# EDGAR Filing Document

**Accession Number:** 0000893818
**File Stem:** 0001752724-25-157815
**Filing Date:** 2025-6
**Character Count:** 1798281
**Document Hash:** 766b0b48f5e3bf1a54512d41a81ec13a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-157815.hdr.sgml**: 20250626

**ACCESSION NUMBER**: 0001752724-25-157815

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250626

**DATE AS OF CHANGE**: 20250626

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Funds III
- **CENTRAL INDEX KEY:** 0000893818

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07332
- **FILM NUMBER:** 251076962

**BUSINESS ADDRESS:**
- **STREET 1:** 400 HOWARD STREET
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94105
- **BUSINESS PHONE:** 8006439691

**MAIL ADDRESS:**
- **STREET 1:** 400 HOWARD STREET
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BARCLAYS GLOBAL INVESTORS FUNDS
- **DATE OF NAME CHANGE:** 20060201

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BARCLAYS GLOBAL INVESTORS FUNDS INC
- **DATE OF NAME CHANGE:** 19990804

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MASTERWORKS FUNDS INC
- **DATE OF NAME CHANGE:** 19960607

## Series and Classes Contracts Data

### BlackRock Diversified Fixed Income Fund (Series ID: S000079204)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000244506 | Institutional Shares |  |
| C000244507 | Class K Shares       |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Funds III

- **b. Investment Company Act file number:** 811-07332

- **c. CIK number of Registrant:** 0000893818

- **d. LEI of Registrant:** 5493008LW2651I1QB503

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock Diversified Fixed Income Fund

- **b. EDGAR series identifier (if any):** S000079204

- **c. LEI of Series:** 549300SEQK2DPV0R7O94

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1649192784.83

**Total Liabilities:** $416742196.78

**Net Assets:** $1232450588.05

**Delayed Delivery Securities:** $37026371.84

**Cash Not Reported:** $21999376.29

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 22981.27000000 | **1-Year:** 10282.42000000 | **5-Year:** 188519.76000000 | **10-Year:** 135015.50000000 | **30-Year:** 89298.46000000

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

- **3-Month:** 16965.33000000 | **1-Year:** -18203.04000000 | **5-Year:** 93877.39000000 | **10-Year:** -3637.29000000 | **30-Year:** -42316.11000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000244507 | 2.01%                | -0.21%               | 0.41%                |
| Class ID C000244506 | 1.90%                | -0.08%               | 0.40%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1886106.14              | $16424924.11                               |
| Month 2  | $3195922.53              | $-9516238.25                               |
| Month 3  | $-1027830.45             | $-775319.41                                |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Bond Index

