KS79 CCPVANILLA | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   20000000 | OU      | $-2665365.71  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                       | HarborView Mortgage Loan Trust 2005-3                                                                                  | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9432 | PA      | $8801.58      | 0.00%             | 2035-06-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                  | Virgin Money UK PLC                                                                                                    | CUSIP: 000000000<br>LEI: 213800ZK9VGCYYR6O495 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $560717.51    | 0.05%             | 2026-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                | Indonesia Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    1900000 | PA      | $1581321.51   | 0.14%             | 2031-10-30      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust         | Wells Fargo Mortgage Backed Securities 2006-AR5 Trust                                                                  | CUSIP: 94983RAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25496 | PA      | $23541.88     | 0.00%             | 2036-04-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| Logicor Financing Sarl                               | Logicor Financing Sarl                                                                                                 | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     600000 | PA      | $538789.66    | 0.05%             | 2028-11-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| EL PASO NATURAL GAS                                  | El Paso Natural Gas Co LLC                                                                                             | CUSIP: 283695BK9<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     200000 | PA      | $226169.27    | 0.02%             | 2032-06-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust       | Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS                                                        | CUSIP: 863579YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34131 | PA      | $31011.64     | 0.00%             | 2035-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                             | Long: SWPC0K9N4 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0K9N4 CDS USD P V 03MEVENT FLO SOVEREIGN               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |     300000 | OU      | $-517.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-82068.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NORTH MACEDONIA                                      | North Macedonia Government International Bond                                                                          | CUSIP: 000000000<br>LEI: 635400RD1N6RVNCE4958 | Long             | DBT              | NUSS              | MK        |     500000 | PA      | $492165.92    | 0.04%             | 2026-06-03      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Man GLG Euro CLO                                     | Man GLG Euro Clo III DAC                                                                                               | CUSIP: 000000000<br>LEI: 635400MYXY3VFWZIIW08 | Long             | ABS-CBDO         | CORP              | IE        |     375488 | PA      | $391625.46    | 0.04%             | 2030-10-15      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                | Argentine Republic Government International Bond                                                                       | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    5922164 | PA      | $1492385.33   | 0.13%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0KSK9 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0KSK9 CDS USD P V 03MEVENT 2 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   22400000 | OU      | $235001.54    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                     | Vmed O2 UK Financing I PLC                                                                                             | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    1100000 | PA      | $893585.00    | 0.08%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                | Indonesia Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     700000 | PA      | $681426.74    | 0.06%             | 2026-09-18      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                | Indonesia Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    2700000 | PA      | $2433031.24   | 0.22%             | 2043-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Ellington Loan Acquisition Trust                     | Ellington Loan Acquisition Trust 2007-2                                                                                | CUSIP: 288547AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     195955 | PA      | $185181.58    | 0.02%             | 2037-05-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                             | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                              | CUSIP: 00774MAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     500000 | PA      | $464381.53    | 0.04%             | 2027-10-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FEL ENERGY VI SARL                                   | FEL Energy VI Sarl                                                                                                     | CUSIP: 000000000<br>LEI: 254900H2U8PBIY32VI94 | Long             | DBT              | CORP              | LU        |    3049035 | PA      | $2609120.05   | 0.23%             | 2040-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Intelsat Jackson Holdings S.A.                       | Intelsat Jackson Holdings S.A. 2021 Exit Term Loan B                                                                   | CUSIP: 000000000<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | LON              | CORP              | LU        |     182904 | PA      | $176240.60    | 0.02%             | 2029-02-01      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                  | Intesa Sanpaolo SpA                                                                                                    | CUSIP: 000000000<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    4050000 | PA      | $3575555.54   | 0.32%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                  | Petroleos Mexicanos                                                                                                    | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1100000 | PA      | $918563.41    | 0.08%             | 2027-04-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SBB TREASURY OYJ                                     | SBB Treasury Oyj                                                                                                       | CUSIP: 000000000<br>LEI: 5493003HHOCW6FIMH724 | Long             | DBT              | CORP              | FI        |     700000 | PA      | $475814.80    | 0.04%             | 2028-12-14      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                      | Rolls-Royce PLC                                                                                                        | CUSIP: 000000000<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $110192.42    | 0.01%             | 2027-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                  | Ecuador Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    1500000 | PA      | $963852.72    | 0.09%             | 2030-07-31      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                             | Kaisa Group Holdings Ltd                                                                                               | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |    1100000 | PA      | $149337.69    | 0.01%             | 2025-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                | CWABS Asset-Backed Certificates Trust 2005-AB4                                                                         | CUSIP: 126670KN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      77367 | PA      | $69569.45     | 0.01%             | 2036-03-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2005-J11                                                                                        | CUSIP: 12668AJM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150010 | PA      | $89837.31     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BK SCOTLND GRP PLC                             | NatWest Group PLC                                                                                                      | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2800000 | PA      | $2738206.58   | 0.25%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                                 | JetBlue 2020-1 Class A Pass Through Trust                                                                              | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     782213 | PA      | $695438.59    | 0.06%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 5YR NOTE (CBT) MAR23                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        840 | NC      | $-373670.56   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| WELLFLEET CLO LTD                                    | Wellfleet CLO 2015-1 Ltd                                                                                               | CUSIP: 949496BJ1<br>LEI: 254900DLL625KV2D0Z30 | Long             | ABS-CBDO         | CORP              | KY        |    1383445 | PA      | $1362102.89   | 0.12%             | 2029-07-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Summer (BC) Holdco B S.a r.l                         | Summer (BC) Holdco B S.a r.l 2021 USD Term Loan B2                                                                     | CUSIP: 000000000<br>LEI: 984500NRF59D5DB9B654 | Long             | LON              | CORP              | LU        |     987500 | PA      | $913437.50    | 0.08%             | 2026-12-04      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                             | Long: SWPC0ILP0 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0ILP0 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |     800000 | OU      | $-21297.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                     | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94174.48     | 0.01%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CommScope, Inc.                                      | CommScope, Inc. 2019 Term Loan B                                                                                       | CUSIP: 20337EAQ4<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | LON              | CORP              | US        |     483750 | PA      | $454845.94    | 0.04%             | 2026-04-06      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust                              | Luminent Mortgage Trust 2006-6                                                                                         | CUSIP: 55027YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     710707 | PA      | $612178.30    | 0.06%             | 2046-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                               | Boardwalk Pipelines LP                                                                                                 | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |     200000 | PA      | $167280.37    | 0.02%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                               | Fairfax Financial Holdings Ltd                                                                                         | CUSIP: 000000000<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    1200000 | PA      | $1119483.79   | 0.10%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | BNP Paribas SA                                                                                                         | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    1700000 | PA      | $1415569.14   | 0.13%             | 2028-09-30      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                          | Long: SWPC0LD56 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0LD56 CDS USD P V 03MEVENT FLO SOVEREIGN               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     100000 | OU      | $-1346.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     300000 | PA      | $283996.89    | 0.03%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                | Time Warner Cable LLC                                                                                                  | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     300000 | PA      | $261368.05    | 0.02%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR                                       | Qatar Government International Bond                                                                                    | CUSIP: 74727PBE0<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    1200000 | PA      | $1097704.80   | 0.10%             | 2050-04-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| US AIRWAYS 2012-1A PTT                               | US Airways 2012-1 Class A Pass Through Trust                                                                           | CUSIP: 90345WAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     593886 | PA      | $574400.06    | 0.05%             | 2024-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                             | Omega Healthcare Investors Inc                                                                                         | CUSIP: 681936BD1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |     100000 | PA      | $97166.13     | 0.01%             | 2025-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     300000 | PA      | $223134.05    | 0.02%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                   | Seagate HDD Cayman                                                                                                     | CUSIP: 81180WBD2<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |     650000 | PA      | $507367.72    | 0.05%             | 2031-01-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                | Argentine Republic Government International Bond                                                                       | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     866857 | PA      | $234484.82    | 0.02%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                          | State of Illinois                                                                                                      | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      95000 | PA      | $96774.45     | 0.01%             | 2035-04-01      | Fixed         | 6.73%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                   | Ukraine Government International Bond                                                                                  | CUSIP: 903724BW1<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1000000 | PA      | $219562.50    | 0.02%             | 2026-02-01      | Fixed         | 8.99%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                             | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC                                        | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1281184.70   | 0.12%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2007-A4                                                                                       | CUSIP: 46631JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31607 | PA      | $23559.68     | 0.00%             | 2037-06-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                             | Avolon Holdings Funding Ltd                                                                                            | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    2173000 | PA      | $1736867.19   | 0.16%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0L3F5 CDS USD R F  5.00000 1 CCPCORPORATE / Short: SWPC0L3F5 CDS USD P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     400000 | OU      | $23557.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                               | Aviation Capital Group LLC                                                                                             | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $982234.42    | 0.09%             | 2024-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | PURCHASED BRL / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $-395.