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| LCH Ltd.                                                                         | FSWP: ZAR 7.918000 17-SEP-2030 JIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5000000 | OU      | $3416.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Micron Technology Inc                                                            | Micron Technology Inc                                                            | CUSIP: 595112BN2<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |      125000 | PA      | $126686.59    | 0.01%             | 2029-02-06      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.502970 18-JUN-2055 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1160232 | OU      | $-39247.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                          | Jane Street Group / JSG Finance Inc                                              | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      110000 | PA      | $110518.18    | 0.01%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DNE41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      539643 | PA      | $458130.78    | 0.04%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                      | CUSIP: 03073EAT2<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |      350000 | PA      | $313163.90    | 0.03%             | 2031-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                              | GS Mortgage-Backed Securities Trust 2022-NQM1                                    | CUSIP: 36264EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       68585 | PA      | $62608.49     | 0.01%             | 2062-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-576.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                                 | CIFC Funding 2021-I Ltd                                                          | CUSIP: 12563EAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250093.20    | 0.02%             | 2037-07-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-891.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                   | Mastercard Inc                                                                   | CUSIP: 57636QAT1<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |      460000 | PA      | $300664.74    | 0.02%             | 2051-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Valero Energy Corp                                                               | Valero Energy Corp                                                               | CUSIP: 91913YAE0<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |       25000 | PA      | $27987.42     | 0.00%             | 2032-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |           1 | NC      | $953.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      303000 | PA      | $306929.53    | 0.02%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                               | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |       60000 | PA      | $43233.35     | 0.00%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4500000 | PA      | $3991464.86   | 0.32%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179YKQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1405489 | PA      | $1347546.89   | 0.11%             | 2053-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                                                            | Universal Health Services Inc                                                    | CUSIP: 913903BC3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |      370000 | PA      | $345574.90    | 0.03%             | 2034-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSFD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38017 | PA      | $38304.69     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 5.678000 17-SEP-2030 INR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    67000000 | OU      | $2365.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SE        |           1 | NC      | $5035.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      580000 | PA      | $590808.51    | 0.05%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | TH        |           1 | NC      | $-203.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $150.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QUVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      560495 | PA      | $577464.69    | 0.05%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      480188 | PA      | $425268.63    | 0.03%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                      | CUSIP: 68389XAW5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       65000 | PA      | $53450.97     | 0.00%             | 2044-07-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TALOS PRODUCTION INC                                                             | Talos Production Inc                                                             | CUSIP: 87485LAE4<br>LEI: 549300GZ2DZZE2Y8TX15 | Long             | DBT              | CORP              | US        |      204000 | PA      | $191806.14    | 0.02%             | 2031-02-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: —       |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CZK                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-3329.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060667<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -6299000 | PA      | $-6385593.11  | -0.52%            | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-574.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XBJ8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |       20000 | PA      | $18468.65     | 0.00%             | 2028-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                               | Union Pacific Corp                                                               | CUSIP: 907818FH6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      185000 | PA      | $169619.95    | 0.01%             | 2030-02-05      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-315.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-17050.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2118000 | PA      | $1972552.96   | 0.16%             | 2027-08-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                          | Dell International LLC / EMC Corp                                                | CUSIP: 24703TAF3<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |       65000 | PA      | $67091.35     | 0.01%             | 2027-07-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $79878.91     | 0.01%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED CLP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CL        |           1 | NC      | $-777.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                              | Affirm Master Trust                                                              | CUSIP: 00833BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      640000 | PA      | $641281.92    | 0.05%             | 2033-02-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ADB8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      270000 | PA      | $260639.42    | 0.02%             | 2054-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUND FUTURE JUN25                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -245 | NC      | $-745642.37   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179VQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      278414 | PA      | $247219.02    | 0.02%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                     | Comcast Corp                                                                     | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      300000 | PA      | $299234.21    | 0.02%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Betony CLO 2, Ltd.                                                               | Betony CLO 2 Ltd                                                                 | CUSIP: 08763QAA0<br>LEI: 5493000QRX4XEMRJZO43 | Long             | ABS-CBDO         | CORP              | KY        |       91419 | PA      | $91408.57     | 0.01%             | 2031-04-30      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QTC72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      696461 | PA      | $685869.26    | 0.06%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                      | CUSIP: 85571BBB0<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |       48000 | PA      | $49777.19     | 0.00%             | 2029-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                           | Boardwalk Pipelines LP                                                           | CUSIP: 096630AG3<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25036.19     | 0.00%             | 2029-05-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                                  | Republic Finance Issuance Trust 2024-B                                           | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      200000 | PA      | $202411.36    | 0.02%             | 2037-11-20      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      195000 | PA      | $159131.87    | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       87064 | PA      | $87009.74     | 0.01%             | 2041-04-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                     | CSMC 2022-NQM6 Trust                                                             | CUSIP: 12663YAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      158235 | PA      | $157855.69    | 0.01%             | 2067-12-25      | Variable      | 8.62%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                           | Mizuho Financial Group Inc                                                       | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $204148.37    | 0.02%             | 2028-09-13      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                         | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      101663 | PA      | $99454.12     | 0.01%             | 2062-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XTCF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      801114 | PA      | $669609.59    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132E0GS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      434808 | PA      | $423501.95    | 0.03%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                                             | Colombian TES                                                                    | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   196600000 | PA      | $42513.38     | 0.00%             | 2027-11-03      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-993.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                             | Cleveland-Cliffs Inc                                                             | CUSIP: 185899AR2<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      165000 | PA      | $155110.65    | 0.01%             | 2033-05-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      479000 | PA      | $421968.23    | 0.03%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Chevron Corp                                                                     | Chevron Corp                                                                     | CUSIP: 166764BD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       50000 | PA      | $49762.56     | 0.00%             | 2025-11-17      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                            | MidAmerican Energy Co                                                            | CUSIP: 595620AY1<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |       30000 | PA      | $30329.99     | 0.00%             | 2054-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                      | Prologis LP                                                                      | CUSIP: 74340XCF6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |       40000 | PA      | $37070.78     | 0.00%             | 2053-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWP: OIS 13.940000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     5000000 | OU      | $-14856.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.934500 18-JUN-2035 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     2330466 | OU      | $-61723.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                     | CUSIP: 053332BH4<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |      175000 | PA      | $190072.39    | 0.02%             | 2033-11-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SBK8<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      219000 | PA      | $167924.89    | 0.01%             | 2050-05-06      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.367500 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   462164764 | OU      | $2100.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                            | CUSIP: 73358WEK6<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      110000 | PA      | $101719.44    | 0.01%             | 2051-10-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      230000 | PA      | $231180.59    | 0.02%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      130000 | PA      | $127033.77    | 0.01%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                                                         | Baxter International Inc                                                         | CUSIP: 071813BY4<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19282.24     | 0.00%             | 2030-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                      | Equinix Inc                                                                      | CUSIP: 29444UBL9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |       50000 | PA      | $46170.18     | 0.00%             | 2028-03-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DVMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      329742 | PA      | $310748.36    | 0.03%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QUHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      461467 | PA      | $469378.31    | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-851.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CNY 1.553000 17-SEP-2030 CNR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1000000 | OU      | $-1086.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                  | CUSIP: 842587CW5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |       21000 | PA      | $19024.61     | 0.00%             | 2036-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2024 VLT4                                                               | BX TRUST 2024 VLT4                                                               | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60000 | PA      | $57597.59     | 0.00%             | 2029-07-15      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                                                         | Prudential Financial Inc                                                         | CUSIP: 74432QCF0<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |      170000 | PA      | $123140.57    | 0.01%             | 2051-03-13      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                 | LPL Holdings Inc                                                                 | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |      655000 | PA      | $647689.19    | 0.05%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | EUR/CZK One-touch barrier option; Barrier price EUR 24.50000                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |       11000 | OU      | $566.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |           1 | NC      | $174.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                               | Expand Energy Corp                                                               | CUSIP: 92735LAA0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      382000 | PA      | $384775.63    | 0.03%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TYSN 2023-CRNR Mortgage Trust                                                    | TYSN 2023-CRNR Mortgage Trust                                                    | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      376000 | PA      | $396441.50    | 0.03%             | 2033-12-10      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NO        |           1 | NC      | $389.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | TRSWAP: GSISDRV5 BASKET 06-MAY-25                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               |  | US        |      479143 | OU      | $-13446.81    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DVLD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1131158 | PA      | $1001452.06   | 0.08%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                             | Glencore Funding LLC                                                             | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      158000 | PA      | $168300.39    | 0.01%             | 2030-10-06      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED CLP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CL        |           1 | NC      | $-375.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |           1 | NC      | $1893.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11179000 | PA      | $10417083.52  | 0.85%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133USJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      328068 | PA      | $262795.72    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NOVANT HEALTH INC                                                                | Novant Health Inc                                                                | CUSIP: 66988AAG9<br>LEI: 549300ZUXEGFGE8EP917 | Long             | DBT              | CORP              | US        |       50000 | PA      | $39275.97     | 0.00%             | 2036-11-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE SECURED LEND                                                          | Blackstone Secured Lending Fund                                                  | CUSIP: 09261XAG7<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |      150000 | PA      | $137101.63    | 0.01%             | 2028-09-30      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC                                                             | Waste Management Inc                                                             | CUSIP: 94106LBY4<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |      535000 | PA      | $547674.82    | 0.04%             | 2031-07-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | JP        |           1 | NC      | $3952.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $195.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X9GK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      223033 | PA      | $210193.40    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAP LLC                                                           | CNH Industrial Capital LLC                                                       | CUSIP: 12592BAR5<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51386.99     | 0.00%             | 2029-01-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                                                  | Cameron LNG LLC                                                                  | CUSIP: 133434AC4<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |       35000 | PA      | $29250.16     | 0.00%             | 2038-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | Bank of America Corp                                                             | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      240000 | PA      | $236552.70    | 0.02%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F012452<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1351000 | PA      | $1192185.24   | 0.10%             | 2039-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | USD/CNH Up-and-out barrier option; Barrier price USD 7.74000                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |       99000 | OU      | $196.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intuit Inc                                                                       | Intuit Inc                                                                       | CUSIP: 461202103<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | EC               | CORP              | US        |          63 | NS      | $39530.61     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                               | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      800000 | PA      | $825042.26    | 0.07%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                                                                 | NetCredit Combined Receivables 2024 LLC                                          | CUSIP: 64113EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      354075 | PA      | $356165.00    | 0.03%             | 2030-10-21      | Fixed         | 7.43%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                      | PepsiCo Inc                                                                      | CUSIP: 713448FY9<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |       75000 | PA      | $75014.23     | 0.01%             | 2034-07-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $190.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CA        |           1 | NC      | $1421.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CLL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       37000 | PA      | $36829.45     | 0.00%             | 2027-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.330000 28-APR-2055 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      449700 | OU      | $1705.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QS5C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46719 | PA      | $48705.86     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPJW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1302827 | PA      | $1038467.90   | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46625HHF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       25000 | PA      | $27439.38     | 0.00%             | 2038-05-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $30.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: SEK 2.743000 17-SEP-2030 3M                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    10000000 | OU      | $19993.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                     | CUSIP: 65473PAQ8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |       80000 | PA      | $80528.09     | 0.01%             | 2034-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ALLEGIANT TRAVEL CO                                                              | Allegiant Travel Co                                                              | CUSIP: 01748XAD4<br>LEI: 549300JM9OZXOHWL2K18 | Long             | DBT              | CORP              | US        |       73000 | PA      | $67425.46     | 0.01%             | 2027-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley & Co. International PLC                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | MX        |           1 | NC      | $2219.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ECD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      742977 | PA      | $674933.65    | 0.05%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                  | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |       30000 | PA      | $30187.70     | 0.00%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: SEK 2.732000 17-SEP-2030 3M                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    20000000 | OU      | $38923.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                  | CUSIP: 718172DE6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       90000 | PA      | $93367.06     | 0.01%             | 2033-09-07      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                                                           | Puget Sound Energy Inc                                                           | CUSIP: 745332CL8<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9441.15      | 0.00%             | 2053-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      794000 | PA      | $808382.54    | 0.07%             | 2031-04-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | NO        |           1 | NC      | $605.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Warner Bros Discovery Inc                                                        | Warner Bros Discovery Inc                                                        | CUSIP: 934423104<br>LEI: 5493006ZCRFWKF6B1K26 | Long             | EC               | CORP              | US        |        3488 | NS      | $30240.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SA                                                                   | SWAP/CDSWAP/SCDS: (MEX)                                                          | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DCR              |  | US        |       31900 | OU      | $547.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chile Government International Bonds                                             | Chile Government International Bonds                                             | CUSIP: 168863DW5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |      200000 | PA      | $150650.00    | 0.01%             | 2052-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                         | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      990000 | PA      | $925387.23    | 0.08%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                                    | MASTR Reperforming Loan Trust 2005-1                                             | CUSIP: 576436AT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      337881 | PA      | $236439.66    | 0.02%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        2000 | PA      | $2057.19      | 0.00%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                                                          | Fidelity National Information Services Inc                                       | CUSIP: 31620MBR6<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |       35000 | PA      | $33987.66     | 0.00%             | 2026-03-01      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133WGB95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28708 | PA      | $29756.09     | 0.00%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                                              | Dominion Energy Inc                                                              | CUSIP: 25746UCZ0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |       64000 | PA      | $51148.55     | 0.00%             | 2049-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | USD/INR One-touch barrier option; Barrier price USD 88.00000                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | KY        |        5000 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-1155.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                         | Constellation Brands Inc                                                         | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      105000 | PA      | $102873.70    | 0.01%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                    | CUSIP: 829259BF6<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |      122000 | PA      | $73816.45     | 0.01%             | 2032-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co                                                                 | Alabama Power Co                                                                 | CUSIP: 010392FP8<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |       29000 | PA      | $24013.39     | 0.00%             | 2046-01-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Kinross Gold Corp                                                                | Kinross Gold Corp                                                                | CUSIP: 496902AQ0<br>LEI: 549300UEBMAQDN0K0R06 | Long             | DBT              | CORP              | CA        |       20000 | PA      | $19965.09     | 0.00%             | 2027-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2023-XL3                                            | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      276379 | PA      | $276552.11    | 0.02%             | 2040-12-09      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                   | European Union                                                                   | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |     3504292 | PA      | $3485796.52   | 0.28%             | 2053-03-04      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                           | CUSIP: 237194AQ8<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |      205000 | PA      | $203646.80    | 0.02%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                 | CUSIP: 22822VAV3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |       65000 | PA      | $62217.28     | 0.01%             | 2026-07-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED HUF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | HU        |           1 | NC      | $1249.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                  | Impac CMB Trust Series 2007-A                                                    | CUSIP: 452550AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55820 | PA      | $53164.78     | 0.00%             | 2037-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13951000 | PA      | $13655465.08  | 1.11%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-6108.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DTAA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      266851 | PA      | $273400.68    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                                 | CIFC Funding 2019-VI Ltd                                                         | CUSIP: 12555XAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.02%             | 2037-07-16      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                                | PRPM 2025-NQM1 Trust                                                             | CUSIP: 74391EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      113447 | PA      | $115561.65    | 0.01%             | 2069-11-25      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-1                                     | CUSIP: 96042XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      570000 | PA      | $584148.03    | 0.05%             | 2028-11-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                      | Netflix Inc                                                                      | CUSIP: 64110LBA3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |       60000 | PA      | $58215.24     | 0.00%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $267.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                                                         | Northern States Power Co/MN                                                      | CUSIP: 665772CX5<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |      120000 | PA      | $109355.63    | 0.01%             | 2053-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                         | DK Trust 2024-SPBX                                                               | CUSIP: 23346LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       72000 | PA      | $71910.00     | 0.01%             | 2034-03-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                       | Intel Corp                                                                       | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      100000 | PA      | $89071.15     | 0.01%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| REVVITY INC                                                                      | Revvity Inc                                                                      | CUSIP: 714046AG4<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |       25000 | PA      | $23563.90     | 0.00%             | 2029-09-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1009000 | PA      | $992682.57    | 0.08%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                              | CUSIP: 025816DA4<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48340.19     | 0.00%             | 2033-08-03      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                   | CUSIP: 61746BEG7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       45000 | PA      | $37470.07     | 0.00%             | 2047-01-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                                     | BAMLL Trust 2024-BHP                                                             | CUSIP: 05493WAA0<br>LEI: 5493001M1XQ4INMTAE48 | Long             | ABS-MBS          | CORP              | US        |      120000 | PA      | $120038.21    | 0.01%             | 2039-08-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                                   | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22541SD70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15484 | PA      | $11562.44     | 0.00%             | 2043-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                               | CUSIP: 437076AS1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      195000 | PA      | $207656.65    | 0.02%             | 2036-12-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1016574 | PA      | $866506.70    | 0.07%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                               | CUSIP: 74456QAZ9<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |       60000 | PA      | $49202.49     | 0.00%             | 2042-05-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSQK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62966 | PA      | $64549.88     | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                                                          | Procter & Gamble Co/The                                                          | CUSIP: 742718FK0<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |       25000 | PA      | $18808.19     | 0.00%             | 2050-03-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| WILDFIRE INTERMEDIATE HO                                                         | Wildfire Intermediate Holdings LLC                                               | CUSIP: 96812HAA6<br>LEI: 5493003RHEMQJZEXIR02 | Long             | DBT              | CORP              | US        |       48000 | PA      | $43920.00     | 0.00%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FORTIVE CORPORATION                                                              | Fortive Corp                                                                     | CUSIP: 34959JAG3<br>LEI: 549300MU9YQJYHDQEF63 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24570.39     | 0.00%             | 2026-06-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP                                                                       | Nucor Corp                                                                       | CUSIP: 670346AV7<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |       70000 | PA      | $62801.16     | 0.01%             | 2032-04-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3384978 | PA      | $2855244.80   | 0.23%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                            | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CBL7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      150000 | PA      | $142957.29    | 0.01%             | 2054-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                       | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      225000 | PA      | $182477.70    | 0.01%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA1                                          | CUSIP: 35564KCN7<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | USGSE             | US        |     2023314 | PA      | $2159203.01   | 0.18%             | 2033-08-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                                                           | Puget Sound Energy Inc                                                           | CUSIP: 745332CN4<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29033.53     | 0.00%             | 2054-06-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                           | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |       46000 | PA      | $46706.74     | 0.00%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: —       |
| Citibank NA                                                                      | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-11838.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QKPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      370531 | PA      | $340434.33    | 0.03%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CASE WESTERN RESERVE UNI                                                         | Case Western Reserve University                                                  | CUSIP: 14745XAA6<br>LEI: 2YXI7YIWYFWZG3QHF204 | Long             | DBT              | CORP              | US        |       95000 | PA      | $86299.27     | 0.01%             | 2122-06-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                   | Mastercard Inc                                                                   | CUSIP: 57636QBC7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |      220000 | PA      | $214897.94    | 0.02%             | 2035-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                                   | Palmer Square Loan Funding 2022-1 Ltd                                            | CUSIP: 69701CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       65819 | PA      | $65673.84     | 0.01%             | 2030-04-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                               | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37000 | PA      | $37309.65     | 0.00%             | 2039-06-12      | Fixed         | 8.73%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc                                                                       | Zoetis Inc                                                                       | CUSIP: 98978VAN3<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |      325000 | PA      | $321888.59    | 0.03%             | 2028-08-20      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 29273VBB5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      203000 | PA      | $185421.19    | 0.02%             | 2054-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ADN2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      270000 | PA      | $241586.18    | 0.02%             | 2055-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GMQ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      540000 | PA      | $538840.79    | 0.04%             | 2036-02-12      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED CZK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CZ        |           1 | NC      | $-251.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED EGP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | EG        |           1 | NC      | $747.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       59000 | PA      | $59988.71     | 0.00%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |           1 | NC      | $1792.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-1                                     | CUSIP: 96042XAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      515000 | PA      | $519040.48    | 0.04%             | 2028-08-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                                        | College Ave Student Loans Trust 2024-A                                           | CUSIP: 19424RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      127755 | PA      | $129983.25    | 0.01%             | 2054-06-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGTV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      808813 | PA      | $761996.50    | 0.06%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                                               | Ohio Power Co                                                                    | CUSIP: 677415CR0<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |       64000 | PA      | $47559.06     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDR4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      267000 | PA      | $271139.76    | 0.02%             | 2034-06-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-444.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      254000 | PA      | $255253.11    | 0.02%             | 2029-03-04      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2022-IND                                                                | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       87440 | PA      | $87413.10     | 0.01%             | 2037-04-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| THE CAMPBELLS COMPANY                                                            | The Campbell's Company                                                           | CUSIP: 134429BM0<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25401.38     | 0.00%             | 2027-03-19      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset Backed Notes Trust 2007-Sea2                                         | CUSIP: 12671CAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       31825 | PA      | $24889.05     | 0.00%             | 2047-06-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| 6297782 LLC                                                                      | South Bow USA Infrastructure Holdings LLC                                        | CUSIP: 83007CAA0<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |      115000 | PA      | $115595.42    | 0.01%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| PBF HOLDING CO LLC                                                               | PBF Holding Co LLC / PBF Finance Corp                                            | CUSIP: 69318FAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      118000 | PA      | $97074.75     | 0.01%             | 2030-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| AT&T INC                                                                         | AT&T Inc                                                                         | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      275000 | PA      | $189299.07    | 0.02%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2024-1                                    | CUSIP: 80288AAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      240000 | PA      | $242548.94    | 0.02%             | 2030-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |           1 | NC      | $249.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       65000 | PA      | $65774.25     | 0.01%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-782.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CN        |           1 | NC      | $447.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X9SR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      536402 | PA      | $452155.46    | 0.04%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA7                                          | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | USGSE             | US        |     2394000 | PA      | $2459835.00   | 0.20%             | 2041-11-25      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                             | Verisk Analytics Inc                                                             | CUSIP: 92345YAH9<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51768.27     | 0.00%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $600.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2022-2                                     | CUSIP: 96042VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1050000 | PA      | $1053601.40   | 0.09%             | 2027-09-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                                                   | WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust                        | CUSIP: 92926SAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      386840 | PA      | $137996.36    | 0.01%             | 2037-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-3030.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY                                                                          | Hungary Government International Bond                                            | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |       16000 | PA      | $18489.21     | 0.00%             | 2029-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XLUW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      421732 | PA      | $371421.69    | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | USD C MXN P @22.00000 EO                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |       50000 | OU      | $19.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NETAPP INC                                                                       | NetApp Inc                                                                       | CUSIP: 64110DAL8<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49786.13     | 0.00%             | 2025-06-22      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED COP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CO        |           1 | NC      | $2942.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                                                                | Rakuten Group Inc                                                                | CUSIP: 000000000<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |      400000 | PA      | $421923.98    | 0.03%             | 2029-04-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | USD/JPY Down-and-out barrier option; Barrier price USD 142.00000                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |       72000 | OU      | $1022.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 37 Ltd                                               | Octagon Investment Partners 37 Ltd                                               | CUSIP: 67591VAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248835.55    | 0.02%             | 2030-07-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QQWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77674 | PA      | $79341.71     | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE INC                                                          | CRH America Finance Inc                                                          | CUSIP: 12636YAF9<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |      950000 | PA      | $964425.17    | 0.08%             | 2035-01-09      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $533.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                                    | LGI Homes Inc                                                                    | CUSIP: 50187TAH9<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |       45000 | PA      | $45441.23     | 0.00%             | 2028-12-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                       | CUSIP: 14040HCT0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49142.02     | 0.00%             | 2033-05-10      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                           | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              |  | US        |      469000 | PA      | $455519.35    | 0.04%             | 2029-12-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2022-1                                     | CUSIP: 96042WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1000000 | PA      | $994704.10    | 0.08%             | 2027-03-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPE                                                         | Plains All American Pipeline LP                                                  | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |      460000 | PA      | $460309.93    | 0.04%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QUVH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      598482 | PA      | $608831.77    | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    51448000 | PA      | $52189426.39  | 4.23%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA                                                          | JetBlue 2019-1 Class AA Pass Through Trust                                       | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       30733 | PA      | $26561.66     | 0.00%             | 2032-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      150000 | PA      | $141730.63    | 0.01%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.119220 17-JUN-2031 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4360000 | OU      | $113414.48    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                                           | Santander Holdings USA Inc                                                       | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |      125000 | PA      | $119971.75    | 0.01%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GJW0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      125000 | PA      | $94094.50     | 0.01%             | 2042-04-22      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                                                      | Vistra Corp                                                                      | CUSIP: 92840M102<br>LEI: 549300KP43CPCUJOOG15 | Long             | EC               | CORP              | US        |         681 | NS      | $88278.03     | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| OPEN Trust                                                                       | OPEN Trust 2023-AIR                                                              | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      176995 | PA      | $176884.40    | 0.01%             | 2040-11-15      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                           | Boardwalk Pipelines LP                                                           | CUSIP: 096630AE8<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50647.51     | 0.00%             | 2026-06-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2367900 | PA      | $2276883.84   | 0.18%             | 2026-07-31      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                                          | John Deere Capital Corp                                                          | CUSIP: 24422EXU8<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |       75000 | PA      | $75589.17     | 0.01%             | 2034-06-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                     | US Foods Inc                                                                     | CUSIP: 90290MAH4<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |      139000 | PA      | $145409.29    | 0.01%             | 2032-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                                     | Atrium Hotel Portfolio Trust 2024-ATRM                                           | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      160000 | PA      | $160783.14    | 0.01%             | 2029-11-10      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                                                  | McDonald's Corp                                                                  | CUSIP: 58013MFF6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49570.91     | 0.00%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KRVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      196710 | PA      | $196956.55    | 0.02%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-669.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: SEK 2.685190 17-SEP-2030 3M                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    18000000 | OU      | $30956.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENTING NY LLC/GENNY CAP                                                         | Genting New York LLC / GENNY Capital Inc                                         | CUSIP: 37255JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $199866.17    | 0.02%             | 2029-10-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XNAA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      868973 | PA      | $761046.63    | 0.06%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: PLN 5.127000 19-MAR-2027 WIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      323625 | OU      | $-1346.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      350079 | PA      | $293535.66    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-6404.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8845 | PA      | $6673.57      | 0.00%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                        | Kroger Co/The                                                                    | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |      110000 | PA      | $102895.04    | 0.01%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                                                       | Kenvue Inc                                                                       | CUSIP: 49177JAP7<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |      175000 | PA      | $162450.48    | 0.01%             | 2053-03-22      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| COGENT COMM GROUP LLC                                                            | Cogent Communications Group LLC                                                  | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |      160000 | PA      | $160783.04    | 0.01%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                                                          | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC                  | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              |  | US        |       80000 | PA      | $73186.40     | 0.01%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | SWP: EUR 2.490000 19-FEB-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      612810 | OU      | $-6963.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1074000 | PA      | $991813.83    | 0.08%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | Bank of America Corp                                                             | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      233000 | PA      | $188759.65    | 0.02%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-2                                     | CUSIP: 959926AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      900000 | PA      | $922650.57    | 0.07%             | 2028-11-15      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                                                               | Subway Funding LLC                                                               | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       84575 | PA      | $85994.79     | 0.01%             | 2054-07-30      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| SUMMIT MIDSTREAM HOLDING                                                         | Summit Midstream Holdings LLC                                                    | CUSIP: 86614JAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       65000 | PA      | $64033.89     | 0.01%             | 2029-10-31      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                                         | Visa Inc                                                                         | CUSIP: 92826CAJ1<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |       35000 | PA      | $26780.97     | 0.00%             | 2047-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD RESID PROPERT                                                         | Brookfield Residential Properties Inc / Brookfield Residential US LLC            | CUSIP: 11283YAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       51000 | PA      | $45395.38     | 0.00%             | 2029-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28806.41     | 0.00%             | 2027-09-10      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      119000 | PA      | $118999.73    | 0.01%             | 2034-04-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TENNECO INC                                                                      | Tenneco Inc                                                                      | CUSIP: 880349AU9<br>LEI: 549300U0EXXFAQFAD785 | Long             | DBT              | CORP              | US        |       49000 | PA      | $46810.38     | 0.00%             | 2028-11-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Westways Funding Ltd                                                             | WEST Trust 2025-ROSE                                                             | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56000 | PA      | $56402.70     | 0.00%             | 2030-04-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2022-CSMO                                           | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      588200 | PA      | $589302.88    | 0.05%             | 2027-06-15      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Appalachian Power Co                                                             | Appalachian Power Co                                                             | CUSIP: 037735CX3<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |       38000 | PA      | $30143.31     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QTEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      136152 | PA      | $141711.94    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ADA0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101026.64    | 0.01%             | 2028-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                         | RTX Corp                                                                         | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      220000 | PA      | $191094.16    | 0.02%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                              | Exeter Automobile Receivables Trust 2023-3                                       | CUSIP: 301989AF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      400000 | PA      | $408681.72    | 0.03%             | 2029-04-16      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |       35000 | PA      | $35555.78     | 0.00%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.243190 18-JUN-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5770000 | OU      | $39022.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Progressive Corp/The                                                             | Progressive Corp/The                                                             | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |         132 | NS      | $37189.68     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $1114.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VISA INC                                                                         | Visa Inc                                                                         | CUSIP: 92826CAN2<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |       40000 | PA      | $33939.26     | 0.00%             | 2031-02-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104094.19    | 0.01%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| VF CORP                                                                          | VF Corp                                                                          | CUSIP: 918204AT5<br>LEI: CWAJJ9DJ5Z7P057HV541 | Long             | DBT              | CORP              | US        |      147000 | PA      | $122744.15    | 0.01%             | 2037-11-01      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                                 | Cifc Funding 2023-III Ltd                                                        | CUSIP: 12598YAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $301440.06    | 0.02%             | 2037-01-20      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MBM6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      900000 | PA      | $862518.77    | 0.07%             | 2034-09-10      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                                               | Whitebox Clo II Ltd                                                              | CUSIP: 96466CBA5<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |      400000 | PA      | $393360.24    | 0.03%             | 2037-10-24      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QUHR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      355499 | PA      | $363624.41    | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA2                                          | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |     2004000 | PA      | $2078295.49   | 0.17%             | 2042-02-25      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KCS7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      135000 | PA      | $135285.42    | 0.01%             | 2026-01-29      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      656000 | PA      | $593803.34    | 0.05%             | 2031-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38078 | PA      | $38197.32     | 0.00%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFSP Mortgage Trust                                                              | CFSP 2024-AHP1 Mortgage Trust                                                    | CUSIP: 15723BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      199394 | PA      | $192019.24    | 0.02%             | 2037-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                                                         | Brex Commercial Charge Card Master Trust                                         | CUSIP: 05601DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100941.58    | 0.01%             | 2027-07-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING Groep NV                                                                     | CUSIP: 456837BH5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $210498.54    | 0.02%             | 2034-09-11      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                    | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      355000 | PA      | $317387.25    | 0.03%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                                      | VEGAS 2024-GCS                                                                   | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      330000 | PA      | $308746.55    | 0.03%             | 2036-07-10      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-9045.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP                                                               | Rithm Capital Corp                                                               | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              |  | US        |      149000 | PA      | $148757.01    | 0.01%             | 2029-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                                          | Southwestern Electric Power Co                                                   | CUSIP: 845437BS0<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48752.85     | 0.00%             | 2026-03-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                      | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |       90000 | PA      | $90156.87     | 0.01%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2024-MRCO                                           | JW Commercial Mortgage Trust 2024-MRCO                                           | CUSIP: 46657XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119000 | PA      | $118330.63    | 0.01%             | 2039-06-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp                                                               | Union Pacific Corp                                                               | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |         149 | NS      | $32133.34     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MATTAMY GROUP CORP                                                               | Mattamy Group Corp                                                               | CUSIP: 57701RAJ1<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |       49000 | PA      | $47597.39     | 0.00%             | 2027-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                                                                 | Owl Rock CLO XVIII LLC                                                           | CUSIP: 69122HAA8<br>LEI: 254900IC5H3CWUYT6A39 | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $249528.90    | 0.02%             | 2036-07-24      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| State of California                                                              | CALIFORNIA ST                                                                    | CUSIP: 13063DGE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      370000 | PA      | $376180.63    | 0.03%             | 2038-04-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| OLD REPUBLIC INTL CORP                                                           | Old Republic International Corp                                                  | CUSIP: 680223AK0<br>LEI: 549300IV6O2YY2A1KH37 | Long             | DBT              | CORP              | US        |       75000 | PA      | $74148.96     | 0.01%             | 2026-08-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      200000 | PA      | $180029.56    | 0.01%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORGANON FOR                                                         | Organon & Co / Organon Foreign Debt Co-Issuer BV                                 | CUSIP: 68622FAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $184203.50    | 0.01%             | 2034-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                                                   | ARES Commercial Mortgage Trust 2024-IND                                          | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      370000 | PA      | $370000.00    | 0.03%             | 2041-07-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              |  | US        |      708000 | PA      | $610033.12    | 0.05%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.578000 17-SEP-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $47089.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CTFS                                              | Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE2 Trust         | CUSIP: 93934TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      494138 | PA      | $150126.85    | 0.01%             | 2037-02-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      777462 | PA      | $762764.64    | 0.06%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III                                                              | LYB International Finance III LLC                                                | CUSIP: 50249AAL7<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |      125000 | PA      | $125373.43    | 0.01%             | 2033-05-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                                                | L3Harris Technologies Inc                                                        | CUSIP: 502431AN9<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       75000 | PA      | $63962.85     | 0.01%             | 2031-01-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                             | CUSIP: 87612GAF8<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      150000 | PA      | $157596.94    | 0.01%             | 2034-03-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | 1Y RTR 2.940000 16-MAY-2025                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   -16368000 | OU      | $-150.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                                         | Baltimore Gas and Electric Co                                                    | CUSIP: 059165EN6<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |       25000 | PA      | $21994.85     | 0.00%             | 2031-06-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-4987.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-492.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                                                | Chord Energy Corp                                                                | CUSIP: 674215AN8<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |       85000 | PA      | $82737.91     | 0.01%             | 2033-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      849177 | PA      | $751449.98    | 0.06%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133L8JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30573 | PA      | $28061.38     | 0.00%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                                                          | Inter-American Development Bank                                                  | CUSIP: 4581X0EK0<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | XX        |     1190000 | PA      | $1197421.66   | 0.10%             | 2026-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                  | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      720000 | PA      | $737289.17    | 0.06%             | 2033-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CNY 1.582500 19-MAR-2028 CNR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1078500 | OU      | $710.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                            | Northrop Grumman Corp                                                            | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48115.18     | 0.00%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SBJ1<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      150000 | PA      | $141057.36    | 0.01%             | 2030-05-06      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |        6000 | PA      | $4332.37      | 0.00%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $844.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2023-B                                         | CUSIP: 00792FAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1000000 | PA      | $1010041.10   | 0.08%             | 2028-09-15      | Fixed         | 8.78%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 606822CC6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $192833.36    | 0.02%             | 2028-01-19      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                  | BRAVO Residential Funding Trust 2025-NQM2                                        | CUSIP: 10569NAC5<br>LEI: 254900TZWRKTBX2YNW23 | Long             | ABS-MBS          | CORP              | US        |      212728 | PA      | $213609.92    | 0.02%             | 2064-11-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: AUD 3.622300 17-SEP-2030 AUD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $-2129.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                    | AppLovin Corp                                                                    | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     1408000 | PA      | $1420882.66   | 0.12%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-509.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Precision Castparts Corp                                                         | Precision Castparts Corp                                                         | CUSIP: 740189AM7<br>LEI: 0XOOAY5P5J7Q734SEC89 | Long             | DBT              | CORP              | US        |       35000 | PA      | $34932.49     | 0.00%             | 2025-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Milford Park CLO, Ltd.                                                           | Milford Park CLO Ltd                                                             | CUSIP: 59966PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $248125.00    | 0.02%             | 2038-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.634990 18-JUN-2027 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     4185000 | OU      | $-29178.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HIH Trust                                                                        | HIH Trust 2024-61P                                                               | CUSIP: 40444VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70000 | PA      | $69825.00     | 0.01%             | 2041-10-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                           | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |       50000 | PA      | $48219.00     | 0.00%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENSTAR GROUP LTD                                                                 | Enstar Group Ltd                                                                 | CUSIP: 29359UAC3<br>LEI: 213800AMAL5QFXVUCN04 | Long             | DBT              | CORP              | BM        |     1380000 | PA      | $1200935.38   | 0.10%             | 2031-09-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CZK 3.682000 17-SEP-2030 PRI                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     9000000 | OU      | $-8109.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46625HLL2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      105000 | PA      | $95474.07     | 0.01%             | 2045-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED CZK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CZ        |           1 | NC      | $1983.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      255308 | PA      | $223708.46    | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 5.656000 17-SEP-2030 INR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    41500000 | OU      | $1016.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      895000 | PA      | $878698.78    | 0.07%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-187.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                                  | McDonald's Corp                                                                  | CUSIP: 58013MFT6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45546.79     | 0.00%             | 2052-09-09      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | AU        |           1 | NC      | $4295.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | USD C JPY P @148.0000 EO                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |      256000 | OU      | $861.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-269.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust 2024-1                                                  | CUSIP: 03465XAA7<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |       41986 | PA      | $41860.87     | 0.00%             | 2068-08-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TW        |           1 | NC      | $1426.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $143614.64    | 0.01%             | 2029-07-15      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                    | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      198000 | PA      | $130319.69    | 0.01%             | 2051-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                                                          | Jefferies Financial Group Inc                                                    | CUSIP: 47233JAG3<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20106.09     | 0.00%             | 2027-01-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                       | VMware LLC                                                                       | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |       75000 | PA      | $74318.68     | 0.01%             | 2030-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-11006.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11513000 | PA      | $10389189.24  | 0.84%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F020653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21117000 | PA      | $16744920.48  | 1.36%             | 2055-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp                                                               | Realty Income Corp                                                               | CUSIP: 756109AS3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19561.34     | 0.00%             | 2027-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                                      | VEGAS 2024-GCS                                                                   | CUSIP: 92254BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140000 | PA      | $137067.03    | 0.01%             | 2036-07-10      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      583400 | PA      | $557101.42    | 0.05%             | 2033-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| iShares 0-5 Year High Yield Corporate Bond ETF                                   | iShares 0-5 Year High Yield Corporate Bond ETF                                   | CUSIP: 46434V407<br>LEI: 549300R96U5WQ7R5ID10 | Long             | EC               | RF                | US        |       29075 | NS      | $1230454.00   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H040657<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3029000 | PA      | $2818923.67   | 0.23%             | 2055-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 606822CS1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      250000 | PA      | $256408.79    | 0.02%             | 2029-02-22      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | Ally Financial Inc                                                               | CUSIP: 02005NBT6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20775.27     | 0.00%             | 2029-06-13      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: PLN 5.140000 19-MAR-2027 WIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      539375 | OU      | $-2279.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TEGNA INC                                                                        | TEGNA Inc                                                                        | CUSIP: 87901JAJ4<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |      146000 | PA      | $139499.16    | 0.01%             | 2028-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| AMC Networks Inc                                                                 | AMC Networks Inc                                                                 | CUSIP: 00164V103<br>LEI: 549300VGG9K75226LR46 | Long             | EC               | CORP              | US        |        4080 | NS      | $26112.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HUNGARY                                                                          | Hungary Government International Bond                                            | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |       85000 | PA      | $100471.38    | 0.01%             | 2033-09-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      225000 | PA      | $225918.58    | 0.02%             | 2034-04-24      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                            | Republic Services Inc                                                            | CUSIP: 760759BK5<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |      335000 | PA      | $340853.47    | 0.03%             | 2034-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-314.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III                                                              | LYB International Finance III LLC                                                | CUSIP: 50249AAD5<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |       60000 | PA      | $42884.04     | 0.00%             | 2050-05-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust                                                    | KSL Commercial Mortgage Trust 2024-HT2                                           | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99062.50     | 0.01%             | 2039-12-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc                                                                       | Pfizer Inc                                                                       | CUSIP: 717081EC3<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |       35000 | PA      | $31661.67     | 0.00%             | 2036-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| PECO ENERGY CO                                                                   | PECO Energy Co                                                                   | CUSIP: 693304BC0<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      213000 | PA      | $130615.98    | 0.01%             | 2051-09-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                                                           | Blackstone Private Credit Fund                                                   | CUSIP: 09261HAK3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |       75000 | PA      | $72239.97     | 0.01%             | 2027-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.544220 17-SEP-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     9000000 | OU      | $195717.36    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J8JH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      132131 | PA      | $130577.33    | 0.01%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      200000 | PA      | $206307.37    | 0.02%             | 2033-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                              | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       52000 | PA      | $37960.00     | 0.00%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      590000 | PA      | $533095.15    | 0.04%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-1313.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.726820 17-JUN-2031 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4339566 | OU      | $14756.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                           | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24826.85     | 0.00%             | 2028-06-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| FIEMEX ENERGIA - BANC AC                                                         | FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple                 | CUSIP: 05974EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |      198850 | PA      | $196911.28    | 0.02%             | 2041-01-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | MX        |           1 | NC      | $423.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43877 | PA      | $44635.47     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: NZD 3.801000 17-SEP-2030 3M                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2200000 | OU      | $19373.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                                           | Canadian Imperial Bank of Commerce                                               | CUSIP: 13608JAA5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |      150000 | PA      | $153941.12    | 0.01%             | 2029-04-08      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co LLC                                                          | AEP Transmission Co LLC                                                          | CUSIP: 00115AAM1<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |       41000 | PA      | $29712.84     | 0.00%             | 2050-04-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                              | Coinbase Global Inc                                                              | CUSIP: 19260QAD9<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |       58000 | PA      | $50334.52     | 0.00%             | 2031-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: —       |