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                  | Petroleos Mexicanos                                                                                                    | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    4200000 | PA      | $3046710.24   | 0.27%             | 2035-06-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                             | Ford Motor Credit Co LLC                                                                                               | CUSIP: 000000000<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     700000 | PA      | $798874.23    | 0.07%             | 2024-06-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                          | Long: SWU01KSC6 IRS GBP R F  2.00000 SWU01KSC6 CCPOIS / Short: SWU01KSC6 IRS GBP P V 12MSONIA SWUV1KSC8 CCPOIS         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3100000 | OU      | $-528070.06   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2006-OA12                                                                                       | CUSIP: 23243AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7059 | PA      | $6672.97      | 0.00%             | 2046-09-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                     | Berry Global Inc                                                                                                       | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     100000 | PA      | $89081.58     | 0.01%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                | Mexico Government International Bond                                                                                   | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    5400000 | PA      | $3410260.16   | 0.31%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE LONDON                               | Credit Agricole SA/London                                                                                              | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     500000 | PA      | $455762.79    | 0.04%             | 2026-06-16      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2006-OA9                                                                                        | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6799 | PA      | $5019.56      | 0.00%             | 2046-07-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| OMAN GOV INTERNTL BOND                               | Oman Government International Bond                                                                                     | CUSIP: 68205LAS2<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |    2300000 | PA      | $2312668.40   | 0.21%             | 2031-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF JORDAN                                    | Jordan Government International Bond                                                                                   | CUSIP: 418097AK7<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |     300000 | PA      | $287199.60    | 0.03%             | 2025-07-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LIMA METRO LINE 2 FIN LT                             | Lima Metro Line 2 Finance Ltd                                                                                          | CUSIP: 532522AA7<br>LEI: 5493009BVQNQT1UKQ352 | Long             | DBT              | CORP              | KY        |     283863 | PA      | $275279.70    | 0.02%             | 2034-07-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                    | Long: SWPC0ILZ8 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0ILZ8 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | GB        |     100000 | OU      | $-2662.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nakilat Inc                                          | Nakilat Inc                                                                                                            | CUSIP: 62983PAB1<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |     464429 | PA      | $480916.23    | 0.04%             | 2033-12-31      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                             | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                              | CUSIP: 00774MAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     500000 | PA      | $451995.22    | 0.04%             | 2027-07-21      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Dean Witter Capital I Trust           | Morgan Stanley Dean Witter Capital I Inc Trust 2003-NC1                                                                | CUSIP: 61746WYU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7986 | PA      | $7956.31      | 0.00%             | 2032-11-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2005-76                                                                                         | CUSIP: 12668BDC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10617 | PA      | $9614.98      | 0.00%             | 2036-01-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                    | HSBC Holdings PLC                                                                                                      | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $181999.30    | 0.02%             | 2026-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GF II                                   | Pacific Life Global Funding II                                                                                         | CUSIP: 6944PL2B4<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |     200000 | PA      | $181307.70    | 0.02%             | 2025-06-24      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| ABU DHABI GOVT INT'L                                 | Abu Dhabi Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |     900000 | PA      | $559177.20    | 0.05%             | 2070-09-02      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                 | Las Vegas Sands Corp                                                                                                   | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     100000 | PA      | $84246.30     | 0.01%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Truman Capital Mortgage Loan Trust                   | Truman Capital Mortgage Loan Trust                                                                                     | CUSIP: 89789KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     424927 | PA      | $418600.29    | 0.04%             | 2036-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Envision Healthcare Corporation                      | Envision Healthcare Corporation 2022 2nd Lien Term Loan                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     331115 | PA      | $262683.23    | 0.02%             | 2028-04-28      | Floating      | 15.74%                | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0LBB5 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0LBB5 CDS USD P V 03MEVENT 2 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   18400000 | OU      | $-1075546.24  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN MUNI PWR-OHIO INC OHR                       | American Municipal Power Inc                                                                                           | CUSIP: 02765UEJ9<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |     100000 | PA      | $122221.38    | 0.01%             | 2041-02-15      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                        | Aircastle Ltd                                                                                                          | CUSIP: 00928QAU5<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     600000 | PA      | $490713.81    | 0.04%             | 2028-01-26      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                       | ADLER Group SA                                                                                                         | CUSIP: 000000000<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |    1100000 | PA      | $470997.78    | 0.04%             | 2026-01-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                               | CVS Pass-Through Trust                                                                                                 | CUSIP: 126650BS8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      59439 | PA      | $61862.93     | 0.01%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                    | Citigroup Mortgage Loan Trust 2007-10                                                                                  | CUSIP: 17313QAL2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | ABS-MBS          | CORP              | US        |       6487 | PA      | $5549.48      | 0.00%             | 2037-09-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                               | GSAA Home Equity Trust 2006-17                                                                                         | CUSIP: 362257AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46780 | PA      | $11984.75     | 0.00%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities       | Credit Suisse First Boston Mortgage Securities Corp                                                                    | CUSIP: 22541NX20<br>LEI: 549300506SI9CRFV9Z86 | Long             | ABS-MBS          | CORP              | US        |        293 | PA      | $284.30       | 0.00%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019                                 | Huarong Finance 2019 Co Ltd                                                                                            | CUSIP: 000000000<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |    3800000 | PA      | $3778500.02   | 0.34%             | 2023-02-24      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                     | Soundview Home Loan Trust 2006-OPT3                                                                                    | CUSIP: 83611MPK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6659136 | PA      | $5661987.98   | 0.51%             | 2036-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                               | CHL Mortgage Pass-Through Trust 2006-9                                                                                 | CUSIP: 126694W20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98662 | PA      | $49209.18     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                             | Plains All American Pipeline LP / PAA Finance Corp                                                                     | CUSIP: 72650RBH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1100000 | PA      | $852130.26    | 0.08%             | 2045-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                              | Dell International LLC / EMC Corp                                                                                      | CUSIP: 24703TAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     162000 | PA      | $181540.13    | 0.02%             | 2036-07-15      | Fixed         | 8.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                  | Long: SWPC0IO44 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IO44 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |     200000 | OU      | $-5324.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Russian Federation                                   | Russian Foreign Bond - Eurobond                                                                                        | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    2400000 | PA      | $792000.00    | 0.07%             | 2047-06-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                  | Altice Financing SA                                                                                                    | CUSIP: 000000000<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    2300000 | PA      | $1983168.25   | 0.18%             | 2029-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SASOL Financing USA LLC                              | Sasol Financing USA LLC                                                                                                | CUSIP: 80386WAA3<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |     500000 | PA      | $488794.85    | 0.04%             | 2024-03-27      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                             | Lloyds Banking Group PLC                                                                                               | CUSIP: 53944YAR4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $190006.70    | 0.02%             | 2026-03-18      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                        | Mastr Asset Backed Securities Trust 2006-FRE2                                                                          | CUSIP: 57643GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8940159 | PA      | $7916225.75   | 0.71%             | 2036-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                             | Republic of South Africa Government International Bond                                                                 | CUSIP: 836205AT1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     600000 | PA      | $579924.00    | 0.05%             | 2026-04-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC/DELAWA                             | Kinder Morgan Inc                                                                                                      | CUSIP: 28368EAE6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    1216000 | PA      | $1367147.17   | 0.12%             | 2032-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BANCO BRADESCO (CAYMAN)                              | Banco Bradesco SA/Cayman Islands                                                                                       | CUSIP: 05947KAY6<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |     400000 | PA      | $399204.00    | 0.04%             | 2023-01-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| IRVINE RANCH CA WTR DIST                             | Irvine Ranch Water District                                                                                            | CUSIP: 4636324P1<br>LEI: 2ZRS7W19IBMY48SFBI68 | Long             | DBT              | MUN               | US        |     100000 | PA      | $111756.38    | 0.01%             | 2040-05-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                             | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-170425.61   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                     | Altice France SA/France                                                                                                | CUSIP: 02156LAA9<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    3200000 | PA      | $2914816.00   | 0.26%             | 2027-02-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| ABERTIS INFRAESTRUCTURAS                             | Abertis Infraestructuras SA                                                                                            | CUSIP: 000000000<br>LEI: 549300GKFVWI02JQ5332 | Long             | DBT              | CORP              | ES        |    2100000 | PA      | $2296482.44   | 0.21%             | 2026-11-27      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| STATE OF MINAS GERAIS                                | Brazil Minas SPE via State of Minas Gerais                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     120000 | PA      | $116490.00    | 0.01%             | 2028-02-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust                              | HomeBanc Mortgage Trust 2005-1                                                                                         | CUSIP: 43739EAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3196 | PA      | $2647.93      | 0.00%             | 2035-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0EOD3 CDS USD R F  5.00000 1 CCPCORPORATE / Short: SWPC0EOD3 CDS USD P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     200000 | OU      | $5172.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175BK9<br>LEI: 0J0XRGZE3PBRFEZ7MV65 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1562493.10   | 0.14%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                  | Long: SWPC0IMF1 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IMF1 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |     100000 | OU      | $-2662.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                  | Ecuador Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    2674620 | PA      | $1229624.58   | 0.11%             | 2035-07-31      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ABERTIS INFRAESTRUCTURAS                             | Abertis Infraestructuras SA                                                                                            | CUSIP: 000000000<br>LEI: 549300GKFVWI02JQ5332 | Long             | DBT              | CORP              | ES        |     600000 | PA      | $557288.42    | 0.05%             | 2031-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                              | GLP Capital LP / GLP Financing II Inc                                                                                  | CUSIP: 361841AN9<br>LEI: N/A                  | Long             | DBT              |  | US        |     100000 | PA      | $95834.00     | 0.01%             | 2024-09-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                                                         | CUSIP: 6174468C6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3515365.01   | 0.32%             | 2025-07-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                      | Venture XXVIII CLO Ltd                                                                                                 | CUSIP: 92331AAU8<br>LEI: 54930010DKR017G3JK24 | Long             | ABS-CBDO         | CORP              | KY        |     200000 | PA      | $195981.36    | 0.02%             | 2030-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Arab Republic of Egypt                               | Egypt Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    3300000 | PA      | $2447318.58   | 0.22%             | 2031-04-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                       | ADLER Group SA                                                                                                         | CUSIP: 000000000<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |    1400000 | PA      | $591958.57    | 0.05%             | 2026-11-13      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                       | Avolon TLB Borrower 1 (US) LLC 2021 Term Loan B5                                                                       | CUSIP: 05400KAH3<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |    1176000 | PA      | $1172013.36   | 0.11%             | 2027-12-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                | Bank of Ireland Group PLC                                                                                              | CUSIP: 000000000<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    1700000 | PA      | $1765862.72   | 0.16%             | 2025-05-19      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                          | Ivory Coast Government International Bond                                                                              | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     300000 | PA      | $268443.04    | 0.02%             | 2031-10-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 A PTT                              | United Airlines 2020-1 Class A Pass Through Trust                                                                      | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2292112 | PA      | $2259898.10   | 0.20%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                                 | ZF Europe Finance BV                                                                                                   | CUSIP: 000000000<br>LEI: 549300RI533US2G6G542 | Long             | DBT              | CORP              | NL        |    2000000 | PA      | $1840963.32   | 0.17%             | 2026-02-23      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                       | Wynn Macau Ltd                                                                                                         | CUSIP: 98313RAG1<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $183468.00    | 0.02%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                         | Saxon Asset Securities Trust 2006-1                                                                                    | CUSIP: 80556UAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     191217 | PA      | $180850.45    | 0.02%             | 2036-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                | Argentine Republic Government International Bond                                                                       | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   13420196 | PA      | $3797915.47   | 0.34%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc.                  | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R5                                          | CUSIP: 03072SRX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      10040 | PA      | $9863.17      | 0.00%             | 2034-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                               | Southwestern Energy Co                                                                                                 | CUSIP: 845467AR0<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |     100000 | PA      | $92706.00     | 0.01%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                | Venezuela Government International Bond                                                                                | CUSIP: P97475AP5<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     156000 | PA      | $12480.00     | 0.00%             | 2024-10-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                        | PURCHASED USD / SOLD IDR                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-79.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                             | Sabine Pass Liquefaction LLC                                                                                           | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     700000 | PA      | $648841.68    | 0.06%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                          | State of Illinois                                                                                                      | CUSIP: 452152BM2<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     245000 | PA      | $248358.46    | 0.02%             | 2035-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                | Venezuela Government International Bond                                                                                | CUSIP: P17625AA5<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      32000 | PA      | $2560.00      | 0.00%             | 2023-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                           | VMware Inc                                                                                                             | CUSIP: 928563AD7<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     300000 | PA      | $294183.39    | 0.03%             | 2025-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                  | Nigeria Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     600000 | PA      | $406440.00    | 0.04%             | 2038-02-23      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Marks & Spencer PLC                                  | Marks & Spencer PLC                                                                                                    | CUSIP: 000000000<br>LEI: 213800CN1RI3UCIZWB95 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $1161917.10   | 0.10%             | 2025-06-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RLJ LODGING TRUST LP                                 | RLJ Lodging Trust LP                                                                                                   | CUSIP: 74965LAA9<br>LEI: 549300RX5I8Z6I6LDZ74 | Long             | DBT              |  | US        |     200000 | PA      | $178117.70    | 0.02%             | 2026-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                              | Nationwide Building Society                                                                                            | CUSIP: 63861VAC1<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    4500000 | PA      | $4441135.50   | 0.40%             | 2024-08-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                  | Banc of America Funding 2006 J Trust                                                                                   | CUSIP: 05951EAM9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |      27339 | PA      | $24880.44     | 0.00%             | 2047-01-20      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                          | Harvest Clo XX DAC                                                                                                     | CUSIP: 000000000<br>LEI: 635400EXPHDZLGQCVU09 | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $622139.49    | 0.06%             | 2031-10-20      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                       | HarborView Mortgage Loan Trust 2005-10                                                                                 | CUSIP: 41161PTN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6767 | PA      | $5157.57      | 0.00%             | 2035-11-19      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                       | CUSIP: 912828G38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15910000 | PA      | $15280436.37  | 1.37%             | 2024-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308HC4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98885.01     | 0.01%             | 2023-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PATTERSON-UTI ENERGY INC                             | Patterson-UTI Energy Inc                                                                                               | CUSIP: 703481AC5<br>LEI: 254900XGFBKIXD6G0697 | Long             | DBT              | CORP              | US        |     600000 | PA      | $537761.62    | 0.05%             | 2029-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                | Countrywide Asset-Backed Certificates                                                                                  | CUSIP: 23248AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1046580 | PA      | $789653.03    | 0.07%             | 2047-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| SEAZEN GROUP LTD                                     | Seazen Group Ltd                                                                                                       | CUSIP: 000000000<br>LEI: 5493006M8GRAQRCSCD67 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $154378.00    | 0.01%             | 2024-08-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GLOBALWORTH REAL ESTATE                              | Globalworth Real Estate Investments Ltd                                                                                | CUSIP: 000000000<br>LEI: 213800R3E823B1UBIA81 | Long             | DBT              |  | GG        |    3900000 | PA      | $3645394.34   | 0.33%             | 2025-03-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                          | Long: SWPC0IM04 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IM04 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     200000 | OU      | $-5324.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                | Venezuela Government International Bond                                                                                | CUSIP: 922646BL7<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |    1400000 | PA      | $115500.00    | 0.01%             | 2034-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                                                               | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     237000 | PA      | $159959.87    | 0.01%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                      | Rolls-Royce PLC                                                                                                        | CUSIP: 000000000<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |    1600000 | PA      | $1657055.81   | 0.15%             | 2026-02-16      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| MARKS & SPENCER PLC                                  | Marks & Spencer PLC                                                                                                    | CUSIP: 000000000<br>LEI: 213800CN1RI3UCIZWB95 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $310621.59    | 0.03%             | 2027-07-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                           | Sprint LLC                                                                                                             | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    6400000 | PA      | $6489510.40   | 0.58%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                              | Standard Industries Inc/NJ                                                                                             | CUSIP: 000000000<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1182855.04   | 0.11%             | 2026-11-21      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                             | Long: SWPC0KBH4 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0KBH4 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    1000000 | OU      | $114975.14    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                      | Venture Xxv Clo Ltd                                                                                                    | CUSIP: 92329VAS1<br>LEI: 549300A6M3BR8FZNXO79 | Long             | ABS-CBDO         | CORP              | KY        |    2310002 | PA      | $2281446.82   | 0.21%             | 2029-04-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                    | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-178679.95   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ALBION FINANCING 1SARL /                             | Albion Financing 1 SARL / Aggreko Holdings Inc                                                                         | CUSIP: 013304AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     300000 | PA      | $267543.00    | 0.02%             | 2026-10-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | PURCHASED MXN / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $90708.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNGENTA FINANCE NV                                  | Syngenta Finance NV                                                                                                    | CUSIP: 87164KAH7<br>LEI: 54930042S3BYCEGOCN86 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $199103.84    | 0.02%             | 2023-04-24      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 000000000<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     200000 | PA      | $212828.48    | 0.02%             | 2025-03-27      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| State of Qatar                                       | Qatar Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    1100000 | PA      | $1105984.00   | 0.10%             | 2028-04-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                  | Petroleos Mexicanos                                                                                                    | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    3500000 | PA      | $2915583.28   | 0.26%             | 2029-02-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                           | Morgan Stanley ABS Capital I Inc Trust 2005-WMC5                                                                       | CUSIP: 61744CRV0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | ABS-O            | CORP              | US        |     127006 | PA      | $123812.50    | 0.01%             | 2035-06-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                  | JP Morgan Mortgage Acquisition Trust 2007-CH3                                                                          | CUSIP: 46630XAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     400000 | PA      | $372881.64    | 0.03%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SIGMA BIDCO B.V. 2018 EUR TERM LOAN B                | SIGMA BIDCO B.V. 2018 EUR TERM LOAN B                                                                                  | CUSIP: 000000000<br>LEI: 2549002VGA888UKFKS25 | Long             | LON              | CORP              | NL        |     400000 | PA      | $369467.78    | 0.03%             | 2025-07-02      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| EMF-NL Bv                                            | EMF-NL Prime 2008-A BV                                                                                                 | CUSIP: 000000000<br>LEI: 724500YACYYG8XY5LM10 | Long             | ABS-MBS          | CORP              | NL        |      75600 | PA      | $77430.11     | 0.01%             | 2041-04-17      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                              | Romanian Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1500000 | PA      | $1143092.34   | 0.10%             | 2039-03-11      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                             | Ford Motor Credit Co LLC                                                                                               | CUSIP: 000000000<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     300000 | PA      | $304275.27    | 0.03%             | 2025-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                  | Intesa Sanpaolo SpA                                                                                                    | CUSIP: 000000000<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     900000 | PA      | $773594.58    | 0.07%             | 2031-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                                | Rio Oil Finance Trust Series 2014-3                                                                                    | CUSIP: U76673AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300277 | PA      | $310786.37    | 0.03%             | 2027-01-06      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0KU18 CDS USD R F  5.00000 1 CCPCORPORATE / Short: SWPC0KU18 CDS USD P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     200000 | OU      | $10578.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                | Australia Government Bond                                                                                              | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    2400000 | PA      | $1669123.17   | 0.15%             | 2026-04-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0IU21 CDS EUR R F  5.00000 1 CCPCORPORATE / Short: SWPC0IU21 CDS EUR P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     700000 | OU      | $95222.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BK SCOTLND GRP PLC                             | NatWest Group PLC                                                                                                      | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $107064.22    | 0.01%             | 2023-03-22      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Envision Healthcare Corporation                      | Envision Healthcare Corporation 2022 Delayed Draw Term Loan                                                            | CUSIP: 000000000<br>LEI: 549300OL60X0LPKY8N60 | Long             | LON              | CORP              | US        |      30769 | PA      | $29827.08     | 0.00%             | 2027-04-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                             | Kaisa Group Holdings Ltd                                                                                               | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |     600000 | PA      | $81457.22     | 0.01%             | 2023-09-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                | Indonesia Government International Bond                                                                                | CUSIP: Y20722AN7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     800000 | PA      | $847956.99    | 0.08%             | 2025-07-30      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                          | Long: SWPC0IMP9 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IMP9 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     200000 | OU      | $-5324.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0KBZ4 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0KBZ4 CDS USD P V 03MEVENT 2 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     900000 | OU      | $9929.