| Regatta XVIII Funding Ltd                                                        | Regatta XVIII Funding Ltd                                                        | CUSIP: 75884EAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248750.00    | 0.02%             | 2038-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      110000 | PA      | $86399.81     | 0.01%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      275000 | PA      | $278936.09    | 0.02%             | 2035-01-23      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                       | goeasy Ltd                                                                       | CUSIP: 380355AM9<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |       95000 | PA      | $92652.23     | 0.01%             | 2030-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-779.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                           | Extra Space Storage LP                                                           | CUSIP: 30225VAQ0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |       40000 | PA      | $34151.00     | 0.00%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                                 | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      466332 | PA      | $450477.21    | 0.04%             | 2053-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                                           | RR 8 Ltd                                                                         | CUSIP: 74980FAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1250000 | PA      | $1247342.88   | 0.10%             | 2037-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      429000 | PA      | $391853.38    | 0.03%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      152000 | PA      | $90768.12     | 0.01%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CZECH REPUBLIC                                                                   | Czech Republic Government Bond                                                   | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |      670000 | PA      | $32417.51     | 0.00%             | 2030-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                         | Duke Energy Progress LLC                                                         | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |       50000 | PA      | $30808.03     | 0.00%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Algoma Steel Group Inc                                                           | Algoma Steel Group Inc                                                           | CUSIP: 015658107<br>LEI: 549300Q5EU337A1XCX27 | Long             | EC               | CORP              | CA        |        8320 | NS      | $42556.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                      | CUSIP: 85571BBE4<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |       60000 | PA      | $60538.80     | 0.00%             | 2030-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: TWD 1.868000 17-SEP-2030 TAI                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    48000000 | OU      | $-23776.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                                                  | DTE Electric Co                                                                  | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |       20000 | PA      | $14392.25     | 0.00%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA2                                          | CUSIP: 35564KGR4<br>LEI: 5493000ISM9M3KNO6J64 | Long             | ABS-MBS          | USGSE             | US        |      795000 | PA      | $857606.25    | 0.07%             | 2033-12-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | SWAP/CDSWAP/SCDS: (MEX)                                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | US        |       66500 | OU      | $1141.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.581000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     1000000 | OU      | $-12963.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ID        |           1 | NC      | $1057.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNCOKE ENERGY INC                                                               | SunCoke Energy Inc                                                               | CUSIP: 86722AAD5<br>LEI: 1KF1J2NXQE2PI0QOB943 | Long             | DBT              | CORP              | US        |      125000 | PA      | $114833.78    | 0.01%             | 2029-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3142GRLU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      204643 | PA      | $212978.01    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-WISC                                                         | Northern States Power Co/WI                                                      | CUSIP: 665789BC6<br>LEI: OOVRSRHKQSBLKRB7QM17 | Long             | DBT              | CORP              | US        |       35000 | PA      | $34641.90     | 0.00%             | 2054-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.344510 17-JUN-2036 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2430000 | OU      | $-77290.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WALMART INC                                                                      | Walmart Inc                                                                      | CUSIP: 931142FE8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |       25000 | PA      | $21787.80     | 0.00%             | 2053-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                         | Occidental Petroleum Corp                                                        | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      125000 | PA      | $129285.88    | 0.01%             | 2030-09-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132CWKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      163630 | PA      | $153697.55    | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.052230 17-SEP-2030 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      220000 | OU      | $5879.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                                                          | DCP Midstream Operating LP                                                       | CUSIP: 23311VAH0<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25201.82     | 0.00%             | 2029-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                                                     | Entergy Corp                                                                     | CUSIP: 29364GAL7<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18202.05     | 0.00%             | 2030-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certificates                                              | Freddie Mac Multiclass Certificates Series 2024-P015                             | CUSIP: 3137HDJN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44102 | PA      | $43152.86     | 0.00%             | 2032-11-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1141990 | PA      | $931849.25    | 0.08%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP                                                            | Lincoln National Corp                                                            | CUSIP: 534187BK4<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18422.10     | 0.00%             | 2031-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                 | Wells Fargo & Co                                                                 | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |         553 | NS      | $39268.53     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | EUR C USD P @1.150000 EO                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |      -43000 | OU      | $-148.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 7.930000 17-SEP-2030 JIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    18150000 | OU      | $12880.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HERSHEY COMPANY                                                                  | Hershey Co/The                                                                   | CUSIP: 427866AX6<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | DBT              | CORP              | US        |       35000 | PA      | $34262.03     | 0.00%             | 2026-08-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      132000 | PA      | $109369.48    | 0.01%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                        | GSMPS Mortgage Loan Trust 2005-RP2                                               | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      136719 | PA      | $126796.16    | 0.01%             | 2035-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                              | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      248000 | PA      | $245219.19    | 0.02%             | 2029-03-19      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.123810 18-JUN-2028 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1440000 | OU      | $8339.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                              | Bank of Nova Scotia/The                                                          | CUSIP: 064159HB5<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      150000 | PA      | $149610.19    | 0.01%             | 2025-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NKJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       50672 | PA      | $51055.60     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.500000 17-SEP-2030 CAD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2500000 | OU      | $-5627.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                               | MCR 2024-HF1 Mortgage Trust                                                      | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99875.00     | 0.01%             | 2041-12-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                                                         | Interstate Power and Light Co                                                    | CUSIP: 461070AP9<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49481.27     | 0.00%             | 2028-09-26      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe                                         | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |      846000 | PA      | $885292.13    | 0.07%             | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CGR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3023000 | PA      | $3040122.45   | 0.25%             | 2026-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.918000 17-SEP-2030 SOR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $2494.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR PRODUCTS & CHEMICALS                                                         | Air Products and Chemicals Inc                                                   | CUSIP: 009158BK1<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | DBT              | CORP              | US        |      150000 | PA      | $149504.55    | 0.01%             | 2034-02-08      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | PL        |           1 | NC      | $-468.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.691250 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      785500 | OU      | $3901.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-1692.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                            | MET TRANSPRTN AUTH NY REVENUE                                                    | CUSIP: 59259YBY4<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      130000 | PA      | $140197.11    | 0.01%             | 2039-11-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                                                  | Nevada Power Co                                                                  | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |       15000 | PA      | $15184.53     | 0.00%             | 2054-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38384CEP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       39372 | PA      | $31994.12     | 0.00%             | 2065-04-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd                                                              | Elmwood CLO III Ltd                                                              | CUSIP: 29002JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $234475.15    | 0.02%             | 2037-07-18      | Floating      | 10.22%                | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.281770 17-JUN-2036 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2450000 | OU      | $-61843.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                                                     | Oriental Republic of Uruguay                                                     | CUSIP: 760942BG6<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |        6000 | PA      | $5405.82      | 0.00%             | 2060-09-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      430000 | PA      | $301281.86    | 0.02%             | 2061-03-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                   | CUSIP: 532457CW6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |      580000 | PA      | $595229.09    | 0.05%             | 2032-02-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA NA                                                               | USD/TWD One-touch barrier option; Barrier price USD 34.60000                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |       10000 | OU      | $246.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SHR Trust                                                                        | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $98968.75     | 0.01%             | 2041-10-15      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                                       | 3M Co                                                                            | CUSIP: 88579YBG5<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |       75000 | PA      | $72291.61     | 0.01%             | 2029-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| New York City Municipal Water Finance Authority                                  | NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE                         | CUSIP: 64972FK88<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |       50000 | PA      | $51757.99     | 0.00%             | 2042-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                              | Dominion Energy Inc                                                              | CUSIP: 25746UDX4<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      248000 | PA      | $246793.05    | 0.02%             | 2035-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        8000 | PA      | $8108.75      | 0.00%             | 2031-07-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $189373.90    | 0.02%             | 2027-11-02      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                            | Wells Fargo Commercial Mortgage Trust 2019-C49                                   | CUSIP: 95001WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10000 | PA      | $8385.72      | 0.00%             | 2052-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | SWAP/CDSWAP/SCDS: (AXP)                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |       90000 | OU      | $-2355.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                                         | Brazil Notas do Tesouro Nacional Serie F                                         | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     5254000 | PA      | $739307.75    | 0.06%             | 2035-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | SWAP/CDSWAP/SCDS: (BRAZIL)                                                       | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |      269000 | OU      | $9525.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                               | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |       65000 | PA      | $64998.08     | 0.01%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Province of Quebec                                                               | Province of Quebec Canada                                                        | CUSIP: 748148QR7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |       10000 | PA      | $11417.46     | 0.00%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3038600 | PA      | $2106248.31   | 0.17%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                                              | Kimberly-Clark Corp                                                              | CUSIP: 494368CA9<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |       15000 | PA      | $9595.66      | 0.00%             | 2050-02-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      219000 | PA      | $221700.94    | 0.02%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds                                | Republic of Poland Government International Bonds                                | CUSIP: 731011AV4<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |        2000 | PA      | $1978.00      | 0.00%             | 2033-10-04      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20753XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1650000 | PA      | $1777875.00   | 0.14%             | 2042-03-25      | Floating      | 10.60%                | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     1124000 | PA      | $808828.52    | 0.07%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GLAXOSMITHKLINE CAP INC                                                          | GlaxoSmithKline Capital Inc                                                      | CUSIP: 377372AE7<br>LEI: 5493007Q8VD7Q3ZYZS59 | Long             | DBT              | CORP              | US        |       50000 | PA      | $55041.23     | 0.00%             | 2038-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X2                                        | CUSIP: 00833QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      700000 | PA      | $702382.24    | 0.06%             | 2029-12-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| United States Steel Corp                                                         | United States Steel Corp                                                         | CUSIP: 912909108<br>LEI: JNLUVFYJT1OZSIQ24U47 | Long             | EC               | CORP              | US        |        2800 | NS      | $122388.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2095700 | PA      | $2107160.86   | 0.17%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2023-XL3                                            | CUSIP: 12434GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      238431 | PA      | $238505.47    | 0.02%             | 2040-12-09      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                                         | American Water Capital Corp                                                      | CUSIP: 03040WAT2<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16003.70     | 0.00%             | 2048-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                                                 | MGM Resorts International                                                        | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |        3000 | PA      | $2956.23      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                                   | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      175000 | PA      | $108412.32    | 0.01%             | 2050-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                           | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      400000 | PA      | $352405.21    | 0.03%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | USD/CNH One-touch barrier option; Barrier price USD 7.05000                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |        8000 | OU      | $614.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                 | Paramount Global                                                                 | CUSIP: 124857AT0<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       54000 | PA      | $52232.44     | 0.00%             | 2028-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SE        |           1 | NC      | $270.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748BV3<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |      125000 | PA      | $123939.11    | 0.01%             | 2053-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                                                  | Chevron USA Inc                                                                  | CUSIP: 166756AH9<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |       40000 | PA      | $22366.89     | 0.00%             | 2050-08-12      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33940 | PA      | $33689.30     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                            | Time Warner Cable LLC                                                            | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      135000 | PA      | $101100.49    | 0.01%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H032654<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6197000 | PA      | $5628891.08   | 0.46%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                 | CUSIP: 22822VAR2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      125000 | PA      | $115646.91    | 0.01%             | 2030-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-1050.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQT Corp                                                                         | EQT Corp                                                                         | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       27000 | PA      | $26486.07     | 0.00%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2900000 | PA      | $2673890.63   | 0.22%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                                               | Southwest Gas Corp                                                               | CUSIP: 845011AE5<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |      125000 | PA      | $117077.04    | 0.01%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1262000 | PA      | $1279215.06   | 0.10%             | 2029-04-12      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                                                         | Alexandria Real Estate Equities Inc                                              | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |      200000 | PA      | $143925.87    | 0.01%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KNAK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      726702 | PA      | $661011.74    | 0.05%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                            | Waste Connections Inc                                                            | CUSIP: 94106BAC5<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |       25000 | PA      | $21286.17     | 0.00%             | 2032-01-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNB CORP                                                                         | FNB Corp/PA                                                                      | CUSIP: 000000000<br>LEI: PCYSKIGYNYFDTBLVZU83 | Long             | DBT              | CORP              | US        |      329000 | PA      | $328259.88    | 0.03%             | 2030-12-11      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED COP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CO        |           1 | NC      | $-757.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      550000 | PA      | $574776.98    | 0.05%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1444400 | PA      | $812926.38    | 0.07%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | TR        |           1 | NC      | $66.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                         | OBX 2025-NQM3 Trust                                                              | CUSIP: 67448YAC8<br>LEI: 254900MBGY6CR10DAX67 | Long             | ABS-MBS          | CORP              | US        |      131062 | PA      | $131631.21    | 0.01%             | 2064-12-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                                          | Public Service Co of Colorado                                                    | CUSIP: 744448CY5<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18080.06     | 0.00%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                                                            | TransCanada PipeLines Ltd                                                        | CUSIP: 8935268Z9<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |       75000 | PA      | $86080.17     | 0.01%             | 2039-01-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                                             | Appalachian Power Co                                                             | CUSIP: 037735DA2<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28768.63     | 0.00%             | 2032-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VISTA OIL & GAS ARGENTIN                                                         | Vista Energy Argentina SAU                                                       | CUSIP: 92841RAA8<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |       32000 | PA      | $30537.60     | 0.00%             | 2035-12-10      | Fixed         | 7.63%                 | No            |                  2 | On Loan: —       |
| Bank of America Corp                                                             | Bank of America Corp                                                             | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       95000 | PA      | $93663.64     | 0.01%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |           1 | NC      | $994.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-2317.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-1480.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOYA FINANCIAL INC                                                               | Voya Financial Inc                                                               | CUSIP: 929089AH3<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |      520000 | PA      | $497298.26    | 0.04%             | 2034-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| GLOBAL PAYMENTS INC                                                              | Global Payments Inc                                                              | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      125000 | PA      | $125968.21    | 0.01%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA3                                          | CUSIP: 35564KVE6<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |     2375000 | PA      | $2495918.85   | 0.20%             | 2042-04-25      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 7.918600 17-SEP-2030 JIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   226000000 | OU      | $154733.65    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                                  | Cigna Group/The                                                                  | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |       90000 | PA      | $89845.92     | 0.01%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                   | CUSIP: 927804GN8<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |       95000 | PA      | $92591.46     | 0.01%             | 2053-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust 2024-10                                                 | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-MBS          | CORP              | US        |       46124 | PA      | $46019.47     | 0.00%             | 2069-10-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                                                | L3Harris Technologies Inc                                                        | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |      127000 | PA      | $130006.49    | 0.01%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (ITRAXX.EUR.43.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     6630000 | OU      | $124103.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-316.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANC                                                                 | Credit Acceptance Corp                                                           | CUSIP: 225310AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       70000 | PA      | $68684.70     | 0.01%             | 2030-03-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | AbbVie Inc                                                                       | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |         170 | NS      | $33167.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                            | Foundry JV Holdco LLC                                                            | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      207000 | PA      | $210902.33    | 0.02%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                                                          | Fidelity National Financial Inc                                                  | CUSIP: 31620RAL9<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |      120000 | PA      | $70726.48     | 0.01%             | 2051-09-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.764000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     3000000 | OU      | $-63207.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                              | Homeward Opportunities Fund Trust 2022-1                                         | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       78215 | PA      | $77794.70     | 0.01%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2025-BHR5                 | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      261000 | PA      | $258390.00    | 0.02%             | 2040-03-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      187000 | PA      | $186063.78    | 0.02%             | 2041-10-15      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-73.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co                                                            | MidAmerican Energy Co                                                            | CUSIP: 595620AU9<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |       23000 | PA      | $18466.10     | 0.00%             | 2049-07-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                                    | First Horizon Alternative Mortgage Securities Trust 2005-AA12                    | CUSIP: 32051GQ81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7822 | PA      | $4732.99      | 0.00%             | 2036-02-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                                               | BX Trust 2019-OC11                                                               | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37000 | PA      | $34327.55     | 0.00%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.304500 17-SEP-2030 SOR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1000000 | OU      | $15331.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED NATURAL FOODS INC                                                         | United Natural Foods Inc                                                         | CUSIP: 911163AA1<br>LEI: 549300GKGW6WPZ282D40 | Long             | DBT              | CORP              | US        |      126000 | PA      | $123712.08    | 0.01%             | 2028-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      320000 | PA      | $257768.64    | 0.02%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.230220 18-JUN-2028 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3350000 | OU      | $31091.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                                               | CNX Resources Corp                                                               | CUSIP: 12653CAL2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      173000 | PA      | $172902.41    | 0.01%             | 2032-03-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 7.841000 17-SEP-2030 JIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    16130000 | OU      | $8300.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.360000 17-SEP-2030 SOR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      540000 | OU      | $-9371.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Flagstar Financial Inc                                                           | Flagstar Financial Inc                                                           | CUSIP: 649445400<br>LEI: 529900HVXOTLY61GL030 | Long             | EC               | CORP              | US        |       25843 | NS      | $302621.53    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                              | CUSIP: 025816DL0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      300000 | PA      | $302676.04    | 0.02%             | 2026-10-30      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                                                   | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1005000 | PA      | $16643.40     | 0.00%             | 2039-06-10      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      195000 | PA      | $189331.00    | 0.02%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                                | EOG Resources Inc                                                                | CUSIP: 26875PAW1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       70000 | PA      | $66379.79     | 0.01%             | 2054-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                                         | International Business Machines Corp                                             | CUSIP: 459200KC4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |      235000 | PA      | $186619.08    | 0.02%             | 2049-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EMERSON ELECTRIC CO                                                              | Emerson Electric Co                                                              | CUSIP: 291011BT0<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | DBT              | CORP              | US        |      345000 | PA      | $350047.53    | 0.03%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Parker-Hannifin Corp                                                             | Parker-Hannifin Corp                                                             | CUSIP: 701094AL8<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |       75000 | PA      | $59800.27     | 0.00%             | 2047-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                                 | GWT 2024-WLF2                                                                    | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      197000 | PA      | $196938.44    | 0.02%             | 2041-05-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-747.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                                           | Bank of New York Mellon Corp/The                                                 | CUSIP: 06406RBL0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |      175000 | PA      | $181369.82    | 0.01%             | 2028-10-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179VHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      353002 | PA      | $323333.37    | 0.03%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED HUF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | HU        |           1 | NC      | $218.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $203143.64    | 0.02%             | 2027-08-14      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QT4C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      287096 | PA      | $297066.89    | 0.02%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT Corp                                                                         | CUSIP: 26884LBA6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      741000 | PA      | $796778.15    | 0.06%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL & GAS INC                                                           | Northern Oil & Gas Inc                                                           | CUSIP: 665531AG4<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |      186000 | PA      | $183628.17    | 0.01%             | 2028-03-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Orchard Park CLO, LTD.                                                           | Orchard Park Clo Ltd                                                             | CUSIP: 68563JAA2<br>LEI: 3912000K0W3TWP1KMO81 | Long             | ABS-CBDO         | CORP              | KY        |      310000 | PA      | $309903.19    | 0.03%             | 2037-10-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 7.970000 06-JUN-2026 JIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2089000 | OU      | $-915.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2023-HQA1                                          | CUSIP: 35564KX87<br>LEI: 5493000IRHY5YZIPQD14 | Long             | ABS-MBS          | USGSE             | US        |      590000 | PA      | $618986.94    | 0.05%             | 2043-05-25      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ID        |           1 | NC      | $2522.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVNET INC                                                                        | Avnet Inc                                                                        | CUSIP: 053807AW3<br>LEI: XJI53DCPL7QABOWK4Z75 | Long             | DBT              | CORP              | US        |       45000 | PA      | $46578.21     | 0.00%             | 2028-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      141000 | PA      | $129044.15    | 0.01%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.455500 22-MAR-2054 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      128000 | OU      | $-448.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                                                             | Bank 2019-BNK19                                                                  | CUSIP: 06540WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $233036.25    | 0.02%             | 2061-08-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                     | Ecopetrol SA                                                                     | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |        8000 | PA      | $8004.88      | 0.00%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP Transmission Co LLC                                                          | CUSIP: 00115AAQ2<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      100000 | PA      | $93948.58     | 0.01%             | 2053-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                        | LBA Trust 2024-7IND                                                              | CUSIP: 52109XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60000 | PA      | $59962.50     | 0.00%             | 2041-10-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                                          | Arthur J Gallagher & Co                                                          | CUSIP: 363576AB5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |       80000 | PA      | $54133.36     | 0.00%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                                | CUSIP: 25179MBG7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      860000 | PA      | $806347.66    | 0.07%             | 2034-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                                             | Birch Grove CLO 3 Ltd                                                            | CUSIP: 09076VAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $986600.00    | 0.08%             | 2038-01-19      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | CA        |           1 | NC      | $5851.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                 | CUSIP: 06368L8K5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      160000 | PA      | $160135.51    | 0.01%             | 2027-09-10      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $214.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                                          | Duke Energy Indiana LLC                                                          | CUSIP: 26443TAD8<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9329.46      | 0.00%             | 2053-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133B92H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      866938 | PA      | $789060.80    | 0.06%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                                 | SMB Private Education Loan Trust 2018-B                                          | CUSIP: 78449LAC2<br>LEI: 549300INMCHM7L5O6M41 | Long             | ABS-O            | CORP              | US        |      111324 | PA      | $111072.36    | 0.01%             | 2037-01-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |           1 | NC      | $105.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                              | Bank of Nova Scotia/The                                                          | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |       75000 | PA      | $69253.50     | 0.01%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-7913.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                                                | Entergy Texas Inc                                                                | CUSIP: 29365TAN4<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98105.60     | 0.01%             | 2053-09-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CONTINUUM GRN SPV CO-ISS                                                         | Continuum Green Energy India Pvt / Co-Issuers                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |      390900 | PA      | $391505.90    | 0.03%             | 2033-06-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XLUM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      867192 | PA      | $760325.88    | 0.06%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $883.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Czech Republic                                                                   | Czech Republic Government Bond                                                   | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |     3540000 | PA      | $155997.62    | 0.01%             | 2029-07-23      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 31329QM57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31170 | PA      | $29374.14     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                                          | American Electric Power Co Inc                                                   | CUSIP: 025537AX9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51234.93     | 0.00%             | 2033-03-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                     | Comcast Corp                                                                     | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      110000 | PA      | $90206.28     | 0.01%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| BLUE OWL CREDIT INCOME                                                           | Blue Owl Credit Income Corp                                                      | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49313.26     | 0.00%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3029600 | PA      | $3092677.21   | 0.25%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FORESTAR GROUP INC                                                               | Forestar Group Inc                                                               | CUSIP: 346232AE1<br>LEI: 549300BC2UB0GHV60V70 | Long             | DBT              | CORP              | US        |       49000 | PA      | $47560.46     | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      231000 | PA      | $221239.26    | 0.02%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED CZK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | CZ        |           1 | NC      | $2890.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                      | Equinix Inc                                                                      | CUSIP: 29444UBT2<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |      141000 | PA      | $92304.68     | 0.01%             | 2052-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.760290 17-JUN-2031 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3410000 | OU      | $18172.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $1133.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                                                            | Japan Government Thirty Year Bond                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    63800000 | PA      | $423749.27    | 0.03%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      240000 | PA      | $232122.70    | 0.02%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| DIAMOND II LTD                                                                   | Diamond II Ltd                                                                   | CUSIP: 000000000<br>LEI: 254900KL4GQ2XC50XL44 | Long             | DBT              | CORP              | MU        |      450000 | PA      | $448875.00    | 0.04%             | 2026-07-28      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3189300 | PA      | $3126759.80   | 0.25%             | 2027-05-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.534000 17-SEP-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $42404.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                             | CUSIP: 78017FZS5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      225000 | PA      | $225457.76    | 0.02%             | 2028-10-18      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |           1 | NC      | $-40.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                                                         | Berkshire Hathaway Energy Co                                                     | CUSIP: 084659BF7<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |      230000 | PA      | $187815.10    | 0.02%             | 2053-05-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | GB        |           1 | NC      | $17264.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QRWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63655 | PA      | $62844.32     | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                           | General Motors Financial Co Inc                                                  | CUSIP: 37045XCS3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      300000 | PA      | $303886.27    | 0.02%             | 2029-01-17      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                 | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      170000 | PA      | $144480.37    | 0.01%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                               | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |     1473000 | PA      | $1441567.65   | 0.12%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                                                           | Delek Logistics Partners LP / Delek Logistics Finance Corp                       | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      222000 | PA      | $227896.98    | 0.02%             | 2029-03-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| MCKESSON CORP                                                                    | McKesson Corp                                                                    | CUSIP: 581557BQ7<br>LEI: 549300WZWOM80UCFSF54 | Long             | DBT              | CORP              | US        |      610000 | PA      | $597838.86    | 0.05%             | 2025-12-03      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PacifiCorp                                                                       | CUSIP: 695114DB1<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |      225000 | PA      | $229488.46    | 0.02%             | 2029-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-9896.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYSTEM ENERGY RESOURCES                                                          | System Energy Resources Inc                                                      | CUSIP: 871911AV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      540000 | PA      | $533371.95    | 0.04%             | 2034-12-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.386240 17-SEP-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    26000000 | OU      | $346731.68    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific Inc                                                     | Thermo Fisher Scientific Inc                                                     | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |          70 | NS      | $30030.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.631000 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  2749000000 | OU      | $-36677.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      241000 | PA      | $200480.77    | 0.02%             | 2052-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Costco Wholesale Corp                                                            | Costco Wholesale Corp                                                            | CUSIP: 22160K105<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | EC               | CORP              | US        |          40 | NS      | $39780.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | NO        |           1 | NC      | $-788.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.356000 17-SEP-2030 THO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    28000000 | OU      | $-2335.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-1947.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                           | General Motors Financial Co Inc                                                  | CUSIP: 37045XEF9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |        5000 | PA      | $5010.22      | 0.00%             | 2026-04-06      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CH        |           1 | NC      | $16038.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                                            | Southern California Gas Co                                                       | CUSIP: 842434CY6<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96452.30     | 0.01%             | 2053-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                          | Kinder Morgan Energy Partners LP                                                 | CUSIP: 494550AW6<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |      100000 | PA      | $108076.42    | 0.01%             | 2038-01-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                                                           | CSTL Commercial Mortgage Trust 2024-GATE                                         | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170000 | PA      | $169123.58    | 0.01%             | 2041-11-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      891000 | PA      | $885504.77    | 0.07%             | 2035-07-23      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT LIGHT & PWR                                                          | Connecticut Light and Power Co/The                                               | CUSIP: 207597ET8<br>LEI: 549300O45IUXEDS1VZ32 | Long             | DBT              | CORP              | US        |      130000 | PA      | $132958.02    | 0.01%             | 2030-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                                 | SMB Private Education Loan Trust 2024-A                                          | CUSIP: 831943AC9<br>LEI: 5493000RGRVHYZAIY180 | Long             | ABS-O            | CORP              | US        |      154000 | PA      | $157979.14    | 0.01%             | 2056-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                                                     | Huntington Bank Auto Credit-Linked Notes Series 2024-2                           | CUSIP: 44644NAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      280177 | PA      | $279759.63    | 0.02%             | 2032-10-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-21367.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                              | COMM 2015-CCRE25 Mortgage Trust                                                  | CUSIP: 12593PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460000 | PA      | $458312.12    | 0.04%             | 2048-08-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                                    | RFMSI Series 2007-SA4 Trust                                                      | CUSIP: 74959AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      226750 | PA      | $136083.12    | 0.01%             | 2037-10-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      917900 | PA      | $830771.21    | 0.07%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | IN        |           1 | NC      | $312.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | SWP: OIS 14.380000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |     1000000 | OU      | $-5903.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XDA0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1115000 | PA      | $1119591.89   | 0.09%             | 2035-08-03      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Regatta XXVII Funding Ltd.                                                       | Regatta XXVII Funding Ltd                                                        | CUSIP: 758970AA5<br>LEI: 213800A3LAH3GG226R43 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250248.05    | 0.02%             | 2037-04-26      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 7.805000 11-SEP-2030 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     8360000 | OU      | $2138.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE 2023-MIC Trust                                                               | 2023-MIC Trust/THE                                                               | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31000 | PA      | $33702.87     | 0.00%             | 2038-12-05      | Variable      | 8.73%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                       | CUSIP: 92344GAX4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      297000 | PA      | $310242.19    | 0.03%             | 2035-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1325000 | PA      | $1375194.98   | 0.11%             | 2040-02-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CH        |           1 | NC      | $12781.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AGL Core CLO                                                                     | AGL Core CLO 2 Ltd                                                               | CUSIP: 001200AJ3<br>LEI: 549300EIBQDZ5WXOZ105 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250248.63    | 0.02%             | 2037-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.390000 17-SEP-2030 THO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    22000000 | OU      | $-753.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-709.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-846.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |           1 | NC      | $348.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                                  | Cigna Group/The                                                                  | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      145000 | PA      | $124984.15    | 0.01%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       80000 | PA      | $73777.63     | 0.01%             | 2039-06-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | SWP: OIS 8.644400 04-APR-2030 IBR                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |   261600000 | OU      | $-805.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                      | Equinix Inc                                                                      | CUSIP: 29444UBF2<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |      100000 | PA      | $99262.80     | 0.01%             | 2025-07-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      400000 | PA      | $425216.65    | 0.03%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.026500 12-MAR-2027 FTO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  1570898665 | OU      | $-35281.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                               | Union Pacific Corp                                                               | CUSIP: 907818GB8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       75000 | PA      | $73913.89     | 0.01%             | 2033-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics Inc                                                            | Arrow Electronics Inc                                                            | CUSIP: 042735BF6<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |       95000 | PA      | $93005.43     | 0.01%             | 2028-01-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | Toronto-Dominion Bank/The                                                        | CUSIP: 89115A2K7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      130000 | PA      | $130520.24    | 0.01%             | 2026-01-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      422864 | PA      | $370582.23    | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2000000 | PA      | $2061406.24   | 0.17%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-2007.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Czech Republic                                                                   | Czech Republic Government Bond                                                   | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |     1930000 | PA      | $87648.66     | 0.01%             | 2036-12-04      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-1336.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |           1 | NC      | $4868.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KRB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       59003 | PA      | $59450.02     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                         | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |      600000 | PA      | $596572.02    | 0.05%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED PHP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PH        |           1 | NC      | $529.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.225130 18-JUN-2035 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4690000 | OU      | $146293.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Biogen Inc                                                                       | Biogen Inc                                                                       | CUSIP: 09062XAF0<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |       75000 | PA      | $74747.61     | 0.01%             | 2025-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.733000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     2000000 | OU      | $-39326.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONCENTRIX CORP                                                                  | Concentrix Corp                                                                  | CUSIP: 20602DAB7<br>LEI: 5493000EAJN1KMPVA737 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20924.96     | 0.00%             | 2028-08-02      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      919268 | PA      | $791766.14    | 0.06%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                                        | PG&E Corp                                                                        | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     1193000 | PA      | $1149433.29   | 0.09%             | 2030-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| PERMIAN RESOURC OPTG LLC                                                         | Permian Resources Operating LLC                                                  | CUSIP: 15138AAA8<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |        4000 | PA      | $3976.67      | 0.00%             | 2026-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                                         | International Business Machines Corp                                             | CUSIP: 459200KM2<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |      815000 | PA      | $786429.65    | 0.06%             | 2027-02-09      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Edison International                                                             | Edison International                                                             | CUSIP: 281020AM9<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19313.35     | 0.00%             | 2028-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                           | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |       63000 | PA      | $54237.33     | 0.00%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Corp Trust 2022-AGSS                                      | CUSIP: 36265XAA9<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |      570000 | PA      | $569821.88    | 0.05%             | 2039-08-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWAP/CDSWAP/SCDS: (TURKEY)                                                       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |       11628 | OU      | $1287.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2022-LBA6                                                               | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      450000 | PA      | $447750.00    | 0.04%             | 2039-01-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XMJ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1637393 | PA      | $1311161.43   | 0.11%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2023-DELC                                                               | CUSIP: 05610DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      262000 | PA      | $263310.00    | 0.02%             | 2038-05-15      | Floating      | 8.71%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |           1 | NC      | $3175.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-7891.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED PHP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PH        |           1 | NC      | $2566.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERPUBLIC GROUP COS                                                            | Interpublic Group of Cos Inc/The                                                 | CUSIP: 460690BS8<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |        5000 | PA      | $3609.30      | 0.00%             | 2041-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                                                             | FS Rialto 2024-FL9 Issuer LLC                                                    | CUSIP: 30338WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $99806.84     | 0.01%             | 2039-10-19      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES                                                           | PPL Electric Utilities Corp                                                      | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37765.61     | 0.00%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                                                           | Zimmer Biomet Holdings Inc                                                       | CUSIP: 98956PBA9<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |       90000 | PA      | $90357.77     | 0.01%             | 2027-02-19      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20753UAF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1950000 | PA      | $1974375.00   | 0.16%             | 2044-01-25      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                                   | Sabre GLBL Inc                                                                   | CUSIP: 78573NAH5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |       55000 | PA      | $55275.00     | 0.00%             | 2027-12-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-7448.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2348300 | PA      | $2373342.41   | 0.19%             | 2026-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                          | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust                    | CUSIP: 933636AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      366848 | PA      | $322693.20    | 0.03%             | 2037-04-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD HUF                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-6187.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-4022.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | USD P TRY C @40.00000 EO                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |       18500 | OU      | $330.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QU2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      921484 | PA      | $949967.31    | 0.08%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.658650 18-JUN-2035 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2610000 | OU      | $-59175.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2007-3                                           | CUSIP: 12543RAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      159372 | PA      | $74563.33     | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                                                            | Venezuela Government International Bond                                          | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |       30100 | PA      | $4966.50      | 0.00%             | 2031-08-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TW        |           1 | NC      | $15845.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140W0P82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      856362 | PA      | $855077.48    | 0.07%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                         | CUSIP: 341081GM3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      190000 | PA      | $181040.36    | 0.01%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                                 | Ventas Realty LP                                                                 | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19878.97     | 0.00%             | 2026-01-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MX        |           1 | NC      | $1424.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                          | Mexican Bonos                                                                    | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      399700 | PA      | $16645.72     | 0.00%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | SWP: OIS 14.320000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |     7000000 | OU      | $-37162.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | Apple Inc                                                                        | CUSIP: 037833EE6<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      105000 | PA      | $72725.08     | 0.01%             | 2041-02-08      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                                | Kinder Morgan Inc                                                                | CUSIP: 49456BBC4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50624.12     | 0.00%             | 2035-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                            | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAE3<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |      176000 | PA      | $181487.08    | 0.01%             | 2043-07-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED NGN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NG        |           1 | NC      | $-680.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SDAL Trust                                                                       | SDAL Trust 2025-DAL                                                              | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99874.90     | 0.01%             | 2042-04-15      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      510000 | PA      | $512145.11    | 0.04%             | 2029-02-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED CZK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CZ        |           1 | NC      | $6288.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP Transmission Co LLC                                                          | CUSIP: 00115AAR0<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39914.95     | 0.00%             | 2034-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ADT9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      785000 | PA      | $788145.42    | 0.06%             | 2035-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE OP CO                                                             | Public Storage Operating Co                                                      | CUSIP: 74460WAG2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              |  | US        |       50000 | PA      | $50783.59     | 0.00%             | 2033-08-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | SWAP/CDSWAP/SCDS: (TURKEY)                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |       75000 | OU      | $8306.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                              | CUSIP: 210518DV5<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25487.94     | 0.00%             | 2029-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      187366 | PA      | $190613.39    | 0.02%             | 2028-04-25      | Floating      | 10.17%                | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                                                           | Westinghouse Air Brake Technologies Corp                                         | CUSIP: 960386AR1<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |      380000 | PA      | $390339.16    | 0.03%             | 2034-03-11      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24501.81     | 0.00%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                     | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      200000 | PA      | $179068.62    | 0.01%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                             | WEC Energy Group Inc                                                             | CUSIP: 92939UAM8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |       21000 | PA      | $21285.69     | 0.00%             | 2026-09-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DNTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      387595 | PA      | $382399.25    | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA6                                          | CUSIP: 35564KLU1<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |     2100000 | PA      | $2151917.04   | 0.17%             | 2041-10-25      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $673.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                    | CUSIP: 00108WAR1<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |       35000 | PA      | $34990.12     | 0.00%             | 2033-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.274000 17-SEP-2030 SOR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      410025 | OU      | $-5830.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PREMIER ENTERTAINMENT SU                                                         | Premier Entertainment Sub LLC / Premier Entertainment Finance Corp               | CUSIP: 74052HAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       71000 | PA      | $41535.00     | 0.00%             | 2029-09-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                                           | Banc of America Alternative Loan Trust 2006-7                                    | CUSIP: 059469AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24731 | PA      | $6752.35      | 0.00%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| ACREC LLC                                                                        | ACREC 2023-FL2 LLC                                                               | CUSIP: 00501BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      145197 | PA      | $144895.54    | 0.01%             | 2038-02-19      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NO        |           1 | NC      | $1210.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Micron Technology Inc                                                            | Micron Technology Inc                                                            | CUSIP: 595112103<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | EC               | CORP              | US        |         424 | NS      | $32626.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                                                         | Permian Resources Operating LLC                                                  | CUSIP: 27034RAA1<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |       46000 | PA      | $46808.04     | 0.00%             | 2027-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |           1 | NC      | $10983.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | USD/KRW Down-and-out barrier option; Barrier price USD 1,353.00000               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |     -220000 | OU      | $-265.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8100000 | PA      | $6210105.49   | 0.50%             | 2048-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.401300 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 12845000000 | OU      | $-72874.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                                                           | Nationstar Mortgage Holdings Inc                                                 | CUSIP: 63861CAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       80000 | PA      | $81311.49     | 0.01%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                                                         | Aon Corp / Aon Global Holdings PLC                                               | CUSIP: 03740LAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |       25000 | PA      | $18264.63     | 0.00%             | 2052-02-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Tyson Foods Inc                                                                  | Tyson Foods Inc                                                                  | CUSIP: 902494BH5<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |       50000 | PA      | $44328.19     | 0.00%             | 2048-09-28      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                                                         | EQM Midstream Partners LP                                                        | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |      275000 | PA      | $279614.23    | 0.02%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWP: OIS 14.480000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     8000000 | OU      | $-50967.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-571.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Czech Republic                                                                   | Czech Republic Government Bond                                                   | CUSIP: 000000000<br>LEI: 3157007EFDLQABN47912 | Long             | DBT              | NUSS              | CZ        |     2770000 | PA      | $110702.67    | 0.01%             | 2030-05-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      646000 | PA      | $382337.55    | 0.03%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Regatta Funding                                                                  | Regatta XI Funding Ltd                                                           | CUSIP: 75887XAN7<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250019.43    | 0.02%             | 2037-07-17      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| TURKIYE GOVERNMENT BOND                                                          | Turkiye Government Bond                                                          | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      898000 | PA      | $19586.65     | 0.00%             | 2033-10-05      | Fixed         | 26.20%                | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      224100 | PA      | $226305.98    | 0.02%             | 2032-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |           1 | NC      | $954.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 226373AT5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      613000 | PA      | $641582.01    | 0.05%             | 2031-02-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                                           | GreenSky Home Improvement Issuer Trust 2024-2                                    | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       81522 | PA      | $81914.52     | 0.01%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AMERIPRISE FINANCIAL INC                                                         | Ameriprise Financial Inc                                                         | CUSIP: 03076CAM8<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |      410000 | PA      | $414982.33    | 0.03%             | 2033-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       35000 | PA      | $35021.79     | 0.00%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| APA CORP                                                                         | APA Corp                                                                         | CUSIP: 03743QAK4<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |       43000 | PA      | $32490.46     | 0.00%             | 2043-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      120000 | PA      | $108845.53    | 0.01%             | 2032-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                       | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      155000 | PA      | $134276.88    | 0.01%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CH        |           1 | NC      | $9286.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.627000 17-SEP-2030 CAD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $13067.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                                               | Ohio Power Co                                                                    | CUSIP: 677415CU3<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      130000 | PA      | $78215.31     | 0.01%             | 2051-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                          | CUSIP: 808513BS3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |        9000 | PA      | $7924.80      | 0.00%             | 2031-05-13      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.427000 17-SEP-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $31011.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                              | CUSIP: 302635AL1<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |      150000 | PA      | $142429.70    | 0.01%             | 2027-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                                                     | TICP CLO VI 2016-2 Ltd                                                           | CUSIP: 87246MAS1<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249348.30    | 0.02%             | 2034-01-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust 2022-LPFL                                          | MTN Commercial Mortgage Trust 2022-LPFL                                          | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99875.00     | 0.01%             | 2039-03-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | Citigroup Inc                                                                    | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |         548 | NS      | $37472.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                         | Willis North America Inc                                                         | CUSIP: 970648AM3<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |      400000 | PA      | $403311.37    | 0.03%             | 2033-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BANK KOREA                                                         | Export-Import Bank of Korea                                                      | CUSIP: 302154DZ9<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | NUSS              | KR        |      300000 | PA      | $306752.61    | 0.02%             | 2033-09-18      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                                                        | Hess Corp                                                                        | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      185000 | PA      | $182383.20    | 0.01%             | 2041-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: TWD 1.804000 17-SEP-2030 TAI                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    62000000 | OU      | $-24405.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | NZ        |           1 | NC      | $1540.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                                         | Intercontinental Exchange Inc                                                    | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |       75000 | PA      | $66486.68     | 0.01%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                                                | NSTAR Electric Co                                                                | CUSIP: 67021CAT4<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |       50000 | PA      | $44516.25     | 0.00%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNA Trust                                                                        | FNA 8 LLC                                                                        | CUSIP: 30340WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      143612 | PA      | $144535.04    | 0.01%             | 2045-03-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2000000 | PA      | $2002578.12   | 0.16%             | 2028-03-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-709.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION                                                           | Clydesdale Acquisition Holdings Inc                                              | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |       46000 | PA      | $47394.86     | 0.00%             | 2030-04-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                       | Sprint LLC                                                                       | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20261.93     | 0.00%             | 2026-03-01      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      764000 | PA      | $763482.98    | 0.06%             | 2030-10-22      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                         | Service Properties Trust                                                         | CUSIP: 81761LAD4<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      144000 | PA      | $140819.05    | 0.01%             | 2029-06-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| CONSTELLATION EN GEN LLC                                                         | Constellation Energy Generation LLC                                              | CUSIP: 210385AE0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25867.48     | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust 2023-7                                                  | CUSIP: 03466DAA0<br>LEI: 254900DRGJVOF9SOT744 | Long             | ABS-MBS          | CORP              | US        |      159199 | PA      | $157246.19    | 0.01%             | 2067-11-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                                                           | Republic of Poland Government Bond                                               | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      727000 | PA      | $199909.85    | 0.02%             | 2029-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG Energy Inc                                                                   | CUSIP: 629377CT7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     1007000 | PA      | $1084967.98   | 0.09%             | 2033-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                                          | Essential Utilities Inc                                                          | CUSIP: 29670GAH5<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |      195000 | PA      | $195703.61    | 0.02%             | 2034-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp                                                              | Sprint Capital Corp                                                              | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |      570000 | PA      | $684162.69    | 0.06%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                 | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1640000 | PA      | $1782054.62   | 0.14%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                         | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      730000 | PA      | $711985.56    | 0.06%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                          | CUSIP: 15189XBD9<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |       10000 | PA      | $10308.53     | 0.00%             | 2028-10-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                              | Exeter Automobile Receivables Trust 2022-5                                       | CUSIP: 30167FAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $102105.12    | 0.01%             | 2029-02-15      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.399000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     2000000 | OU      | $-9416.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                              | Elevance Health Inc                                                              | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49713.66     | 0.00%             | 2028-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      300000 | PA      | $322338.47    | 0.03%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.744090 18-JUN-2035 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     3076000 | OU      | $-32387.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      160000 | PA      | $117689.42    | 0.01%             | 2041-04-30      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                           | CUSIP: 237194AN5<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |      310000 | PA      | $329182.89    | 0.03%             | 2033-10-10      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.617000 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   582930000 | OU      | $7505.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                                   | Mariner Finance Issuance Trust 2024-A                                            | CUSIP: 567928AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      178000 | PA      | $180638.64    | 0.01%             | 2036-09-22      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280EL9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      468000 | PA      | $462587.03    | 0.04%             | 2035-11-18      | Fixed         | 5.87%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: TWD 1.960000 17-SEP-2030 TAI                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   129000000 | OU      | $-82761.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X1                                        | CUSIP: 00834XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100908.54    | 0.01%             | 2029-05-15      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-94.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-6205.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                          | CUSIP: 15189XAN8<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17204.60     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      961397 | PA      | $724773.88    | 0.06%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                        | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16000 | PA      | $15718.35     | 0.00%             | 2039-06-15      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc                                                        | Caesars Entertainment Inc                                                        | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |        1918 | NS      | $51901.08     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                               | CUSIP: 74456QCL8<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |       80000 | PA      | $79207.65     | 0.01%             | 2033-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2024-PAT                                                                | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60000 | PA      | $60159.14     | 0.00%             | 2041-03-15      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | CMS USISSO01 2Y-10 OPTION @0.401BP                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   109800000 | NC      | $192267.49    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA                                                                 | ArcelorMittal SA                                                                 | CUSIP: 03938LBF0<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |       50000 | PA      | $53833.77     | 0.00%             | 2032-11-29      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 3.289140 15-APR-2035 UKR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      500000 | OU      | $-1588.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.709350 17-JUN-2031 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2300000 | OU      | $5505.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                  | BRAVO Residential Funding Trust 2021-NQM1                                        | CUSIP: 10569TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      265000 | PA      | $213099.25    | 0.02%             | 2049-02-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      323232 | PA      | $311009.61    | 0.03%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |           1 | NC      | $98.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Allina Health System                                                             | Allina Health System                                                             | CUSIP: 01959LAC6<br>LEI: 5493001V00JCD7SQ0G44 | Long             | DBT              | CORP              | US        |       50000 | PA      | $37945.51     | 0.00%             | 2049-04-15      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                 | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |       80000 | PA      | $68392.17     | 0.01%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| SG Capital Partners                                                              | SG Residential Mortgage Trust 2019-3                                             | CUSIP: 78432BAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      257400 | PA      | $245109.36    | 0.02%             | 2059-09-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | AU        |           1 | NC      | $37494.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | SWP: OIS 9.730000 10-MAY-2025 IBR                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |   237498352 | OU      | $234.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1335963 | PA      | $1061919.36   | 0.09%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIAL                                                         | Martin Marietta Materials Inc                                                    | CUSIP: 573284AU0<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |       75000 | PA      | $59262.56     | 0.00%             | 2047-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                                                  | OHA Credit Partners XVI                                                          | CUSIP: 67115LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $499701.55    | 0.04%             | 2037-10-18      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                                         | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      241000 | PA      | $243092.38    | 0.02%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ID        |           1 | NC      | $1260.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                            | Northrop Grumman Corp                                                            | CUSIP: 666807CL4<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      806000 | PA      | $799737.57    | 0.06%             | 2034-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding                                               | Gracie Point International Funding 2024-1 LLC                                    | CUSIP: 38410KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      110000 | PA      | $109497.14    | 0.01%             | 2028-03-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                          | Duke Energy Florida LLC                                                          | CUSIP: 26444HAN1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |       45000 | PA      | $45526.13     | 0.00%             | 2052-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2006-OC10                                                 | CUSIP: 23245FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350561 | PA      | $292943.35    | 0.02%             | 2036-11-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.780000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     2470000 | OU      | $-53833.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      541000 | PA      | $491827.33    | 0.04%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | Citigroup Inc                                                                    | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      220000 | PA      | $272126.51    | 0.02%             | 2039-07-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-725.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                                           | Argent Mortgage Loan Trust 2005-W1                                               | CUSIP: 040104MY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152814 | PA      | $121703.45    | 0.01%             | 2035-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | NO        |           1 | NC      | $37.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133BEQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9663 | PA      | $9538.17      | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                   | CUSIP: 78409VBM5<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |       10000 | PA      | $7364.70      | 0.00%             | 2062-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | Synchrony Financial                                                              | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      716000 | PA      | $725144.32    | 0.06%             | 2030-08-02      | Fixed         | 5.94%                 | No            |                  2 | On Loan: —       |