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORTRESS TRANS & INFRAST                             | Fortress Transportation and Infrastructure Investors LLC                                                               | CUSIP: 34960PAD3<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |     400000 | PA      | $341244.00    | 0.03%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust          | Bear Stearns ARM Trust 2004-3                                                                                          | CUSIP: 07384MR20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1001 | PA      | $961.46       | 0.00%             | 2034-07-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| BAY AREA CA TOLL AUTH TOLL BRI                       | Bay Area Toll Authority                                                                                                | CUSIP: 072024NU2<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |     200000 | PA      | $233684.96    | 0.02%             | 2040-04-01      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust               | Merrill Lynch Mortgage Investors Trust Series 2006-A3                                                                  | CUSIP: 59023CAK8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |       7318 | PA      | $6467.53      | 0.00%             | 2036-05-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                           | Mattel Inc                                                                                                             | CUSIP: 577081BE1<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91940.48     | 0.01%             | 2026-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                 | PURCHASED USD / SOLD AUD                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-2791.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc         | BAMLL Commercial Mortgage Securities Trust 2020-BOC                                                                    | CUSIP: 05551JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2141797.25   | 0.19%             | 2032-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| STATE AGE ROADS                                      | State Agency of Roads of Ukraine                                                                                       | CUSIP: 000000000<br>LEI: 254900FGEO8P5USHG994 | Long             | DBT              | CORP              | UA        |     600000 | PA      | $101700.00    | 0.01%             | 2030-06-24      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                      | Nissan Motor Co Ltd                                                                                                    | CUSIP: 000000000<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $468573.21    | 0.04%             | 2028-09-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                 | Edison International                                                                                                   | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100309.43    | 0.01%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                     | IndyMac INDX Mortgage Loan Trust 2005-AR14                                                                             | CUSIP: 45660LRX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8181 | PA      | $6609.55      | 0.00%             | 2035-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                             | Kaisa Group Holdings Ltd                                                                                               | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |    1000000 | PA      | $135762.04    | 0.01%             | 2026-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                  | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    4300000 | PA      | $3254446.40   | 0.29%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0I305 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0I305 CDS USD P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     900000 | OU      | $6134.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UniCredit SpA                                        | UniCredit SpA                                                                                                          | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    5650000 | PA      | $5676487.20   | 0.51%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                            | Prosus NV                                                                                                              | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $446978.42    | 0.04%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                             | Altice France Holding SA                                                                                               | CUSIP: 02156TAA2<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    1700000 | PA      | $1003495.92   | 0.09%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE CO                                     | Noble Finance Co                                                                                                       | CUSIP: 65505JAC5<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |      45537 | PA      | $50204.54     | 0.00%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| SYNGENTA FINANCE NV                                  | Syngenta Finance NV                                                                                                    | CUSIP: 87164KAG9<br>LEI: 54930042S3BYCEGOCN86 | Long             | DBT              | CORP              | NL        |    4709000 | PA      | $4560829.57   | 0.41%             | 2025-04-24      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91650.07     | 0.01%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ATHORA NETHERLANDS                                   | Athora Netherlands NV                                                                                                  | CUSIP: 000000000<br>LEI: 724500MKKXKEVWMN9E13 | Long             | DBT              | CORP              | NL        |     700000 | PA      | $723054.31    | 0.06%             | 2024-05-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                     | Marathon CLO IX Ltd                                                                                                    | CUSIP: 56577PAL3<br>LEI: 5493008SBRQGMZFP2M89 | Long             | ABS-CBDO         | CORP              | KY        |    1201992 | PA      | $1188478.85   | 0.11%             | 2029-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                               | Egypt Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     800000 | PA      | $492672.00    | 0.04%             | 2061-02-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS S A                        | INTELSAT JACKSON HOLDINGS S A                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |        986 | NS      | $6655.50      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| DAVITA INC                                           | DaVita Inc                                                                                                             | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1528410.71   | 0.14%             | 2030-06-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| G CITY EUROPE LTD                                    | G City Europe Ltd                                                                                                      | CUSIP: 000000000<br>LEI: 213800OJ67K27RCO2J56 | Long             | DBT              | CORP              | JE        |    3439000 | PA      | $3037435.40   | 0.27%             | 2025-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CNTY CA PUBLIC WKS                       | Los Angeles County Public Works Financing Authority                                                                    | CUSIP: 54473ENS9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     200000 | PA      | $245510.96    | 0.02%             | 2040-08-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Republic of Turkey                                   | Turkey Government International Bond                                                                                   | CUSIP: 900123CM0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    4400000 | PA      | $2992000.00   | 0.27%             | 2047-05-11      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                   | Dominican Republic International Bond                                                                                  | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    1700000 | PA      | $1411103.80   | 0.13%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                              | Dell International LLC / EMC Corp                                                                                      | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4205408.82   | 0.38%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                              | GSR Mortgage Loan Trust 2005-AR6                                                                                       | CUSIP: 362341RT8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |       1138 | PA      | $1108.55      | 0.00%             | 2035-09-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                          | Ivory Coast Government International Bond                                                                              | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     400000 | PA      | $320746.06    | 0.03%             | 2040-10-17      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Backed Trust               | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-B                                                       | CUSIP: 43710EAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     319999 | PA      | $170354.75    | 0.02%             | 2037-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                               | CHL Mortgage Pass-Through Trust 2007-HYB1                                                                              | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5137 | PA      | $4413.39      | 0.00%             | 2037-03-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                               | CHL Mortgage Pass-Through Trust 2006-16                                                                                | CUSIP: 170257AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14287 | PA      | $5569.36      | 0.00%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0JZ99 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0JZ99 CDS USD P V 03MEVENT 2 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     800000 | OU      | $9737.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                      | Venture XIV CLO Ltd                                                                                                    | CUSIP: 92328GBA3<br>LEI: 5493002O60L75PP6F022 | Long             | ABS-CBDO         | CORP              | KY        |    4862418 | PA      | $4800574.77   | 0.43%             | 2029-08-28      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JK4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $88699.82     | 0.01%             | 2028-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $69549.56     | 0.01%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                             | Ford Motor Credit Co LLC                                                                                               | CUSIP: 000000000<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1337702.19   | 0.12%             | 2024-12-01      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                                | Freedom Mortgage Corp                                                                                                  | CUSIP: 35640YAF4<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $1751663.78   | 0.16%             | 2026-05-01      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                  | Ecuador Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    1225800 | PA      | $500226.12    | 0.04%             | 2040-07-31      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2005-79CB                                                                                       | CUSIP: 12668BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110562 | PA      | $67336.98     | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                             | Altice France Holding SA                                                                                               | CUSIP: 000000000<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    1000000 | PA      | $784427.53    | 0.07%             | 2027-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 2YR NOTE (CBT) MAR23                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        232 | NC      | $-65618.82    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Travis Perkins PLC                                   | Travis Perkins PLC                                                                                                     | CUSIP: 000000000<br>LEI: 2138001I27OUBAF22K83 | Long             | DBT              | CORP              | GB        |    1900000 | PA      | $2262550.11   | 0.20%             | 2023-09-07      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                               | CCO Holdings LLC / CCO Holdings Capital Corp                                                                           | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2005287.50   | 0.18%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                       | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-2007.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Russian Federation                                   | Russian Foreign Bond - Eurobond                                                                                        | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    1000000 | PA      | $310000.00    | 0.03%             | 2027-06-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOLL BROS FINANCE CORP                               | Toll Brothers Finance Corp                                                                                             | CUSIP: 88947EAS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1145801.27   | 0.10%             | 2027-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                          | State of Illinois                                                                                                      | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     185714 | PA      | $195376.01    | 0.02%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2007-OA3                                                                                        | CUSIP: 02150TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24560 | PA      | $21254.19     | 0.00%             | 2047-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                           | Morgan Stanley ABS Capital I Inc Trust 2005-NC1                                                                        | CUSIP: 61744CML7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | ABS-MBS          | CORP              | US        |     162120 | PA      | $148961.38    | 0.01%             | 2035-01-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Aurium CLO                                           | Aurium CLO I DAC                                                                                                       | CUSIP: 000000000<br>LEI: 213800O4RL6TWVR6MP81 | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $261224.73    | 0.02%             | 2032-03-23      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                     | Deutsche Bank AG/New York NY                                                                                           | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    3300000 | PA      | $2419605.44   | 0.22%             | 2032-01-14      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0KSL7 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0KSL7 CDS USD P V 03MEVENT 2 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     490000 | OU      | $-24574.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                  | Long: SWPC0ILQ8 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0ILQ8 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |     100000 | OU      | $-2662.