| ING GROEP NV                                                                     | ING Groep NV                                                                     | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      725000 | PA      | $739639.52    | 0.06%             | 2027-09-11      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                   | CUSIP: 78409VAR5<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      230000 | PA      | $116735.87    | 0.01%             | 2060-08-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XTA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      852948 | PA      | $683077.78    | 0.06%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      975000 | PA      | $846071.80    | 0.07%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                        | Jabil Inc                                                                        | CUSIP: 466313AM5<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99584.40     | 0.01%             | 2027-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DQ3S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      978876 | PA      | $913876.50    | 0.07%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                                                                | Rakuten Group Inc                                                                | CUSIP: 75102WAG3<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |      175000 | PA      | $187025.47    | 0.02%             | 2027-02-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H030658<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -74000 | PA      | $-65504.96    | -0.01%            | 2055-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                 | CUSIP: 22822VAX9<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |       50000 | PA      | $35115.26     | 0.00%             | 2041-04-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-727.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED HUF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | HU        |           1 | NC      | $1325.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOSTON SCIENTIFIC CORP                                                           | Boston Scientific Corp                                                           | CUSIP: 101137BA4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |       25000 | PA      | $22980.07     | 0.00%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                                                              | Sherwin-Williams Co/The                                                          | CUSIP: 824348AX4<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |      225000 | PA      | $186435.86    | 0.02%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3142GT6M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      149962 | PA      | $156638.70    | 0.01%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-1873.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                | Post Holdings Inc                                                                | CUSIP: 737446AV6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      108000 | PA      | $106785.89    | 0.01%             | 2033-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Equity One ABS Inc                                                               | Equity One Mortgage Pass-Through Trust 2003-3                                    | CUSIP: 294751CU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      288413 | PA      | $245420.08    | 0.02%             | 2033-12-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                        | CUSIP: 031162DJ6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |       85000 | PA      | $80487.03     | 0.01%             | 2033-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H020659<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9802000 | PA      | $7994663.14   | 0.65%             | 2054-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ECL ENTERTAINMENT LLC                                                            | ECL Entertainment LLC 2024 1st Lien Term Loan B                                  | CUSIP: 26826TAL7<br>LEI: 254900UPSGHOBB360Z85 | Long             | LON              | CORP              | US        |      114448 | PA      | $113303.80    | 0.01%             | 2030-08-31      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                                                               | Regal Rexnord Corp                                                               | CUSIP: 758750AP8<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50950.18     | 0.00%             | 2033-04-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RESOURCES                                                          | Canadian Natural Resources Ltd                                                   | CUSIP: 136385AL5<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |      200000 | PA      | $201474.50    | 0.02%             | 2038-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |           1 | NC      | $3440.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |           1 | NC      | $2897.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |           1 | NC      | $2679.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                              | CUSIP: 210518DZ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |       90000 | PA      | $90254.17     | 0.01%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | GB        |           1 | NC      | $3023.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-6931.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-1375.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | NZ        |           1 | NC      | $2525.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-8010.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DV7L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      205986 | PA      | $173121.47    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Samsara Inc                                                                      | Samsara Inc                                                                      | CUSIP: 79589L106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        1084 | NS      | $42991.44     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                                            | CUSIP: 882926AA6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |       25000 | PA      | $22363.69     | 0.00%             | 2063-05-18      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                                           | Bank of New York Mellon Corp/The                                                 | CUSIP: 06406RAB3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |      125000 | PA      | $123383.11    | 0.01%             | 2028-02-07      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2433400 | PA      | $2516572.86   | 0.20%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | ZA        |           1 | NC      | $637.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                      | Phillips 66 Co                                                                   | CUSIP: 718547AK8<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |       50000 | PA      | $46799.72     | 0.00%             | 2029-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                                             | Entergy Arkansas LLC                                                             | CUSIP: 29366MAG3<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29464.30     | 0.00%             | 2054-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | Ukraine Government International Bond                                            | CUSIP: 903724BZ4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |       19859 | PA      | $12044.48     | 0.00%             | 2029-02-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | USD P MXN C @20.10000 EO                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |      -37000 | OU      | $-1021.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                                                                    | Allstate Corp/The                                                                | CUSIP: 020002BL4<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |      275000 | PA      | $280834.56    | 0.02%             | 2029-06-24      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Amgen Inc                                                                        | Amgen Inc                                                                        | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16764.62     | 0.00%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QHP66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67574 | PA      | $63363.01     | 0.01%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                   | CVR Energy Inc Term Loan B                                                       | CUSIP: 12663SAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      259350 | PA      | $257404.88    | 0.02%             | 2027-12-30      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | AU        |           1 | NC      | $-23.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 8.122500 11-SEP-2030 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   138000000 | OU      | $126024.71    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADRIDGE FINANCIAL SOL                                                         | Broadridge Financial Solutions Inc                                               | CUSIP: 11133TAE3<br>LEI: 549300KZDJZQ2YIHRC28 | Long             | DBT              | CORP              | US        |      450000 | PA      | $395069.42    | 0.03%             | 2031-05-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      140000 | PA      | $145795.62    | 0.01%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| PROV ST JOSEPH HLTH OBL                                                          | Providence St Joseph Health Obligated Group                                      | CUSIP: 743756AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       50000 | PA      | $37564.76     | 0.00%             | 2048-10-01      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.654000 18-JUN-2055 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4605480 | OU      | $-254751.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1160200 | PA      | $659047.99    | 0.05%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust 2025-1                                    | CUSIP: 922955AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1248402 | PA      | $1251973.40   | 0.10%             | 2055-02-25      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                             | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      265000 | PA      | $213401.43    | 0.02%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 912828ZS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4519300 | PA      | $4239668.31   | 0.34%             | 2027-05-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD CZK                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $114.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.022610 17-SEP-2030 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      350000 | OU      | $8740.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      150000 | PA      | $138924.29    | 0.01%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                      | PRKCM 2022-AFC1 Trust                                                            | CUSIP: 69377CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       78523 | PA      | $77650.18     | 0.01%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | USD P BRL C @5.750000 EO                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |      -74000 | OU      | $-1358.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Indonesia Government International Bonds                                         | Indonesia Government International Bonds                                         | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     1120000 | PA      | $1033760.00   | 0.08%             | 2030-02-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |           1 | NC      | $13533.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $26.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                         | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBE2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      290000 | PA      | $198262.05    | 0.02%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                                                            | Reynolds American Inc                                                            | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      110000 | PA      | $103053.41    | 0.01%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| COOPERAT RABOBANK UA/NY                                                          | Cooperatieve Rabobank UA/NY                                                      | CUSIP: 21688ABC5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      250000 | PA      | $254045.46    | 0.02%             | 2029-01-09      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-7843.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2019-GSA1                                           | CUSIP: 36261PAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      190000 | PA      | $177378.49    | 0.01%             | 2052-11-10      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |        4000 | PA      | $4432.84      | 0.00%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                             | M&T Bank Corp                                                                    | CUSIP: 55261FAS3<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |     1235000 | PA      | $1328540.89   | 0.11%             | 2029-10-30      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                   | CUSIP: 78409VBQ6<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |       55000 | PA      | $56332.51     | 0.00%             | 2033-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                               | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      157627 | PA      | $156079.39    | 0.01%             | 2032-03-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                              | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       64000 | PA      | $62425.60     | 0.01%             | 2027-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                 | Duke Energy Corp                                                                 | CUSIP: 26441CAY1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |       86000 | PA      | $62972.02     | 0.01%             | 2047-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179VN30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      210422 | PA      | $186951.20    | 0.02%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                                                | General Motors Co                                                                | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51348.68     | 0.00%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                                                        | ONEOK Inc                                                                        | CUSIP: 682680AU7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39987.71     | 0.00%             | 2028-07-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Last Mile Securities                                                             | Last Mile Securities PE 2021 DAC                                                 | CUSIP: 000000000<br>LEI: 635400UJZKP57EXKMQ33 | Long             | ABS-MBS          | CORP              | IE        |      231952 | PA      | $261409.50    | 0.02%             | 2031-08-17      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                                                         | Kaiser Foundation Hospitals                                                      | CUSIP: 48305QAD5<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |       50000 | PA      | $40477.72     | 0.00%             | 2047-05-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Invesco CLO LTD                                                                  | Invesco CLO 2021-3 Ltd                                                           | CUSIP: 46146JAC0<br>LEI: 5493000BVI47XOSBML18 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249525.00    | 0.02%             | 2034-10-22      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Los Angeles Community College District/CA                                        | LOS ANGELES CA CMNTY CLG DIST                                                    | CUSIP: 54438CNZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      145000 | PA      | $159629.49    | 0.01%             | 2042-08-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                             | Cross 2025-H1 Mortgage Trust                                                     | CUSIP: 22758NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      144000 | PA      | $144545.07    | 0.01%             | 2070-02-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                                 | Great Wolf Trust 2024-WOLF                                                       | CUSIP: 39152MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99781.25     | 0.01%             | 2039-03-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD HUF                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-2701.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1438000 | PA      | $1456255.86   | 0.12%             | 2027-10-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      139875 | PA      | $135697.56    | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 8.005000 11-SEP-2030 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    10190000 | OU      | $6826.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      150000 | PA      | $134179.23    | 0.01%             | 2053-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      502747 | PA      | $432176.67    | 0.04%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2150000 | PA      | $2151354.50   | 0.17%             | 2041-11-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | GB        |           1 | NC      | $5997.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |       54000 | PA      | $48012.97     | 0.00%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133AMPP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      332165 | PA      | $250245.12    | 0.02%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SE        |           1 | NC      | $-88.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |           1 | NC      | $252.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                   | CUSIP: 548661EL7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      225000 | PA      | $224254.06    | 0.02%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LEBANESE REPUBLIC                                                                | Lebanon Government International Bond                                            | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |       41000 | PA      | $6908.50      | 0.00%             | 2028-11-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                       | CUSIP: 00287YDW6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      320000 | PA      | $306610.43    | 0.02%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| INV 2024-IND Mortgage Trust                                                      | INV 2024-IND Mortgage Trust                                                      | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99750.00     | 0.01%             | 2041-11-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                  | CVS Health Corp                                                                  | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      400000 | PA      | $346875.13    | 0.03%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | SWP: OIS 15.045000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |     6000000 | OU      | $-63711.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                              | CUSIP: 025816DK2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      150000 | PA      | $151072.62    | 0.01%             | 2034-07-28      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                  | BRAVO Residential Funding Trust 2024-NQM4                                        | CUSIP: 10568NAD4<br>LEI: 254900NOKQW417VKV943 | Long             | ABS-MBS          | CORP              | US        |      295139 | PA      | $284768.11    | 0.02%             | 2060-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                                              | MidOcean Credit CLO XII Ltd                                                      | CUSIP: 59803TAQ4<br>LEI: 5493000CPZWPTWX7TF71 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250000.00    | 0.02%             | 2036-04-18      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      213200 | PA      | $211068.00    | 0.02%             | 2044-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                                                   | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20000 | PA      | $20442.27     | 0.00%             | 2041-12-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      492034 | PA      | $410710.06    | 0.03%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |       25000 | PA      | $22257.88     | 0.00%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | USD C PLN P @3.800000 EO                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KY        |       73000 | OU      | $716.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $80937.99     | 0.01%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-20.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                | Brown & Brown Inc                                                                | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |      430000 | PA      | $356818.90    | 0.03%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SG        |           1 | NC      | $9457.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                            | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CAT1<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      504000 | PA      | $370701.96    | 0.03%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                                                        | HIH Trust 2024-61P                                                               | CUSIP: 40444VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30000 | PA      | $29587.30     | 0.00%             | 2041-10-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QQFP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      411207 | PA      | $397854.40    | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |           1 | NC      | $762.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | E-MINI RUSS 2000 JUN25                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          -7 | NC      | $-39326.56    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                            | Wells Fargo Commercial Mortgage Trust 2017-C40                                   | CUSIP: 95000YAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $195045.24    | 0.02%             | 2050-10-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | 1Y RTR 3.740000 16-MAY-2025                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    20819000 | OU      | $23583.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAP LLC                                                           | CNH Industrial Capital LLC                                                       | CUSIP: 12592BAQ7<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19963.41     | 0.00%             | 2028-04-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                             | Verisk Analytics Inc                                                             | CUSIP: 92345YAG1<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |       35000 | PA      | $24428.19     | 0.00%             | 2050-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust                                                   | CAMB Commercial Mortgage Trust 2019-LIFE                                         | CUSIP: 12482HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99875.00     | 0.01%             | 2037-12-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                              | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50000 | PA      | $49343.75     | 0.00%             | 2041-06-15      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              |  | US        |      236000 | PA      | $235770.40    | 0.02%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $122.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1103713 | PA      | $877146.40    | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GE CAPITAL INTL FUNDING                                                          | GE Capital International Funding Co Unlimited Co                                 | CUSIP: 36164QNA2<br>LEI: 549300G6UZOB126GBY72 | Long             | DBT              | CORP              | IE        |      200000 | PA      | $190465.42    | 0.02%             | 2035-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                       | Unum Group                                                                       | CUSIP: 91529YAP1<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |       50000 | PA      | $38816.78     | 0.00%             | 2049-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED PHP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PH        |           1 | NC      | $5018.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                                                     | NY Commercial Mortgage Trust 2025-299P                                           | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      271000 | PA      | $274634.11    | 0.02%             | 2047-02-10      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 5.622000 17-SEP-2030 INR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   171000000 | OU      | $1334.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      705400 | PA      | $612706.03    | 0.05%             | 2043-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                                     | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      802000 | PA      | $784222.79    | 0.06%             | 2042-02-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.245000 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   589910000 | OU      | $268.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Corp Trust 2023-SHIP                                      | CUSIP: 36270GAE1<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |      530000 | PA      | $528565.45    | 0.04%             | 2038-09-10      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                                                 | RCO VII Mortgage LLC 2024-1                                                      | CUSIP: 754921AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       73048 | PA      | $73406.76     | 0.01%             | 2029-01-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                                                  | AstraZeneca PLC                                                                  | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |      145000 | PA      | $161747.89    | 0.01%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | ZA        |           1 | NC      | $-2517.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CH        |           1 | NC      | $3203.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QQ3U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      126424 | PA      | $129138.39    | 0.01%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $12803.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-383.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H022655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7015000 | PA      | $5977539.51   | 0.49%             | 2055-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-2025.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOFTBANK GROUP CORP                                                              | SoftBank Group Corp                                                              | CUSIP: 000000000<br>LEI: 5493003BZYYYCDIO0R13 | Long             | DBT              | CORP              | JP        |      450000 | PA      | $457170.61    | 0.04%             | 2031-07-08      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2025-ROIC                                                               | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      263000 | PA      | $252489.86    | 0.02%             | 2030-03-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                                  | CFCRE Commercial Mortgage Trust 2016-C4                                          | CUSIP: 12531YAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      560000 | PA      | $550690.67    | 0.04%             | 2058-05-10      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPML9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32401 | PA      | $32958.04     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                 | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      200000 | PA      | $199367.17    | 0.02%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: —       |
| AMC NETWORKS INC                                                                 | AMC Networks Inc                                                                 | CUSIP: 00164VAG8<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |       56000 | PA      | $57535.81     | 0.00%             | 2029-01-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      766704 | PA      | $653830.85    | 0.05%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | 1Y RTR 2.940000 16-MAY-2025                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -20819000 | OU      | $-165.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 0.291000 17-SEP-2030 SAR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $-22228.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132E0ZD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      669055 | PA      | $673467.57    | 0.05%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JPMCC Commercial Mortgage Securities Trust 2019-COR5                             | CUSIP: 46591EAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40000 | PA      | $38250.93     | 0.00%             | 2052-06-13      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                         | Madison Park Funding LXVII Ltd                                                   | CUSIP: 55821YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250450.00    | 0.02%             | 2037-04-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                   | CUSIP: 532457CG1<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |       45000 | PA      | $40802.40     | 0.00%             | 2053-02-27      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | 1Y RTR 2.940000 16-MAY-2025                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   -41371000 | OU      | $-329.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179Y2M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      648633 | PA      | $656375.27    | 0.05%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      660000 | PA      | $673686.68    | 0.05%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      230000 | PA      | $232175.23    | 0.02%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                                                            | Directv Financing LLC / Directv Financing Co-Obligor Inc                         | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      513000 | PA      | $485808.64    | 0.04%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404119CR8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      388000 | PA      | $367498.02    | 0.03%             | 2053-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                                                   | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $2494.70      | 0.00%             | 2039-06-10      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | GB        |           1 | NC      | $30240.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | KR        |           1 | NC      | $1868.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-B                                         | CUSIP: 00835AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2250000 | PA      | $2240058.60   | 0.18%             | 2029-09-15      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      218020 | PA      | $198502.16    | 0.02%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                                                   | SELF Commercial Mortgage Trust 2024-STRG                                         | CUSIP: 81631WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99065.46     | 0.01%             | 2034-11-15      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc                                                                     | Enbridge Inc                                                                     | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |      215000 | PA      | $214216.76    | 0.02%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                          | Entergy Mississippi LLC                                                          | CUSIP: 29366WAD8<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |      150000 | PA      | $148939.11    | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Corp Trust 2025-800D                                      | CUSIP: 36273XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      210000 | PA      | $209197.88    | 0.02%             | 2041-11-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| NVR INC                                                                          | NVR Inc                                                                          | CUSIP: 62944TAF2<br>LEI: 529900RWXR4JI3JYTV70 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1196681.88   | 0.10%             | 2030-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.869500 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     1575000 | OU      | $-6397.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                                         | Brazil Notas do Tesouro Nacional Serie F                                         | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     2000000 | PA      | $318143.76    | 0.03%             | 2029-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds                                           | Uruguay Government International Bonds                                           | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |      500000 | PA      | $501000.00    | 0.04%             | 2027-10-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QMXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      331307 | PA      | $292692.02    | 0.02%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      290000 | PA      | $195376.83    | 0.02%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                                 | OneMain Financial Issuance Trust 2020-2                                          | CUSIP: 682696AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      240000 | PA      | $227340.86    | 0.02%             | 2035-09-14      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1754000 | PA      | $1760303.44   | 0.14%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                  | CUSIP: 718172BL2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      380000 | PA      | $315149.79    | 0.03%             | 2044-11-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4823331 | PA      | $3836053.50   | 0.31%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                                       | MFA 2022-INV3 Trust                                                              | CUSIP: 55284PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $85361.13     | 0.01%             | 2066-12-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                                              | PayPal Holdings Inc                                                              | CUSIP: 70450YAH6<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |       75000 | PA      | $67876.68     | 0.01%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKEQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      175609 | PA      | $150466.85    | 0.01%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AZUL SECURED FINANCE LLP                                                         | Azul Secured Finance LLP                                                         | CUSIP: 05501WAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      213528 | PA      | $126515.34    | 0.01%             | 2028-08-28      | Fixed         | 11.93%                | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                            | General Dynamics Corp                                                            | CUSIP: 369550BR8<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       75000 | PA      | $75248.22     | 0.01%             | 2035-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | USD/JPY Down-and-out barrier option; Barrier price USD 142.50000                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |       73000 | OU      | $401.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      200000 | PA      | $197406.80    | 0.02%             | 2035-12-03      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.742450 18-JUN-2027 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    51160000 | OU      | $-462092.08   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| AS MILEAGE PLAN IP LTD                                                           | AS Mileage Plan IP Ltd                                                           | CUSIP: 00218QAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       14000 | PA      | $13411.28     | 0.00%             | 2031-10-20      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                       | Intel Corp                                                                       | CUSIP: 458140CG3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      330000 | PA      | $324268.03    | 0.03%             | 2033-02-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Venture Global Inc                                                               | Venture Global Inc                                                               | CUSIP: 92333F101<br>LEI: 2549007XC91CAB3E0N98 | Long             | EC               | CORP              | US        |         261 | NS      | $2189.79      | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      138000 | PA      | $136930.13    | 0.01%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | SWP: OIS 14.107500 04-JAN-2027 BZD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |      433000 | OU      | $263.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      323000 | PA      | $326594.46    | 0.03%             | 2053-04-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2021-LBA                                                                | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      197702 | PA      | $195972.54    | 0.02%             | 2036-02-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Lear Corp                                                                        | Lear Corp                                                                        | CUSIP: 521865AY1<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | DBT              | CORP              | US        |       35000 | PA      | $34101.39     | 0.00%             | 2027-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $634.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                                    | RFMSI Series 2006-SA4 Trust                                                      | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4055 | PA      | $3262.65      | 0.00%             | 2036-11-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | USD C CNH P @7.350000 EO                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | KY        |      100000 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                         | Corebridge Financial Inc                                                         | CUSIP: 21871XAH2<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18414.21     | 0.00%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGG45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      806971 | PA      | $731487.74    | 0.06%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust 2020-1                                    | CUSIP: 92259LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      480903 | PA      | $433438.07    | 0.04%             | 2050-02-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CA        |           1 | NC      | $7601.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KQ2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28094 | PA      | $28697.48     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA4                                          | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | USGSE             | US        |     1750000 | PA      | $1759852.50   | 0.14%             | 2041-12-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                      | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      335000 | PA      | $227863.61    | 0.02%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                                                            | Directv Financing LLC / Directv Financing Co-Obligor Inc                         | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      109000 | PA      | $105345.63    | 0.01%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                          | CUSIP: 808513AU9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |        3000 | PA      | $2925.61      | 0.00%             | 2028-01-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-1226.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                                                                | Rakuten Group Inc                                                                | CUSIP: 75102WAK4<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |      212000 | PA      | $223619.71    | 0.02%             | 2029-04-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                                                   | Merck & Co Inc                                                                   | CUSIP: 58933YAJ4<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |       80000 | PA      | $67513.71     | 0.01%             | 2043-05-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                                           | American Honda Finance Corp                                                      | CUSIP: 02665WCE9<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48950.59     | 0.00%             | 2028-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWCB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1110009 | PA      | $883482.77    | 0.07%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      177000 | PA      | $179745.53    | 0.01%             | 2031-04-23      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                          | Southern Co Gas Capital Corp                                                     | CUSIP: 001192AH6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19988.81     | 0.00%             | 2041-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                       | Navient Private Education Refi Loan Trust 2021-C                                 | CUSIP: 63942JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      111750 | PA      | $100404.27    | 0.01%             | 2069-10-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                           | Sempra                                                                           | CUSIP: 816851BJ7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |      100000 | PA      | $72175.79     | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2024-1                                     | CUSIP: 96043RAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      680000 | PA      | $691560.68    | 0.06%             | 2029-10-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                         | Santander UK Group Holdings PLC                                                  | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $195143.10    | 0.02%             | 2028-11-03      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| MDC HOLDINGS INC                                                                 | MDC Holdings Inc                                                                 | CUSIP: 552676AV0<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |       15000 | PA      | $11273.84     | 0.00%             | 2061-08-06      | Fixed         | 3.97%                 | No            |                  2 | On Loan: —       |