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                | Venezuela Government International Bond                                                                                | CUSIP: P17625AB3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |    1241000 | PA      | $102382.50    | 0.01%             | 2028-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC                | Charter Communications Operating, LLC 2019 Term Loan B2                                                                | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |    3346582 | PA      | $3263519.62   | 0.29%             | 2027-02-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2005-J1                                                                                         | CUSIP: 12667FU29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        816 | PA      | $809.69       | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                      | DAE Funding LLC                                                                                                        | CUSIP: 23371DAH7<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $949220.00    | 0.09%             | 2024-02-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                   | Ally Financial Inc                                                                                                     | CUSIP: 02005NBK5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     400000 | PA      | $395473.08    | 0.04%             | 2023-06-05      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                  | Ecuador Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     323958 | PA      | $126524.04    | 0.01%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                 | OneMain Finance Corp                                                                                                   | CUSIP: 85172FAM1<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1825282.56   | 0.16%             | 2025-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN LLC / JFIN                             | Jefferies Finance LLC / JFIN Co-Issuer Corp                                                                            | CUSIP: 47232MAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1223595.00   | 0.11%             | 2028-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bacardi Ltd                                          | Bacardi Ltd                                                                                                            | CUSIP: 067316AF6<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |    2900000 | PA      | $2767890.50   | 0.25%             | 2028-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0K0C7 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0K0C7 CDS USD P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     100000 | OU      | $5.73         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEXI SPA                                             | Nexi SpA                                                                                                               | CUSIP: 000000000<br>LEI: 5493000P70CQRQG8SN85 | Long             | DBT              | CORP              | IT        |    3700000 | PA      | $3202196.13   | 0.29%             | 2029-04-30      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                        | Citigroup Inc                                                                                                          | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     200000 | PA      | $180305.76    | 0.02%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0JYY5 CDS USD R F  1.00000 FIX CORPORATE / Short: SWPC0JYY5 CDS USD P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    3800000 | OU      | $24184.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI GOVT INT'L                                 | Abu Dhabi Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |    1500000 | PA      | $1269435.00   | 0.11%             | 2050-04-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-1 A PTT                                | American Airlines 2015-1 Class A Pass Through Trust                                                                    | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     312899 | PA      | $260868.59    | 0.02%             | 2027-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                              | JPM CHASE REVERSE REPO EUR                                                                                             | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | Short            | RA               | CORP              | LU        |    -499745 | PA      | $-534951.78   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| ALBION FINANCING 1SARL /                             | Albion Financing 1 SARL / Aggreko Holdings Inc                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    1600000 | PA      | $1488609.88   | 0.13%             | 2026-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORG                                     | Organon & Co / Organon Foreign Debt Co-Issuer BV                                                                       | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1100000 | PA      | $973940.00    | 0.09%             | 2028-04-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates              | WaMu Mortgage Pass-Through Certificates Series 2006-AR2 Trust                                                          | CUSIP: 92925CDQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97559 | PA      | $87274.14     | 0.01%             | 2036-03-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| STENA INTERNATIONAL SA                               | Stena International SA                                                                                                 | CUSIP: 85858EAB9<br>LEI: 213800A4LTGG4W55QP46 | Long             | DBT              | CORP              | LU        |     400000 | PA      | $372000.00    | 0.03%             | 2025-02-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                    | HSBC Holdings PLC                                                                                                      | CUSIP: 404280CJ6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $180522.54    | 0.02%             | 2026-04-18      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| IHO Verwaltungs GmbH                                 | IHO Verwaltungs GmbH                                                                                                   | CUSIP: 000000000<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |     800000 | PA      | $779239.27    | 0.07%             | 2025-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                | Venezuela Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |    1955000 | PA      | $156400.00    | 0.01%             | 2025-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SPIRIT AEROSYSTEMS INC                               | Spirit AeroSystems Inc                                                                                                 | CUSIP: 85205TAN0<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |     100000 | PA      | $105270.00    | 0.01%             | 2029-11-30      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| GREENKO SOLAR MAURITIUS                              | Greenko Solar Mauritius Ltd                                                                                            | CUSIP: 39530VAA6<br>LEI: 2138007S1PL541B3KP92 | Long             | DBT              | CORP              | MU        |    1000000 | PA      | $938000.00    | 0.08%             | 2025-01-29      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                            | CUSIP: 000000000<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1256194.74   | 0.11%             | 2024-09-30      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                | Long: SWU01KS85 IRS EUR R F  1.50000 SWU01KS85 CCPVANILLA / Short: SWU01KS85 IRS EUR P V 06MEURIB SWUV1KS87 CCPVANILLA | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    2200000 | OU      | $-190280.74   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                | Long: SWU01KSD4 IRS GBP R F  2.00000 SWU01KSD4 CCPOIS / Short: SWU01KSD4 IRS GBP P V 12MSONIA SWUV1KSD6 CCPOIS         | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    1400000 | OU      | $-443322.56   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2007-A1                                                                                       | CUSIP: 46630GAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4236 | PA      | $3947.94      | 0.00%             | 2035-07-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITE                             | Perrigo Finance Unlimited Co                                                                                           | CUSIP: 71429MAC9<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |     200000 | PA      | $170403.46    | 0.02%             | 2030-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities                        | Aegis Asset Backed Securities Trust 2004-6                                                                             | CUSIP: 00764MDY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72198 | PA      | $66559.41     | 0.01%             | 2035-03-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0IRF6 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0IRF6 CDS EUR P V 03MEVENT 2 CCPCORPORATE             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    2900000 | OU      | $-66954.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                     | Deutsche Bank AG                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    2600000 | PA      | $2715342.86   | 0.24%             | 2031-05-19      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI S                             | Banca Monte dei Paschi di Siena SpA                                                                                    | CUSIP: 000000000<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    3300000 | PA      | $3186893.42   | 0.29%             | 2025-04-28      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                     | Altice France SA/France                                                                                                | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     800000 | PA      | $610024.00    | 0.05%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                       | PURCHASED USD / SOLD HUF                                                                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-5282.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Toro European CLO                                    | Toro European CLO 7 DAC                                                                                                | CUSIP: 000000000<br>LEI: 635400B4VLIGNRNR9O61 | Long             | ABS-CBDO         | CORP              | IE        |     250000 | PA      | $257438.53    | 0.02%             | 2034-02-15      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| State of Qatar                                       | Qatar Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    1200000 | PA      | $1204958.40   | 0.11%             | 2048-04-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                       | Long Beach Mortgage Loan Trust 2006-4                                                                                  | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1032916 | PA      | $592752.38    | 0.05%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust 2021-NQM1R                                                                         | CUSIP: 64828BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     825109 | PA      | $661885.42    | 0.06%             | 2055-07-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                 | ACE Securities Corp Home Equity Loan Trust Series 2005-HE4                                                             | CUSIP: 004421PT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14118 | PA      | $14041.16     | 0.00%             | 2035-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308HM2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1415163.75   | 0.13%             | 2025-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                  | Virgin Money UK PLC                                                                                                    | CUSIP: 000000000<br>LEI: 213800ZK9VGCYYR6O495 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $111432.80    | 0.01%             | 2026-04-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SOCAR TURKEY ENERJI AS                               | SOCAR Turkey Enerji AS EUR Term Loan                                                                                   | CUSIP: 000000000<br>LEI: 789000J4L7UFTRMDR776 | Long             | LON              | CORP              | TR        |    5800000 | PA      | $5820569.12   | 0.52%             | 2026-08-11      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BK INDIA                               | Export-Import Bank of India                                                                                            | CUSIP: 30216KAA0<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |     600000 | PA      | $561150.00    | 0.05%             | 2026-08-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ESC CB144A INTELSAT JA                               | ESC CB144A INTELSAT JA                                                                                                 | CUSIP: 458ESCAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     100000 | PA      | $0.00         | 0.00%             | 2025-07-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| IVORY COAST                                          | Ivory Coast Government International Bond                                                                              | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     900000 | PA      | $676406.33    | 0.06%             | 2048-03-22      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2020-2A PTT                               | Air Canada 2020-2 Class A Pass Through Trust                                                                           | CUSIP: 00909DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     748594 | PA      | $706864.67    | 0.06%             | 2029-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0JZA6 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0JZA6 CDS USD P V 03MEVENT 2 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     184000 | OU      | $-5964.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OMAN GOV INTERNTL BOND                               | Oman Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |    4800000 | PA      | $4490659.20   | 0.40%             | 2048-01-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                 | Bank of America Corp                                                                                                   | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $3962970.00   | 0.36%             | 2028-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                  | Mastr Asset Backed Securities Trust 2004-OPT1                                                                          | CUSIP: 57643LCH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     723598 | PA      | $682372.52    | 0.06%             | 2034-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Kingdom of Morocco                                   | Morocco Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 529900F3MBW9XY5K1X07 | Long             | DBT              | NUSS              | MA        |     800000 | PA      | $685699.20    | 0.06%             | 2042-12-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                     | CUSIP: 29273RAR0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     300000 | PA      | $296513.35    | 0.03%             | 2042-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                       | CUSIP: 9128282U3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7310000 | PA      | $6991900.82   | 0.63%             | 2024-08-31      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Ziggo Financing Partnership                          | Ziggo Financing Partnership USD Term Loan I                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1555228 | PA      | $1513921.14   | 0.14%             | 2028-04-30      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                              | Fidelity National Financial Inc                                                                                        | CUSIP: 31620RAJ4<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |     200000 | PA      | $168815.58    | 0.02%             | 2030-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                 | PURCHASED USD / SOLD MXN                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-10610.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0JJ30 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0JJ30 CDS USD P V 03MEVENT 2 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     200000 | OU      | $2514.