| RENEW POWER PVT LTD                                                              | ReNew Pvt Ltd                                                                    | CUSIP: 000000000<br>LEI: 335800BITJZHVZ1CN475 | Long             | DBT              | CORP              | IN        |      400000 | PA      | $391500.00    | 0.03%             | 2027-03-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Juniper Networks Inc                                                             | Juniper Networks Inc                                                             | CUSIP: 48203RAD6<br>LEI: AUHIXNGG7U2U7JEHM527 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19712.09     | 0.00%             | 2041-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                                                   | Transocean Inc                                                                   | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |       47000 | PA      | $37893.78     | 0.00%             | 2029-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                        | Kroger Co/The                                                                    | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |      140000 | PA      | $137216.75    | 0.01%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                               | CUSIP: 72650RBP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       70000 | PA      | $69231.40     | 0.01%             | 2034-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                                                 | Soundview Home Loan Trust 2005-OPT3                                              | CUSIP: 83611MGX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       25000 | PA      | $19374.70     | 0.00%             | 2035-11-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: HKD 3.142500 17-SEP-2030 HKD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4000000 | OU      | $-5723.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                                                               | Regency Centers LP                                                               | CUSIP: 75884RBA0<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              |  | US        |      100000 | PA      | $96212.83     | 0.01%             | 2030-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                                                | Cisco Systems Inc                                                                | CUSIP: 17275RBU5<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |      205000 | PA      | $195632.72    | 0.02%             | 2054-02-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.301500 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  2725000000 | OU      | $-6380.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680BZ5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |       30000 | PA      | $23710.54     | 0.00%             | 2049-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100057 | PA      | $91079.42     | 0.01%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SE        |           1 | NC      | $2634.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                                                            | Oglethorpe Power Corp                                                            | CUSIP: 677050AU0<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |       75000 | PA      | $75141.47     | 0.01%             | 2053-12-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| New York City Municipal Water Finance Authority                                  | NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE                         | CUSIP: 64972FL20<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |       60000 | PA      | $62379.12     | 0.01%             | 2042-06-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                       | Pfizer Inc                                                                       | CUSIP: 717081FA6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |       98000 | PA      | $59514.13     | 0.00%             | 2050-05-28      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                          | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust                    | CUSIP: 93362FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60851 | PA      | $54580.57     | 0.00%             | 2046-08-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| ADVENTIST HEALTH SYS/W                                                           | Adventist Health System/West                                                     | CUSIP: 007944AH4<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50344.02     | 0.00%             | 2032-03-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CZK 3.639000 17-SEP-2030 PRI                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3000000 | OU      | $-2431.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mylan Inc                                                                        | Mylan Inc                                                                        | CUSIP: 628530BK2<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24451.66     | 0.00%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: PLN 3.955000 17-SEP-2030 WIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6000000 | OU      | $7680.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FCD1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      634000 | PA      | $617183.64    | 0.05%             | 2034-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CH        |           1 | NC      | $4475.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2005-55CW                                                 | CUSIP: 12668AUP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11833 | PA      | $8613.27      | 0.00%             | 2035-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      463733 | PA      | $454957.48    | 0.04%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X8CV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      599112 | PA      | $483628.47    | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      578340 | PA      | $531625.68    | 0.04%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | Nomura Holdings Inc                                                              | CUSIP: 65535HBE8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $200091.22    | 0.02%             | 2025-07-03      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                              | Affirm Master Trust                                                              | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      361000 | PA      | $362828.83    | 0.03%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: AUD 3.675000 18-JUN-2028 AUD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5690000 | OU      | $-51132.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lumen Technologies Inc                                                           | Lumen Technologies Inc                                                           | CUSIP: 550241103<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | EC               | CORP              | US        |       10797 | NS      | $38221.38     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GREENKO POWER II LTD                                                             | Greenko Power II Ltd                                                             | CUSIP: 000000000<br>LEI: 254900YYA4B6O2O4JM12 | Long             | DBT              | CORP              | MU        |      250500 | PA      | $228531.15    | 0.02%             | 2028-12-13      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                          | Mexican Bonos                                                                    | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      606000 | PA      | $25378.81     | 0.00%             | 2047-11-07      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                                             | Lockheed Martin Corp                                                             | CUSIP: 539830BN8<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      100000 | PA      | $77449.48     | 0.01%             | 2052-09-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | Reperforming Loan REMIC Trust 2005-R1                                            | CUSIP: 12669GXD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152311 | PA      | $145768.79    | 0.01%             | 2035-03-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWP: OIS 14.995000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     9000000 | OU      | $-93843.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                         | CUSIP: 38381JDG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23336 | PA      | $21313.90     | 0.00%             | 2063-09-16      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: PLN 5.135000 20-DEC-2025 WIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |      358000 | OU      | $231.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AK5<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              |  | US        |      889000 | PA      | $903044.42    | 0.07%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                                                          | OHA Credit Partners XI Ltd                                                       | CUSIP: 67109FAU9<br>LEI: 549300OYGEU6QQMCEG78 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500297.95    | 0.04%             | 2037-04-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                                 | OneMain Financial Issuance Trust 2020-2                                          | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $96990.86     | 0.01%             | 2035-09-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                                           | Bunge Ltd Finance Corp                                                           | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |       25000 | PA      | $22378.98     | 0.00%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| D.R. HORTON INC                                                                  | DR Horton Inc                                                                    | CUSIP: 23331ABU2<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |       28000 | PA      | $28029.05     | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XTCE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      603989 | PA      | $530465.18    | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                              | CUSIP: 302635AH0<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |      110000 | PA      | $104163.20    | 0.01%             | 2027-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWHD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       69855 | PA      | $66858.47     | 0.01%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                            | Foundry JV Holdco LLC                                                            | CUSIP: 350930AJ2<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      201000 | PA      | $205813.64    | 0.02%             | 2037-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                        | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460000 | PA      | $460000.00    | 0.04%             | 2039-06-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |           1 | NC      | $2088.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | NZ        |           1 | NC      | $5815.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                 | CUSIP: 191216DS6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |      280000 | PA      | $270481.31    | 0.02%             | 2054-05-13      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                 | Georgia Power Co                                                                 | CUSIP: 373334KR1<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      257000 | PA      | $235510.81    | 0.02%             | 2052-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      200000 | PA      | $198961.80    | 0.02%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                                         | American Water Capital Corp                                                      | CUSIP: 03040WAY1<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |       35000 | PA      | $30544.65     | 0.00%             | 2031-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Massachusetts School Building Authority                                          | MASSACHUSETTS ST SCH BLDG AUTH SALES TAX REVENUE                                 | CUSIP: 576000ZW6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       50000 | PA      | $37493.86     | 0.00%             | 2043-05-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (ITRAXX.XO.43.V1)                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     1390000 | OU      | $110485.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                                           | BP Capital Markets America Inc                                                   | CUSIP: 10373QBR0<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |       80000 | PA      | $57614.45     | 0.00%             | 2041-06-17      | Fixed         | 3.06%                 | 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        |        9170 | PA      | $8762.98      | 0.00%             | 2035-11-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| IDEX CORP                                                                        | IDEX Corp                                                                        | CUSIP: 45167RAG9<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | DBT              | CORP              | US        |      430000 | PA      | $393677.78    | 0.03%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1874000 | PA      | $1901096.77   | 0.15%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      185000 | PA      | $167099.81    | 0.01%             | 2041-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.205000 17-SEP-2030 SOR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $23411.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NatWest Group PLC                                                                | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      225000 | PA      | $226302.38    | 0.02%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KRCJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43073 | PA      | $44106.93     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.018980 18-JUN-2030 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1872959 | OU      | $-45880.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100627.20    | 0.01%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Bank                                                                             | BANK 2022-BNK41                                                                  | CUSIP: 06540MBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $139934.28    | 0.01%             | 2065-04-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $168.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                                           | American Honda Finance Corp                                                      | CUSIP: 02665WDL2<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |       75000 | PA      | $74514.99     | 0.01%             | 2025-07-08      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133BM7G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45806 | PA      | $45119.32     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |           1 | NC      | $5310.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                     | Alphabet Inc                                                                     | CUSIP: 02079KAG2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       35000 | PA      | $19073.57     | 0.00%             | 2060-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                                              | Peru Government International Bonds                                              | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      480000 | PA      | $324600.00    | 0.03%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | EUR/USD One-touch barrier option; Barrier price EUR 1.09000                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | KY        |        8000 | OU      | $1206.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                         | BHP Billiton Finance USA Ltd                                                     | CUSIP: 055451BJ6<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |      590000 | PA      | $602072.78    | 0.05%             | 2030-02-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                              | Exeter Automobile Receivables Trust 2023-4                                       | CUSIP: 30166TAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      350000 | PA      | $359576.18    | 0.03%             | 2029-12-17      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      269000 | PA      | $256994.31    | 0.02%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-4777.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                                            | CUSIP: 882508CG7<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |      120000 | PA      | $121882.77    | 0.01%             | 2029-02-08      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                                                  | AREIT 2024-CRE9 Ltd                                                              | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      370000 | PA      | $369117.77    | 0.03%             | 2041-05-17      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      399389 | PA      | $353789.10    | 0.03%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS CO                                                             | National Fuel Gas Co                                                             | CUSIP: 636180BU4<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |      310000 | PA      | $310781.81    | 0.03%             | 2035-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                    | CUSIP: 829259AY6<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |      218000 | PA      | $156960.00    | 0.01%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1361000 | PA      | $1373402.09   | 0.11%             | 2028-04-23      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| TTAN                                                                             | TTAN 2021-MHC                                                                    | CUSIP: 87303TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      591395 | PA      | $590286.34    | 0.05%             | 2038-03-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | KR        |           1 | NC      | $980.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Altria Group Inc                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SAM5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      101000 | PA      | $79942.70     | 0.01%             | 2042-08-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED PHP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PH        |           1 | NC      | $990.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                                               | Ohio Power Co                                                                    | CUSIP: 677415CW9<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      240000 | PA      | $243276.01    | 0.02%             | 2034-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3142GQSS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       64137 | PA      | $66370.17     | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                                                               | Bausch + Lomb Corp                                                               | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |      147000 | PA      | $152703.60    | 0.01%             | 2028-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| ALEXANDER FUND TRUST II                                                          | Alexander Funding Trust II                                                       | CUSIP: 014916AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $106174.04    | 0.01%             | 2028-07-31      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp                                                           | Boston Scientific Corp                                                           | CUSIP: 101137107<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | EC               | CORP              | US        |         393 | NS      | $40427.91     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                       | CUSIP: 92343VGT5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100827.69    | 0.01%             | 2033-05-09      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | Simon Property Group LP                                                          | CUSIP: 828807DY0<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              |  | US        |       70000 | PA      | $66927.05     | 0.01%             | 2034-09-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | SWP: IFS 3.274440 15-APR-2035 UKR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      500000 | OU      | $-700.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GRAN TIERRA ENERGY INC                                                           | Gran Tierra Energy Inc                                                           | CUSIP: 38500TAC5<br>LEI: 549300IH2S17MAIUCM32 | Long             | DBT              | CORP              | US        |       15000 | PA      | $11737.50     | 0.00%             | 2029-10-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132E0SZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      125879 | PA      | $122605.00    | 0.01%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP                                                          | Sun Communities Operating LP                                                     | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              |  | US        |      390000 | PA      | $340804.25    | 0.03%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 8.970000 14-DEC-2029 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      790000 | OU      | $-2073.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT Corp                                                                         | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1165000 | PA      | $1066877.40   | 0.09%             | 2031-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CA        |           1 | NC      | $10345.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      300000 | PA      | $317139.29    | 0.03%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust 2016-UB11                                         | CUSIP: 61767FBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      305000 | PA      | $297180.07    | 0.02%             | 2049-08-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                                                            | Accenture Capital Inc                                                            | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |      130000 | PA      | $125298.12    | 0.01%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140LWCU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      116232 | PA      | $106052.23    | 0.01%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      235000 | PA      | $237519.97    | 0.02%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | SE        |           1 | NC      | $1453.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: EUR 2.505500 20-FEB-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      612810 | OU      | $-9208.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | USD P JPY C @140.0000 EO                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | KY        |      341000 | OU      | $1467.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                  | CUSIP: 842587DL8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      159000 | PA      | $165228.18    | 0.01%             | 2032-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | AUD P USD C @0.620000 EO                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KY        |       76000 | OU      | $244.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |           1 | NC      | $2383.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                         | Santander UK Group Holdings PLC                                                  | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $202017.11    | 0.02%             | 2026-11-21      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                               | A&D Mortgage Trust 2024-NQM5                                                     | CUSIP: 00039KAC4<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |       93833 | PA      | $94333.31     | 0.01%             | 2069-11-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                         | Anheuser-Busch InBev Worldwide Inc                                               | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      225000 | PA      | $222643.42    | 0.02%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Lam Research Corp                                                                | Lam Research Corp                                                                | CUSIP: 512807306<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |         500 | NS      | $35835.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PFIZER INVESTMENT ENTER                                                          | Pfizer Investment Enterprises Pte Ltd                                            | CUSIP: 716973AH5<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |       85000 | PA      | $77135.43     | 0.01%             | 2063-05-19      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                                                 | Peruvian Government International Bond                                           | CUSIP: 715638DZ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      203000 | PA      | $58536.50     | 0.00%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                                                          | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC                  | CUSIP: 91327TAA9<br>LEI: N/A                  | Long             | DBT              |  | US        |      138000 | PA      | $146526.33    | 0.01%             | 2028-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | AOMT 2024-6                                                                      | CUSIP: 034944AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      289139 | PA      | $283322.68    | 0.02%             | 2067-11-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: AUD 3.997500 17-SEP-2030 AUD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2120000 | OU      | $25279.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.IG.44.V1)                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    51921062 | OU      | $826755.63    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |           1 | NC      | $136.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QRXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      224433 | PA      | $224515.38    | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1150000 | PA      | $1184235.00   | 0.10%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      300000 | PA      | $265072.51    | 0.02%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ZA        |           1 | NC      | $636.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                                                           | Zimmer Biomet Holdings Inc                                                       | CUSIP: 98956PAX0<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |       80000 | PA      | $82060.81     | 0.01%             | 2028-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust 2025-A                                                 | CUSIP: 64033XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      368000 | PA      | $364471.36    | 0.03%             | 2057-03-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                                                    | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                                     | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |      224000 | PA      | $269581.66    | 0.02%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                       | goeasy Ltd                                                                       | CUSIP: 380355AJ6<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |       70000 | PA      | $70558.74     | 0.01%             | 2029-07-01      | Fixed         | 7.63%                 | No            |                  2 | On Loan: —       |
| Goldman Home Improvement Trust Issuer Trust                                      | Goldman Home Improvement Trust 2022-GRN1 Issuer Trust                            | CUSIP: 38150YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       81901 | PA      | $81398.11     | 0.01%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verdelite Static CLO Ltd                                                         | Verdelite Static CLO 2024-1 Ltd                                                  | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      210230 | PA      | $209426.77    | 0.02%             | 2032-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                             | Blue Owl Finance LLC                                                             | CUSIP: 09581JAR7<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |      670000 | PA      | $585186.44    | 0.05%             | 2031-06-10      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                         | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     5244000 | PA      | $273222.94    | 0.02%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |           1 | NC      | $2550.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |           1 | NC      | $6648.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | IN        |           1 | NC      | $6956.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                           | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     1127000 | PA      | $1107706.31   | 0.09%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                   | CUSIP: 927804FE9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |       50000 | PA      | $53539.40     | 0.00%             | 2037-11-30      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042657<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -7995000 | PA      | $-7645221.23  | -0.62%            | 2055-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                     | Comcast Corp                                                                     | CUSIP: 20030NDP3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       75000 | PA      | $40514.87     | 0.00%             | 2052-08-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                   | CUSIP: 68233JCS1<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51950.86     | 0.00%             | 2033-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Manulife Financial Corp                                                          | Manulife Financial Corp                                                          | CUSIP: 56501RAE6<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |       75000 | PA      | $73802.12     | 0.01%             | 2032-02-24      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 3.010000 15-APR-2055 UKR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      323400 | OU      | $-2062.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                                                          | Blue Bridge Funding 2023-1 LLC                                                   | CUSIP: 09531MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      157000 | PA      | $158493.98    | 0.01%             | 2030-11-15      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORP                                                                   | TD SYNNEX Corp                                                                   | CUSIP: 87162WAF7<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |      175000 | PA      | $167447.46    | 0.01%             | 2026-08-09      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                             | M&T Bank Corp                                                                    | CUSIP: 55261FAT1<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |      330000 | PA      | $343378.42    | 0.03%             | 2032-03-13      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400JE4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      165000 | PA      | $166863.29    | 0.01%             | 2031-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-192.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                            | Foundry JV Holdco LLC                                                            | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      405000 | PA      | $413053.45    | 0.03%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-5267.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                              | CUSIP: 025816DF3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      220000 | PA      | $219459.98    | 0.02%             | 2034-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | KR        |           1 | NC      | $1975.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US BANCORP                                                                       | US Bancorp                                                                       | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |       75000 | PA      | $76421.60     | 0.01%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      950000 | PA      | $962926.49    | 0.08%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                            | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1057000 | PA      | $1049072.50   | 0.09%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-4788.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |           1 | NC      | $610.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | FSWP: OIS 8.343000 17-SEP-2030 IBR                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |   328132876 | OU      | $-85.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |           1 | NC      | $1828.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2017-GS8                                            | CUSIP: 36254KAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $291091.20    | 0.02%             | 2050-11-10      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                         | Corebridge Financial Inc                                                         | CUSIP: 21871XAK5<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |       40000 | PA      | $32639.40     | 0.00%             | 2042-04-05      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $89180.25     | 0.01%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-8851.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Florida Power & Light Co                                                         | Florida Power & Light Co                                                         | CUSIP: 341081FL6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |       60000 | PA      | $49034.23     | 0.00%             | 2044-10-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                           | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      260000 | PA      | $271452.84    | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-977.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                                         | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |       65000 | PA      | $64539.81     | 0.01%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                            | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1043000 | PA      | $854613.34    | 0.07%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                           | Motorola Solutions Inc                                                           | CUSIP: 620076BL2<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |       90000 | PA      | $90530.52     | 0.01%             | 2028-02-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: HUF 6.500000 19-MAR-2027 BUB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    38025000 | OU      | $1029.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SE        |           1 | NC      | $11004.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2007-8                                           | CUSIP: 12545AAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       89700 | PA      | $37293.80     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT Corp                                                                         | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      253000 | PA      | $248093.22    | 0.02%             | 2026-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      660000 | PA      | $669521.14    | 0.05%             | 2036-01-18      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-5990.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | SE        |           1 | NC      | $1879.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | SWAP/CDSWAP/SCDS: (MEX)                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |       30000 | OU      | $515.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.287500 17-SEP-2030 SOR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1687500 | OU      | $24826.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                                                              | Sherwin-Williams Co/The                                                          | CUSIP: 824348AW6<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |      150000 | PA      | $147425.16    | 0.01%             | 2027-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                                                         | Berkshire Hathaway Energy Co                                                     | CUSIP: 59562VBD8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |       45000 | PA      | $41925.48     | 0.00%             | 2043-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      550000 | PA      | $557784.01    | 0.05%             | 2029-01-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY INC                                                                 | Viper Energy Inc                                                                 | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |     1305000 | PA      | $1298164.02   | 0.11%             | 2027-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GREENKO WIND PROJECTS MU                                                         | Greenko Wind Projects Mauritius Ltd                                              | CUSIP: 000000000<br>LEI: 254900MSUXE1FF83DP82 | Long             | DBT              | CORP              | MU        |      200000 | PA      | $192500.00    | 0.02%             | 2028-09-27      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                              | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7910 | PA      | $6637.36      | 0.00%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| State of Texas                                                                   | TEXAS ST                                                                         | CUSIP: 882722KF7<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |      115000 | PA      | $117754.26    | 0.01%             | 2039-04-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                                             | Lockheed Martin Corp                                                             | CUSIP: 539830109<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | EC               | CORP              | US        |          78 | NS      | $37264.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                          | CUSIP: 15189XAZ1<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24200.41     | 0.00%             | 2032-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                                  | Republic Finance Issuance Trust 2024-B                                           | CUSIP: 76042GAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $101142.33    | 0.01%             | 2037-11-20      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                                                   | WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust                        | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      570341 | PA      | $203677.75    | 0.02%             | 2037-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      123000 | PA      | $129743.69    | 0.01%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      590577 | PA      | $537915.84    | 0.04%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138ER6J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80020 | PA      | $78067.38     | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2015-GC32                                           | CUSIP: 36250PAL9<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |       56000 | PA      | $54600.71     | 0.00%             | 2048-07-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| UNIV OF NOTRE DAME                                                               | University of Notre Dame du Lac                                                  | CUSIP: 914748AA6<br>LEI: XV74408A6JGDG5126L34 | Long             | DBT              | CORP              | US        |      150000 | PA      | $109412.07    | 0.01%             | 2048-02-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-1190.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | GB        |           1 | NC      | $3066.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-1376.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                    | CUSIP: 571903BM4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101064.13    | 0.01%             | 2026-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                              | Bank of Nova Scotia/The                                                          | CUSIP: 0641594A1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      300000 | PA      | $290151.40    | 0.02%             | 2026-06-24      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                     | Centene Corp                                                                     | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |       75000 | PA      | $72299.67     | 0.01%             | 2029-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                  | CUSIP: 718172AC3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       75000 | PA      | $81556.34     | 0.01%             | 2038-05-16      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                                                          | MPT Operating Partnership LP / MPT Finance Corp                                  | CUSIP: 55342UAJ3<br>LEI: N/A                  | Long             | DBT              |  | US        |       96000 | PA      | $73121.13     | 0.01%             | 2029-08-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: —       |