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Sri Lanka                                | Sri Lanka Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 254900HXCCIOHM74FA02 | Long             | DBT              | NUSS              | LK        |     500000 | PA      | $155125.98    | 0.01%             | 2029-03-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                               | NXP BV / NXP Funding LLC                                                                                               | CUSIP: 62947QBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    1700000 | PA      | $1686987.01   | 0.15%             | 2024-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HLDG                                | Intelsat Jackson Holdings SA                                                                                           | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |     703000 | PA      | $628474.97    | 0.06%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RENAULT SA                                           | Renault SA                                                                                                             | CUSIP: 000000000<br>LEI: 969500F7JLTX36OUI695 | Long             | DBT              | CORP              | FR        |    4300000 | PA      | $4134713.29   | 0.37%             | 2026-05-25      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ABERTIS INFRAESTRUCTURAS                             | Abertis Infraestructuras SA                                                                                            | CUSIP: 000000000<br>LEI: 549300GKFVWI02JQ5332 | Long             | DBT              | CORP              | ES        |     500000 | PA      | $438394.03    | 0.04%             | 2029-07-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                  | Petroleos Mexicanos                                                                                                    | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    2900000 | PA      | $1850196.23   | 0.17%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO                                    | Toro European CLO 6 DAC                                                                                                | CUSIP: 000000000<br>LEI: 635400SBMZDOVHEFNA56 | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $514183.20    | 0.05%             | 2032-01-12      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                | CWABS Asset-Backed Certificates Trust 2005-4                                                                           | CUSIP: 126673N99<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         10 | PA      | $9.49         | 0.00%             | 2035-10-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                             | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                              | CUSIP: 00774MAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    3600000 | PA      | $3479966.39   | 0.31%             | 2024-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Republic of Ghana                                    | Ghana Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     400000 | PA      | $142000.00    | 0.01%             | 2032-03-26      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| OMAN GOV INTERNTL BOND                               | Oman Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     500000 | PA      | $454676.00    | 0.04%             | 2047-03-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                | Bank of Ireland Group PLC                                                                                              | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |     600000 | PA      | $595189.97    | 0.05%             | 2026-09-16      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ZF FINANCE GMBH                                      | ZF Finance GmbH                                                                                                        | CUSIP: 000000000<br>LEI: 5493001N9T6QDCCXB426 | Long             | DBT              | CORP              | DE        |    4300000 | PA      | $3866463.57   | 0.35%             | 2027-05-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                          | Ivory Coast Government International Bond                                                                              | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     100000 | PA      | $80186.52     | 0.01%             | 2040-10-17      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                              | Dell International LLC / EMC Corp                                                                                      | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $408062.34    | 0.04%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                 | OneMain Finance Corp                                                                                                   | CUSIP: 85172FAP4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2418175.00   | 0.22%             | 2024-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Arab Republic of Egypt                               | Egypt Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    1700000 | PA      | $1257457.02   | 0.11%             | 2030-04-16      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust               | Merrill Lynch Mortgage Investors Trust Series 2007-SD1                                                                 | CUSIP: 590232AA2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-O            | CORP              | US        |     712763 | PA      | $425505.66    | 0.04%             | 2047-02-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2005-ALT1                                                                                     | CUSIP: 466247XG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6397 | PA      | $5139.93      | 0.00%             | 2035-10-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                             | Flex Ltd                                                                                                               | CUSIP: 33938XAC9<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |     700000 | PA      | $661018.11    | 0.06%             | 2026-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                             | Republic of South Africa Government International Bond                                                                 | CUSIP: 836205BA1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1200000 | PA      | $1068000.00   | 0.10%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                      | Rolls-Royce PLC                                                                                                        | CUSIP: 77578JAC2<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $190500.00    | 0.02%             | 2027-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JAGUAR LAND ROVER AUTOMO                             | Jaguar Land Rover Automotive PLC                                                                                       | CUSIP: 000000000<br>LEI: 529900L73GEWN1O5NH84 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $161674.27    | 0.01%             | 2028-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                    | Citigroup Mortgage Loan Trust 2007-AHL1                                                                                | CUSIP: 17311VAF6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | ABS-MBS          | CORP              | US        |      90966 | PA      | $88847.13     | 0.01%             | 2036-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                       | Wynn Macau Ltd                                                                                                         | CUSIP: 000000000<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |     500000 | PA      | $458670.00    | 0.04%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                          | Long: SWPC0IOW2 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IOW2 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     600000 | OU      | $-15972.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                             | Sabine Pass Liquefaction LLC                                                                                           | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4906920.81   | 0.44%             | 2025-03-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                 | ACE Securities Corp Home Equity Loan Trust Series 2004-HE4                                                             | CUSIP: 004421JH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54268 | PA      | $48355.87     | 0.00%             | 2034-12-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                   | Vodafone Group PLC                                                                                                     | CUSIP: 92857WBQ2<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    1700000 | PA      | $1709231.00   | 0.15%             | 2079-04-04      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                 | PURCHASED USD / SOLD EUR                                                                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3025.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRITISH AIR 20-1 A PTT                               | British Airways 2020-1 Class A Pass Through Trust                                                                      | CUSIP: 11044MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     107440 | PA      | $96109.23     | 0.01%             | 2032-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                             | PURCHASED BRL / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $90.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                          | Merrill Lynch Mortgage Investors Trust Series MLCC 2006-1                                                              | CUSIP: 59020U4R3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |       1022 | PA      | $960.62       | 0.00%             | 2036-02-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY NY TRANSITIONAL                        | New York City Transitional Finance Authority Future Tax Secured Revenue                                                | CUSIP: 64971M4P4<br>LEI: 5493003476LG35QAKM08 | Long             | DBT              | MUN               | US        |     300000 | PA      | $307924.89    | 0.03%             | 2037-08-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation             | RASC Series 2007-KS3 Trust                                                                                             | CUSIP: 74924YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1354342 | PA      | $1262680.52   | 0.11%             | 2037-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                                | Freedom Mortgage Corp                                                                                                  | CUSIP: 35640YAG2<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |     500000 | PA      | $389125.54    | 0.03%             | 2027-01-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANS & INFRAST                             | Fortress Transportation and Infrastructure Investors LLC                                                               | CUSIP: 34960PAB7<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |    4818000 | PA      | $4529902.15   | 0.41%             | 2025-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                               | General Motors Financial Co Inc                                                                                        | CUSIP: 37045XCR5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1195257.02   | 0.11%             | 2024-01-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                     | Deutsche Bank AG                                                                                                       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    6700000 | PA      | $5629397.97   | 0.51%             | 2030-11-19      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                           | Morgan Stanley ABS Capital I Inc Trust 2006-HE7                                                                        | CUSIP: 61750MAE5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | ABS-MBS          | CORP              | US        |      59537 | PA      | $26427.25     | 0.00%             | 2036-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates              | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust                                                         | CUSIP: 93363NAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14956 | PA      | $12814.66     | 0.00%             | 2036-10-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG                                     | Credit Suisse AG                                                                                                       | CUSIP: 000000000<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |    1700000 | PA      | $1643900.00   | 0.15%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                    | HSBC Holdings PLC                                                                                                      | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3300000 | PA      | $2553140.90   | 0.23%             | 2032-05-24      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                                | Rio Oil Finance Trust Series 2014-1                                                                                    | CUSIP: 76716XAA0<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |     617828 | PA      | $624006.05    | 0.06%             | 2024-07-06      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Home Equity Loan Trust                | Morgan Stanley Home Equity Loan Trust 2007-2                                                                           | CUSIP: 61752UAC9<br>LEI: 549300C5U61AIRK1S645 | Long             | ABS-MBS          | CORP              | US        |    2989375 | PA      | $1636936.08   | 0.15%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                     | Vmed O2 UK Financing I PLC                                                                                             | CUSIP: 000000000<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    2600000 | PA      | $2442415.29   | 0.22%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                             | Kaisa Group Holdings Ltd                                                                                               | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |    3500000 | PA      | $475165.39    | 0.04%             | 2025-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                        | Citicorp Mortgage Securities Trust Series 2007-8                                                                       | CUSIP: 17312DAC2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | ABS-MBS          | CORP              | US        |       1687 | PA      | $1620.16      | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                        | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6                                                        | CUSIP: 251510KH5<br>LEI: 5299003GGM6YEXXXJ012 | Long             | ABS-MBS          | CORP              | US        |     307855 | PA      | $260112.16    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                       | Long Beach Mortgage Loan Trust 2006-3                                                                                  | CUSIP: 542514UL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     278698 | PA      | $92183.06     | 0.01%             | 2046-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                     | RALI Series 2006-QA8 Trust                                                                                             | CUSIP: 74922QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12521 | PA      | $11377.59     | 0.00%             | 2036-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                    | PURCHASED EUR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $72367.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                               | Federal Home Loan Banks                                                                                                | CUSIP: 3130ATRB5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    9700000 | PA      | $9700397.80   | 0.87%             | 2023-02-23      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                                      | Vibrant Clo VII Ltd                                                                                                    | CUSIP: 92558BAJ7<br>LEI: 5493007DQ2IM8HOLV582 | Long             | ABS-CBDO         | CORP              | KY        |     298794 | PA      | $293312.63    | 0.03%             | 2030-09-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates              | WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust                                                         | CUSIP: 929227ZS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        527 | PA      | $505.84       | 0.00%             | 2033-02-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| MARKET BIDCO FINCO PLC                               | Market Bidco Finco PLC                                                                                                 | CUSIP: 000000000<br>LEI: 549300UGYX6EBVHRVG53 | Long             | DBT              | CORP              | GB        |    1898000 | PA      | $1620291.23   | 0.15%             | 2027-11-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR                                       | Qatar Government International Bond                                                                                    | CUSIP: 000000000<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    2400000 | PA      | $2195409.60   | 0.20%             | 2050-04-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| RAS LAFFAN LNG 3                                     | Ras Laffan Liquefied Natural Gas Co Ltd 3                                                                              | CUSIP: 75405UAA4<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | CORP              | QA        |    1872890 | PA      | $1881467.84   | 0.17%             | 2027-09-30      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                      | Sands China Ltd                                                                                                        | CUSIP: 80007RAS4<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    1100000 | PA      | $865585.70    | 0.08%             | 2031-08-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLD                               | Corestate Capital Holding SA                                                                                           | CUSIP: 000000000<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |    5700000 | PA      | $983876.89    | 0.09%             | 2022-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                              | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                                                           | CUSIP: 87470LAD3<br>LEI: 549300IQ3DN0F3VERF65 | Long             | DBT              | CORP              | US        |    8400000 | PA      | $7449456.00   | 0.67%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FINA                             | Mitchells & Butlers Finance PLC                                                                                        | CUSIP: 000000000<br>LEI: 213800E7QA1U8BF34219 | Long             | SN               | CORP              | GB        |     167788 | PA      | $154247.99    | 0.01%             | 2030-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                             | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397ZT3<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97544.71     | 0.01%             | 2026-02-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                             | Bear Stearns ALT-A Trust 2006-6                                                                                        | CUSIP: 073868AM3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | ABS-MBS          | CORP              | US        |     124056 | PA      | $56841.45     | 0.01%             | 2036-11-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                                | Gray Oak Pipeline LLC                                                                                                  | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $442186.93    | 0.04%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                  | Intesa Sanpaolo SpA                                                                                                    | CUSIP: 46115HBJ5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     300000 | PA      | $284541.10    | 0.03%             | 2024-09-23      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                              | Standard Industries Inc/NJ                                                                                             | CUSIP: 000000000<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1182855.04   | 0.11%             | 2026-11-21      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                 | OneMain Finance Corp                                                                                                   | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $910767.00    | 0.08%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TP ICAP FINANCE PLC                                  | TP ICAP Finance PLC                                                                                                    | CUSIP: 000000000<br>LEI: 5493009UWRK48KKUD358 | Long             | DBT              | CORP              | GB        |    3700000 | PA      | $4363264.60   | 0.39%             | 2024-01-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Setanta Aircraft Leasing Designated Activity Company | Setanta Aircraft Leasing Designated Activity Company Term Loan B                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | IE        |    4000000 | PA      | $3974000.00   | 0.36%             | 2028-11-05      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                               | Lumen Technologies Inc                                                                                                 | CUSIP: 156700BC9<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |     100000 | PA      | $84745.25     | 0.01%             | 2027-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRUST FIBRAUNO                                       | Trust Fibra Uno                                                                                                        | CUSIP: 898339AB2<br>LEI: N/A                  | Long             | DBT              |  | MX        |     200000 | PA      | $161433.53    | 0.01%             | 2050-01-15      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                  | Petroleos Mexicanos                                                                                                    | CUSIP: 706451BR1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    2000000 | PA      | $1369106.56   | 0.12%             | 2038-06-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                             | Ford Motor Credit Co LLC                                                                                               | CUSIP: 000000000<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     100000 | PA      | $105031.86    | 0.01%             | 2023-11-15      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                | Southwest Airlines Co                                                                                                  | CUSIP: 844741BJ6<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1003717.78   | 0.09%             | 2025-05-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                          | GSAMP Trust 2007-NC1                                                                                                   | CUSIP: 3622MGAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      12343 | PA      | $6084.34      | 0.00%             | 2046-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                          | Long: SWPC0IM53 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IM53 CDS EUR P V 03MEVENT FLO CORPORATE               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     600000 | OU      | $-15972.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIR 2014-1 A PTT                              | United Airlines 2014-1 Class A Pass Through Trust                                                                      | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     588639 | PA      | $546887.84    | 0.05%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                                                               | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    6663000 | PA      | $4459751.99   | 0.40%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019                                 | Huarong Finance 2019 Co Ltd                                                                                            | CUSIP: 000000000<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |    1100000 | PA      | $1056002.22   | 0.09%             | 2023-09-30      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLD                               | Corestate Capital Holding SA                                                                                           | CUSIP: 000000000<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |     700000 | PA      | $99706.80     | 0.01%             | 2023-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC Series 2014-6R                                                                                                    | CUSIP: 12648PAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167760 | PA      | $139410.06    | 0.01%             | 2035-09-27      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2007-9T1                                                                                        | CUSIP: 02150JAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215174 | PA      | $103752.24    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                 | OneMain Finance Corp                                                                                                   | CUSIP: 85172FAN9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1331232.00   | 0.12%             | 2026-03-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                               | CHL Mortgage Pass-Through Trust 2006-OA4                                                                               | CUSIP: 126694F29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900007 | PA      | $256892.34    | 0.02%             | 2046-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                | CWABS Asset-Backed Certificates Trust 2007-1                                                                           | CUSIP: 23245CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8979 | PA      | $8781.64      | 0.00%             | 2037-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| STYROLUTION                                          | INEOS Styrolution Group GmbH                                                                                           | CUSIP: 000000000<br>LEI: 5299003M4PGUGL48LS74 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $173412.82    | 0.02%             | 2027-01-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                             | Banco Bilbao Vizcaya Argentaria SA                                                                                     | CUSIP: 000000000<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    1600000 | PA      | $1664708.24   | 0.15%             | 2024-03-29      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANQUE OUEST AFRICAINE D                             | Banque Ouest Africaine de Developpement                                                                                | CUSIP: 000000000<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | NUSS              | XX        |     500000 | PA      | $401846.74    | 0.04%             | 2033-01-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED GROUP BV                                      | United Group BV                                                                                                        | CUSIP: 000000000<br>LEI: 213800PC85O8BJ7DU398 | Long             | DBT              | CORP              | NL        |    1000000 | PA      | $766677.34    | 0.07%             | 2030-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CENTRAIS ELETRICAS BRASI                             | Centrais Eletricas Brasileiras SA                                                                                      | CUSIP: 15236FAB6<br>LEI: 254900I8KYDELP4B4Z08 | Long             | DBT              | CORP              | BR        |     300000 | PA      | $262500.00    | 0.02%             | 2030-02-04      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                              | Park Aerospace Holdings Ltd                                                                                            | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |     112000 | PA      | $110539.47    | 0.01%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                             | Cheniere Corpus Christi Holdings LLC                                                                                   | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98792.81     | 0.01%             | 2027-06-30      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWPC0KC00 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0KC00 CDS USD P V 03MEVENT 2 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   49772000 | OU      | $-1945405.31  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK ST URBAN DEV CORP REV                       | New York State Urban Development Corp                                                                                  | CUSIP: 650035TD0<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |     100000 | PA      | $102694.84    | 0.01%             | 2039-03-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                        | Mastr Asset Backed Securities Trust 2004-WMC2                                                                          | CUSIP: 57643LDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83098 | PA      | $80015.25     | 0.01%             | 2034-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 14-1 A PTT                                | American Airlines 2014-1 Class A Pass Through Trust                                                                    | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     172719 | PA      | $149065.31    | 0.01%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                         | Barclays PLC                                                                                                           | CUSIP: 06738EBN4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $456250.00    | 0.04%             | 2025-12-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| PETRORIO LUX TRAD SARL                               | Petrorio Luxembourg Trading Sarl                                                                                       | CUSIP: 71677WAA0<br>LEI: 222100466T5WZDU1B498 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $190352.00    | 0.02%             | 2026-06-09      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-1 AA PTT                             | American Airlines 2016-1 Class AA Pass Through Trust                                                                   | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     785817 | PA      | $701443.93    | 0.06%             | 2028-01-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                     | Altice France SA/France                                                                                                | CUSIP: 000000000<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $320186.00    | 0.03%             | 2029-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                        | PURCHASED ZAR / SOLD USD                                                                                               | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | ZA        |          1 | NC      | $1931.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TEVA PHARM FNC NL II                                 | Teva Pharmaceutical Finance Netherlands II BV                                                                          | CUSIP: 000000000<br>LEI: 549300HSQCIKJAOYIT23 | Long             | DBT              | CORP              | NL        |    2000000 | PA      | $1761728.65   | 0.16%             | 2030-05-09      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                         | Broadcom Inc                                                                                                           | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     700000 | PA      | $551333.16    | 0.05%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                                      | Saranac Clo VI Ltd                                                                                                     | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | JE        |    2900000 | PA      | $2802953.70   | 0.25%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1486731.94   | 0.13%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                             | Kaisa Group Holdings Ltd                                                                                               | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |     400000 | PA      | $54304.82     | 0.00%             | 2023-07-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                        | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $145189.81    | 0.01%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                             | PURCHASED USD / SOLD GBP                                                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-47576.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                              | Nissan Motor Acceptance Co LLC                                                                                         | CUSIP: 654740BS7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     400000 | PA      | $343991.05    | 0.03%             | 2026-03-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                         | ING Groep NV                                                                                                           | CUSIP: 456837AR4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    1800000 | PA      | $1597292.96   | 0.14%             | 2026-11-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LTD                             | Sunac China Holdings Ltd                                                                                               | CUSIP: 000000000<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |    2600000 | PA      | $533000.00    | 0.05%             | 2022-06-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                              | GSR Mortgage Loan Trust 2006-2F                                                                                        | CUSIP: 362334BP8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |      71980 | PA      | $37395.26     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Adient US LLC                                        | Adient US LLC 2021 Term Loan B                                                                                         | CUSIP: 00687MAC5<br>LEI: 213800SOTRCDGZUHL712 | Long             | LON              | CORP              | US        |    6599500 | PA      | $6519052.10   | 0.59%             | 2028-04-10      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                             | Constellation Brands Inc                                                                                               | CUSIP: 21036PAQ1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     200000 | PA      | $190177.62    | 0.02%             | 2026-12-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                | Long: SWU018TU2 IRS CAD R F   .88000 SWU018TU2 CCPVANILLA / Short: SWU018TU2 IRS CAD P V 03MCDOR SWUV18TU4 CCPVANILLA  | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |   12600000 | OU      | $-419564.18   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                          | Long: BWU01I5D4 IRS JPY R V 12MTONAR SWUV1I5D6 CCPOIS / Short: BWU01I5D4 IRS JPY P F   .40000 SWU01I5D4 CCPOIS         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1460000000 | OU      | $487661.59    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                     | Antares Holdings LP                                                                                                    | CUSIP: 03666HAD3<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |     250000 | PA      | $200268.72    | 0.02%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308JU2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $74022.04     | 0.01%             | 2041-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                         | ING Groep NV                                                                                                           | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     900000 | PA      | $864945.00    | 0.08%             | 2024-04-16      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                              | Imperial Brands Finance PLC                                                                                            | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    2200000 | PA      | $2189360.27   | 0.20%             | 2027-07-27      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Cairn CLO DAC                                        | Cairn CLO IV DAC                                                                                                       | CUSIP: 000000000<br>LEI: 549300VMYEUTDDTG7712 | Long             | ABS-CBDO         | CORP              | IE        |     296033 | PA      | $308296.20    | 0.03%             | 2031-04-30      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                     | Deutsche Bank AG/New York NY                                                                                           | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $151586.57    | 0.01%             | 2032-05-28      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| OMAN GOV INTERNTL BOND                               | Oman Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     900000 | PA      | $902016.00    | 0.08%             | 2029-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| YANGO JUSTICE INTL                                   | Yango Justice International Ltd                                                                                        | CUSIP: 000000000<br>LEI: 3003007ELD2HAYCXPT77 | Long             | DBT              | CORP              | HK        |    4200000 | PA      | $111300.00    | 0.01%             | 2024-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ABU DHABI GOVT INT'L                                 | Abu Dhabi Government International Bond                                                                                | CUSIP: 29135LAN0<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |    3700000 | PA      | $2298839.60   | 0.21%             | 2070-09-02      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2005-J1                                                                                         | CUSIP: 12667F3U7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94069 | PA      | $89928.43     | 0.01%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                             | Long: SWPC0KQT2 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0KQT2 CDS USD P V 03MEVENT FLO SOVEREIGN               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |     100000 | OU      | $-767.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                     | CUSIP: 29273RAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     100000 | PA      | $93901.80     | 0.01%             | 2041-06-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Invesco Euro CLO                                     | Invesco Euro Clo III DAC                                                                                               | CUSIP: 000000000<br>LEI: 549300UGKXS54R7N7T14 | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $513903.48    | 0.05%             | 2032-07-15      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                | CWABS Asset-Backed Certificates Trust 2004-9                                                                           | CUSIP: 126673GS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      72041 | PA      | $71289.56     | 0.01%             | 2034-11-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                | Indonesia Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    2200000 | PA      | $2282530.59   | 0.21%             | 2028-06-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                     | Vmed O2 UK Financing I PLC                                                                                             | CUSIP: 000000000<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $367569.19    | 0.03%             | 2031-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WP/AP Telecom Holdings IV B.V.                       | WP/AP Telecom Holdings IV B.V. EUR Term Loan                                                                           | CUSIP: 000000000<br>LEI: 7245000O9YOLPPM9YB33 | Long             | LON              | CORP              | NL        |    5800000 | PA      | $5942133.64   | 0.53%             | 2029-03-30      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                   | Ukraine Government International Bond                                                                                  | CUSIP: 90372UAR5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     900000 | PA      | $170325.00    | 0.02%             | 2031-05-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                               | Federal Home Loan Banks                                                                                                | CUSIP: 3130ATJT5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   10700000 | PA      | $10699994.44  | 0.96%             | 2023-01-06      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                     | Deutsche Bank AG/New York NY                                                                                           | CUSIP: 25160PAE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     400000 | PA      | $345313.84    | 0.03%             | 2031-07-08      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                    | PURCHASED USD / SOLD HUF                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-11677.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                   | Ukraine Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1600000 | PA      | $301866.76    | 0.03%             | 2032-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SBERBANK (SB CAP SA)                                 | Sberbank of Russia Via SB Capital SA                                                                                   | CUSIP: 000000000<br>LEI: 222100YFG9QVABDS2B03 | Long             | DBT              | CORP              | LU        |    4500000 | PA      | $594281.25    | 0.05%             | 2023-05-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                               | CHL Mortgage Pass-Through Trust 2006-OA4                                                                               | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33963 | PA      | $10695.36     | 0.00%             | 2046-04-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                     | CUSIP: 29273RAF6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     500000 | PA      | $501242.45    | 0.05%             | 2036-10-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2004-28CB                                                                                       | CUSIP: 12667FYU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9884 | PA      | $9258.47      | 0.00%             | 2035-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                         | Barclays PLC                                                                                                           | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $523900.62    | 0.05%             | 2033-11-02      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                              | MPLX LP                                                                                                                | CUSIP: 55336VBN9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94492.15     | 0.01%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Pertamina Persero PT                                 | Pertamina Persero PT                                                                                                   | CUSIP: 69370PAC5<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |    3800000 | PA      | $3790832.58   | 0.34%             | 2048-11-07      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                             | Ford Motor Credit Co LLC                                                                                               | CUSIP: 345397A52<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $204162.55    | 0.02%             | 2024-07-19      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                       | BCAP LLC 2009-RR5 Trust                                                                                                | CUSIP: 05531UAV2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-MBS          | CORP              | US        |    2069732 | PA      | $1004264.63   | 0.09%             | 2036-08-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                          | Ivory Coast Government International Bond                                                                              | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     500000 | PA      | $450279.23    | 0.04%             | 2030-03-22      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Nakilat Inc                                          | Nakilat Inc                                                                                                            | CUSIP: Y62014AA6<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |     920080 | PA      | $946952.48    | 0.09%             | 2033-12-31      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc                                   | Ally Financial Inc                                                                                                     | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    1371000 | PA      | $1415346.74   | 0.13%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Corp                                | Freedom Mortgage Corp                                                                                                  | CUSIP: 35640YAA5<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    3560000 | PA      | $3275200.00   | 0.29%             | 2024-11-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                 | OneMain Finance Corp                                                                                                   | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     700000 | PA      | $522297.73    | 0.05%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                           | Morgan Stanley ABS Capital I Inc Trust 2005-NC1                                                                        | CUSIP: 61744CMJ2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | ABS-MBS          | CORP              | US        |     784058 | PA      | $771908.57    | 0.07%             | 2035-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS S A                        | INTELSAT JACKSON HOLDINGS S A                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |        986 | NS      | $7395.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BCAP LLC Trust                                       | BCAP LLC 2009-RR14 Trust                                                                                               | CUSIP: 05532LAD1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-MBS          | CORP              | US        |      16749 | PA      | $14410.89     | 0.00%             | 2036-07-26      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                             | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                                    | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1129104.00   | 0.10%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LIFEPT/LEGACY LIFEPT                                 | RegionalCare Hospital Partners Holdings Inc / LifePoint Health Inc                                                     | CUSIP: 53219LAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $402355.00    | 0.04%             | 2026-12-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| YANGO JUSTICE INTL                                   | Yango Justice International Ltd                                                                                        | CUSIP: 000000000<br>LEI: 3003007ELD2HAYCXPT77 | Long             | DBT              | CORP              | HK        |     600000 | PA      | $15900.00     | 0.00%             | 2024-09-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                             | Electricite de France SA                                                                                               | CUSIP: 268317AU8<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     900000 | PA      | $851868.49    | 0.08%             | 2028-09-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JAGUAR LAND ROVER AUTOMO                             | Jaguar Land Rover Automotive PLC                                                                                       | CUSIP: 000000000<br>LEI: 529900L73GEWN1O5NH84 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $904925.89    | 0.08%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                        | Aircastle Ltd                                                                                                          | CUSIP: 00928QAT8<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    2400000 | PA      | $2308170.58   | 0.21%             | 2025-08-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                   | Panama Government International Bond                                                                                   | CUSIP: 698299AT1<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     100000 | PA      | $119175.00    | 0.01%             | 2034-04-28      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust            | First Horizon Mortgage Pass-Through Trust 2007-2                                                                       | CUSIP: 320520AE9<br>LEI: TF3RXI1ZB1TQ30H9JV10 | Long             | ABS-MBS          | CORP              | US        |     161578 | PA      | $72906.34     | 0.01%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                | Indonesia Government International Bond                                                                                | CUSIP: Y20721BM0<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    1800000 | PA      | $1737120.83   | 0.16%             | 2045-01-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                             | Western Midstream Operating LP                                                                                         | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1135464.00   | 0.10%             | 2025-02-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                                | Rio Oil Finance Trust Series 2014-1                                                                                    | CUSIP: U76673AA7<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |     540599 | PA      | $546005.29    | 0.05%             | 2024-07-06      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                     | CVC Cordatus Loan Fund XI DAC                                                                                          | CUSIP: 000000000<br>LEI: 6354003WWBLW5OLHF232 | Long             | ABS-CBDO         | CORP              | IE        |     800000 | PA      | $828287.96    | 0.07%             | 2031-10-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Atlantia SpA                                         | Atlantia SpA                                                                                                           | CUSIP: 000000000<br>LEI: 8156008DEC771409C487 | Long             | DBT              | CORP              | IT        |     400000 | PA      | $361773.39    | 0.03%             | 2027-07-13      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                    | PURCHASED USD / SOLD CAD                                                                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $8858.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                     | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     200000 | PA      | $159786.17    | 0.01%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                            | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $177881.73    | 0.02%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                  | LCM XV LP                                                                                                              | CUSIP: 50184NAR3<br>LEI: 549300HV40B88JRNJD93 | Long             | ABS-CBDO         | CORP              | KY        |    1733694 | PA      | $1703422.64   | 0.15%             | 2030-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                | Venezuela Government International Bond                                                                                | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     200000 | PA      | $16000.00     | 0.00%             | 2024-10-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Grifols, S.A.                                        | Grifols, S.A. EUR 2019 Term Loan B                                                                                     | CUSIP: 39843PAH6<br>LEI: 959800HSSNXWRKBK4N60 | Long             | LON              | CORP              | ES        |    1850815 | PA      | $1863164.01   | 0.17%             | 2027-11-15      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| UPC BROADBAND FINCO BV                               | UPC Broadband Finco BV                                                                                                 | CUSIP: 90320BAA7<br>LEI: 213800MNFBDEQRS6HZ22 | Long             | DBT              | CORP              | NL        |    4800000 | PA      | $3992616.00   | 0.36%             | 2031-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Bill                                                                                            | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    3574000 | PA      | $3549592.08   | 0.32%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                   | Wells Fargo Alternative Loan 2007-PA4 Trust                                                                            | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24162 | PA      | $21068.76     | 0.00%             | 2037-07-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-01

**Name of Applicant:** NORTHWESTERN MUTUAL SERIES FUND INC

**Signature:** Phillip Rinzel

**Name of Signer:** Phillip Rinzel

**Title:** Controller and Chief Accounting Officer