| AMERICAN WATER CAPITAL C                                                         | American Water Capital Corp                                                      | CUSIP: 03040WBA2<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |       90000 | PA      | $87653.37     | 0.01%             | 2032-06-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Solaris Energy Infrastructure Inc                                                | Solaris Energy Infrastructure Inc                                                | CUSIP: 83418M103<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | EC               | CORP              | US        |        7827 | NS      | $165462.78    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-19066.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                            | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |       50000 | PA      | $52502.96     | 0.00%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                              | Exeter Automobile Receivables Trust 2022-2                                       | CUSIP: 30166QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      147492 | PA      | $147315.44    | 0.01%             | 2028-07-17      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20753YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1900000 | PA      | $2011625.00   | 0.16%             | 2042-03-25      | Floating      | 9.60%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | PL        |           1 | NC      | $1110.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                               | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      300000 | PA      | $291683.69    | 0.02%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GULFPORT ENERGY OP CORP                                                          | Gulfport Energy Operating Corp                                                   | CUSIP: 402635AT3<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |      121000 | PA      | $119244.10    | 0.01%             | 2029-09-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | BR        |           1 | NC      | $773.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-1094.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMER SPORTS COMPANY                                                              | Amer Sports Co                                                                   | CUSIP: 02352NAA7<br>LEI: 549300NRKH9WF70VFC95 | Long             | DBT              | CORP              | US        |      147000 | PA      | $148618.47    | 0.01%             | 2031-02-16      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DMQW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      849879 | PA      | $744400.77    | 0.06%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                                                 | CARLYLE US CLO 2017-3 Ltd                                                        | CUSIP: 14314FBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249150.08    | 0.02%             | 2037-10-21      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      215000 | PA      | $193442.20    | 0.02%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD PHP                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-47490.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                       | Humana Inc                                                                       | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      200000 | PA      | $206006.54    | 0.02%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                                                          | KeyCorp                                                                          | CUSIP: 49326EEP4<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |       50000 | PA      | $52376.41     | 0.00%             | 2035-03-06      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6299000 | PA      | $6385593.11   | 0.52%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Landsea Homes Corp                                                               | Landsea Homes Corp                                                               | CUSIP: 51509P103<br>LEI: 549300RP8AZAKHNILS36 | Long             | EC               | CORP              | US        |        4564 | NS      | $27840.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.754870 18-JUN-2035 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1265000 | OU      | $-40960.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-KING                                           | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       98701 | PA      | $98638.94     | 0.01%             | 2034-05-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CH        |           1 | NC      | $4942.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-MF                                             | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      253240 | PA      | $253160.86    | 0.02%             | 2039-02-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| BlackRock Funds III                                                              | BlackRock Cash Funds: Institutional, SL Agency Shares                            | CUSIP: 066922519<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        |    20646619 | NS      | $20654878.09  | 1.68%             |  |  |  | No            |                  1 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust 2023-2                                    | CUSIP: 92260AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      114293 | PA      | $114155.24    | 0.01%             | 2053-05-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       91000 | PA      | $91398.13     | 0.01%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARES MANAGEMENT CORP                                                             | Ares Management Corp                                                             | CUSIP: 03990BAA9<br>LEI: 529900JUV61FH7B8VW38 | Long             | DBT              | CORP              | US        |     1640000 | PA      | $1733923.36   | 0.14%             | 2028-11-10      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JOHNSONVILLE AERO COMBST                                                         | Johnsonville Aeroderivative Combustion Turbine Generation LLC                    | CUSIP: 479281AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      133172 | PA      | $128619.18    | 0.01%             | 2054-10-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $485.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XSAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      992890 | PA      | $996512.78    | 0.08%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-2612.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-8514.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2023-X1                                        | CUSIP: 00834KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      300000 | PA      | $300543.99    | 0.02%             | 2028-11-15      | Fixed         | 9.55%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103848.11    | 0.01%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.397500 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   850420000 | OU      | $4716.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                            | Norfolk Southern Corp                                                            | CUSIP: 655844CH9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |      138000 | PA      | $86992.90     | 0.01%             | 2055-05-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                                                         | TotalEnergies Capital SA                                                         | CUSIP: 89157XAB7<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |      320000 | PA      | $302300.55    | 0.02%             | 2054-04-05      | Fixed         | 5.49%                 | No            |                  2 | On Loan: —       |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                          | CUSIP: 808513CA1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |        3000 | PA      | $2643.95      | 0.00%             | 2032-03-03      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      350000 | PA      | $342561.89    | 0.03%             | 2026-12-09      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                     | CUSIP: 65473PAM7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |       45000 | PA      | $39162.68     | 0.00%             | 2052-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.670210 18-JUN-2035 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2605000 | OU      | $-62100.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CNY 1.587000 17-SEP-2030 CNR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7000000 | OU      | $-9182.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                                              | Elmwood CLO II Ltd                                                               | CUSIP: 29001LAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.02%             | 2037-10-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                                         | Fox Corp                                                                         | CUSIP: 35137LAN5<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |      280000 | PA      | $297849.47    | 0.02%             | 2033-10-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $4.99         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | USD/JPY Down-and-out barrier option; Barrier price USD 136.00000                 | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |      123000 | OU      | $1032.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Genius Sports Ltd                                                                | Genius Sports Ltd                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | GG        |       20641 | NS      | $222716.39    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-4640.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                                           | CenterPoint Energy Inc                                                           | CUSIP: 15189TBA4<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48372.91     | 0.00%             | 2026-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-1041.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                               | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70000 | PA      | $70737.25     | 0.01%             | 2039-06-12      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-220.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IDEX CORP                                                                        | IDEX Corp                                                                        | CUSIP: 45167RAH7<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | DBT              | CORP              | US        |     1515000 | PA      | $1318424.24   | 0.11%             | 2031-06-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                               | Regional Management Issuance Trust 2021-2                                        | CUSIP: 75907UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      120000 | PA      | $113668.68    | 0.01%             | 2033-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                                                  | OHA Credit Funding 17 Ltd                                                        | CUSIP: 67109SAA5<br>LEI: 254900ZA7EPUCGQUTA43 | Long             | ABS-CBDO         | CORP              | BM        |      250000 | PA      | $249750.00    | 0.02%             | 2037-04-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PCD2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      120000 | PA      | $99968.08     | 0.01%             | 2043-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPBG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      436837 | PA      | $380075.23    | 0.03%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SE        |           1 | NC      | $278.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133L8XH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      859599 | PA      | $784901.19    | 0.06%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ESTEE LAUDER CO INC                                                              | Estee Lauder Cos Inc/The                                                         | CUSIP: 29736RAP5<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | DBT              | CORP              | US        |       25000 | PA      | $22797.48     | 0.00%             | 2029-12-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2022-3                                    | CUSIP: 80285UAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       67200 | PA      | $67153.77     | 0.01%             | 2027-08-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                             | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      377000 | PA      | $368226.54    | 0.03%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       75000 | PA      | $66141.36     | 0.01%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR NOTE (CBT)JUN25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -71 | NC      | $-81114.26    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA NA                                                               | USD C CLP P @950.00 EO                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |      -50000 | OU      | $-634.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | EUR P NOK C @11.55000 EO                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | LU        |       68000 | OU      | $42.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Visio Trust                                                                      | Visio 2022-1 Trust                                                               | CUSIP: 92838CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $84324.82     | 0.01%             | 2057-08-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | EUR C NOK P @11.80000 EO                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |       34000 | OU      | $226.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.371000 17-SEP-2030 THO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    47000000 | OU      | $-2901.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                         | BHP Billiton Finance USA Ltd                                                     | CUSIP: 055451AZ1<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |      235000 | PA      | $239001.06    | 0.02%             | 2028-02-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-6299.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QTH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58195 | PA      | $60167.74     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                                          | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                      | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       15000 | PA      | $14501.14     | 0.00%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED HUF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | HU        |           1 | NC      | $622.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3000000 | PA      | $3066796.86   | 0.25%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.129000 17-SEP-2030 SOR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      420000 | OU      | $-3753.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                               | Expand Energy Corp                                                               | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      241000 | PA      | $239254.46    | 0.02%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                         | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      203235 | PA      | $192162.22    | 0.02%             | 2063-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | TR        |           1 | NC      | $149.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | Synchrony Financial                                                              | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     1019000 | PA      | $1039109.84   | 0.08%             | 2033-02-02      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15000000 | PA      | $14660156.25  | 1.19%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |           1 | NC      | $372.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HIG RCP Trust                                                                    | HIG RCP 2023-FL1 LLC                                                             | CUSIP: 40443GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        3762 | PA      | $3727.67      | 0.00%             | 2038-09-19      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                                         | International Business Machines Corp                                             | CUSIP: 459200KZ3<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |      430000 | PA      | $387410.47    | 0.03%             | 2053-02-06      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-988.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                                             | Diameter Capital CLO 8 Ltd                                                       | CUSIP: 25256JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      460000 | PA      | $460071.02    | 0.04%             | 2037-10-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.723500 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     1260000 | OU      | $-7123.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.373050 18-JUN-2028 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     5260000 | OU      | $20068.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2024-PAT                                                                | CUSIP: 05612FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56000 | PA      | $54976.53     | 0.00%             | 2041-03-15      | Floating      | 9.71%                 | No            |                  2 | On Loan: No      |
| JOHNSON CONTROLS/TYCO FI                                                         | Johnson Controls International plc / Tyco Fire & Security Finance SCA            | CUSIP: 47837RAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |       75000 | PA      | $64808.90     | 0.01%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                               | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16636.52     | 0.00%             | 2052-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                                                   | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75000 | PA      | $75431.22     | 0.01%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ID        |           1 | NC      | $2437.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Microsoft Corp                                                                   | Microsoft Corp                                                                   | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |          97 | NS      | $38340.22     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DBGS Mortgage Trust                                                              | DBGS 2024-SBL                                                                    | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      260000 | PA      | $258862.03    | 0.02%             | 2034-08-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                                   | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      138458 | PA      | $130171.05    | 0.01%             | 2034-09-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                                             | BAT International Finance PLC                                                    | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $194638.00    | 0.02%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                                                         | Packaging Corp of America                                                        | CUSIP: 695156AX7<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |      200000 | PA      | $206005.27    | 0.02%             | 2033-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.927000 17-SEP-2030 SOR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1050000 | OU      | $-1653.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lazard Group LLC                                                                 | Lazard Group LLC                                                                 | CUSIP: 52107QAJ4<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98835.09     | 0.01%             | 2028-09-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                                                         | USA Compression Partners LP / USA Compression Finance Corp                       | CUSIP: 91740PAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       97000 | PA      | $97940.03     | 0.01%             | 2029-03-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.695000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    14000000 | OU      | $-251151.17   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-4481.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED CLP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CL        |           1 | NC      | $1355.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ADG7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       75000 | PA      | $69893.53     | 0.01%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds                                           | Uruguay Government International Bonds                                           | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |      252900 | PA      | $232288.65    | 0.02%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| VERISIGN INC                                                                     | VeriSign Inc                                                                     | CUSIP: 92343EAM4<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |     1140000 | PA      | $1007207.84   | 0.08%             | 2031-06-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWP: OIS 14.690000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     9000000 | OU      | $-73102.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                                 | CIFC Funding 2017-V Ltd                                                          | CUSIP: 12551MAL3<br>LEI: 635400BTAKRBKGRV3X14 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.02%             | 2037-07-17      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      200000 | PA      | $208713.36    | 0.02%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                       | VMware LLC                                                                       | CUSIP: 928563AE5<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |       80000 | PA      | $80123.21     | 0.01%             | 2027-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                                                   | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAU5<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |       75000 | PA      | $76044.17     | 0.01%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $87614.94     | 0.01%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PL        |           1 | NC      | $-401.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3142GTED4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1018786 | PA      | $1062646.14   | 0.09%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                         | CUSIP: 341081GL5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      110000 | PA      | $111449.58    | 0.01%             | 2033-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                                         | FirstEnergy Transmission LLC                                                     | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      545000 | PA      | $537211.13    | 0.04%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                             | Las Vegas Sands Corp                                                             | CUSIP: 517834AL1<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |       55000 | PA      | $53893.52     | 0.00%             | 2034-08-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                                 | RALI Series 2005-QO2 Trust                                                       | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      413214 | PA      | $346940.50    | 0.03%             | 2045-09-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                                         | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      528000 | PA      | $531691.02    | 0.04%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CJK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      305000 | PA      | $309098.44    | 0.03%             | 2026-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | SE        |           1 | NC      | $3758.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED PHP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PH        |           1 | NC      | $2962.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                               | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |      600000 | PA      | $593749.62    | 0.05%             | 2035-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: —       |
| Kraft Heinz Foods Co                                                             | Kraft Heinz Foods Co                                                             | CUSIP: 50077LAM8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       45000 | PA      | $40787.27     | 0.00%             | 2045-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                       | Navient Private Education Refi Loan Trust 2020-C                                 | CUSIP: 63941KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      377985 | PA      | $380416.35    | 0.03%             | 2068-11-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Octagon 57 Ltd                                                                   | Octagon 57 Ltd                                                                   | CUSIP: 67592XAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249200.05    | 0.02%             | 2034-10-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                               | CUSIP: 032654AV7<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17290.14     | 0.00%             | 2031-10-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |           1 | NC      | $2447.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.800000 16-MAY-2026 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     8984000 | OU      | $10278.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | USD/KRW Down-and-out barrier option; Barrier price USD 1,353.00000               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KY        |      293000 | OU      | $353.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-503.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.396670 17-SEP-2030 CAD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      580000 | OU      | $715.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                               | Union Pacific Corp                                                               | CUSIP: 907818GA0<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      329000 | PA      | $225423.23    | 0.02%             | 2072-02-14      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                           | PNC Financial Services Group Inc/The                                             | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      635000 | PA      | $629493.22    | 0.05%             | 2032-10-21      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-762.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                                | Kinder Morgan Inc                                                                | CUSIP: 28368EAD8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      195000 | PA      | $221091.21    | 0.02%             | 2031-08-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| Vertiv Holdings Co                                                               | Vertiv Holdings Co                                                               | CUSIP: 92537N108<br>LEI: 549300KTTIRAOGXCRV69 | Long             | EC               | CORP              | US        |         474 | NS      | $40470.12     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORP                                                                     | Comcast Corp                                                                     | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      161000 | PA      | $90418.64     | 0.01%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                               | CUSIP: 30303M8R6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249941.08    | 0.02%             | 2063-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      575000 | PA      | $572031.08    | 0.05%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                           | Williams Cos Inc/The                                                             | CUSIP: 96950FAK0<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       35000 | PA      | $33713.71     | 0.00%             | 2043-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                                                                | Sysco Corp                                                                       | CUSIP: 871829BF3<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24436.53     | 0.00%             | 2027-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                                                   | Air Lease Corp                                                                   | CUSIP: 00912XAY0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49031.42     | 0.00%             | 2027-12-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      180000 | PA      | $180489.15    | 0.01%             | 2034-04-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                 | FirstEnergy Corp                                                                 | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      926000 | PA      | $609612.34    | 0.05%             | 2050-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KV8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      142000 | PA      | $133079.89    | 0.01%             | 2055-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                 | CUSIP: 22822VAL5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |       25000 | PA      | $24573.81     | 0.00%             | 2029-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGX61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      142602 | PA      | $137353.68    | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RESOURCES                                                          | Canadian Natural Resources Ltd                                                   | CUSIP: 136385AY7<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |       30000 | PA      | $24553.63     | 0.00%             | 2047-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                        | CUSIP: 072024ND0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |      100000 | PA      | $105477.57    | 0.01%             | 2049-04-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2024-2                                     | CUSIP: 96042YAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1170000 | PA      | $1189025.60   | 0.10%             | 2030-04-15      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | EUR C USD P @1.120000 EO                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | LU        |       56000 | OU      | $1228.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 7.690000 11-SEP-2030 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    35000000 | OU      | $616.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD PHP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-117.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                                          | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                      | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      307000 | PA      | $279891.39    | 0.02%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2005-29CB                                                 | CUSIP: 12667GUS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6363 | PA      | $3751.89      | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      675000 | PA      | $529019.25    | 0.04%             | 2052-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | EUR P USD C @1.020000 EO                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |      170000 | OU      | $38.13        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20753VCZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2550000 | PA      | $2645625.00   | 0.21%             | 2040-02-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                      | NVIDIA Corp                                                                      | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |       40000 | PA      | $33177.16     | 0.00%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA7                                          | CUSIP: 35564KL72<br>LEI: 5493000IRUQLXTG4SV18 | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1675785.00   | 0.14%             | 2052-03-25      | Floating      | 11.35%                | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                                            | Southwest Airlines Co                                                            | CUSIP: 844741BK3<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |       75000 | PA      | $75203.84     | 0.01%             | 2027-06-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS                                                           | Mid-America Apartments LP                                                        | CUSIP: 59523UAN7<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              |  | US        |       25000 | PA      | $24673.26     | 0.00%             | 2027-06-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-377.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE MATERIALS                                                                  | Eagle Materials Inc                                                              | CUSIP: 26969PAB4<br>LEI: 529900KRXRGXL61SG039 | Long             | DBT              | CORP              | US        |      295000 | PA      | $257479.58    | 0.02%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA3                                          | CUSIP: 35564KJP5<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1503750.00   | 0.12%             | 2041-09-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19584.69     | 0.00%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |           1 | NC      | $2818.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX 2024-PALM                                                                     | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      502788 | PA      | $501374.37    | 0.04%             | 2037-06-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2006-11                                    | CUSIP: 12666TAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      200658 | PA      | $194358.60    | 0.02%             | 2035-12-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                         | CUSIP: 00206RKD3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      125000 | PA      | $88181.61     | 0.01%             | 2043-02-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | AU        |           1 | NC      | $16624.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3138EMN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      152497 | PA      | $146902.15    | 0.01%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NO        |           1 | NC      | $3827.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                                            | Panama Government International Bonds                                            | CUSIP: 698299BR4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      200000 | PA      | $156600.00    | 0.01%             | 2033-01-19      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                               | CUSIP: 74456QCN4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50959.99     | 0.00%             | 2033-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                                       | BFLD 2024-VICT Mortgage Trust                                                    | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      173000 | PA      | $172783.75    | 0.01%             | 2041-07-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                                                        | Anchorage Capital CLO 6 Ltd                                                      | CUSIP: 03328QBN0<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249925.00    | 0.02%             | 2034-04-22      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKZB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      479539 | PA      | $437567.75    | 0.04%             | 2051-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                         | Willis North America Inc                                                         | CUSIP: 970648AN1<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |      650000 | PA      | $629614.91    | 0.05%             | 2054-03-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | GB        |           1 | NC      | $1382.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-113.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H030658<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6589000 | PA      | $5832597.30   | 0.47%             | 2055-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Transit Authority Sales & Transfer Tax Receipts Revenue                  | CHICAGO IL TRANSIT AUTH SALES & TRANSFER TAX RECPTS REVENUE                      | CUSIP: 167725AF7<br>LEI: 549300CB8XLRGIPN3E12 | Long             | DBT              | MUN               | US        |       46928 | PA      | $52116.15     | 0.00%             | 2040-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754DAF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1566323.55   | 0.13%             | 2042-04-25      | Floating      | 8.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.687500 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     1260000 | OU      | $-4906.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                                     | SM Energy Co                                                                     | CUSIP: 78454LAX8<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |        5000 | PA      | $4668.15      | 0.00%             | 2029-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | USD/CNH One-touch barrier option; Barrier price USD 7.50000                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |        9000 | OU      | $952.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST                                                                      | Ivory Coast Government International Bond                                        | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |      100000 | PA      | $83972.54     | 0.01%             | 2048-03-22      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3613900 | PA      | $3568161.58   | 0.29%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VALARIS LTD                                                                      | Valaris Ltd                                                                      | CUSIP: 91889FAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      143000 | PA      | $133989.34    | 0.01%             | 2030-04-30      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      936000 | PA      | $600063.75    | 0.05%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      189809 | PA      | $158166.75    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                          | Piedmont Natural Gas Co Inc                                                      | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48110.51     | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                    | DTE Energy Co                                                                    | CUSIP: 233331BJ5<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |      125000 | PA      | $126220.05    | 0.01%             | 2028-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Booking Holdings Inc                                                             | Booking Holdings Inc                                                             | CUSIP: 741503BC9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19694.75     | 0.00%             | 2028-03-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                         | Targa Resources Partners LP / Targa Resources Partners Finance Corp              | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      780000 | PA      | $758600.41    | 0.06%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ID        |           1 | NC      | $2172.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |           1 | NC      | $324.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-2714.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ZA        |           1 | NC      | $-2280.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-119404.69   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      887600 | PA      | $734627.69    | 0.06%             | 2053-02-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.524500 17-SEP-2030 THO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    11180000 | OU      | $-1789.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                           | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     1577000 | PA      | $1497451.34   | 0.12%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-3                                     | CUSIP: 96041CAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      180000 | PA      | $184915.58    | 0.02%             | 2029-03-15      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| DIAMOND FRGN/DIAMOND FIN                                                         | Diamond Foreign Asset Co / Diamond Finance LLC                                   | CUSIP: 25260WAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      197000 | PA      | $188333.97    | 0.02%             | 2030-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| SITIO ROYAL OP / SIT FIN                                                         | Sitio Royalties Operating Partnership LP / Sitio Finance Corp                    | CUSIP: 82983MAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       46000 | PA      | $47273.46     | 0.00%             | 2028-11-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                       | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      931000 | PA      | $878378.69    | 0.07%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | Bank of America Corp                                                             | CUSIP: 06051GFS3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99825.47     | 0.01%             | 2025-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BEAZER HOMES USA                                                                 | Beazer Homes USA Inc                                                             | CUSIP: 07556QBT1<br>LEI: 549300DUPYT2T0F60I45 | Long             | DBT              | CORP              | US        |       93000 | PA      | $90279.55     | 0.01%             | 2029-10-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                         | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      100000 | PA      | $67037.24     | 0.01%             | 2049-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BRITISH TELECOMMUNICATIO                                                         | British Telecommunications PLC                                                   | CUSIP: 111021AE1<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |      120000 | PA      | $146860.02    | 0.01%             | 2030-12-15      | Fixed         | 9.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                   | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM1                         | CUSIP: 617932AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165608 | PA      | $166645.01    | 0.01%             | 2069-11-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                | Iron Mountain Inc                                                                | CUSIP: 46284VAP6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |       49000 | PA      | $50328.10     | 0.00%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                   | CUSIP: 927804GA6<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      125000 | PA      | $104030.45    | 0.01%             | 2048-12-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 29273RAJ8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       30000 | PA      | $33347.81     | 0.00%             | 2038-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $943.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | 10Y RTR 4.007500 14-APR-2027                                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |      240967 | OU      | $12806.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      615000 | PA      | $523014.26    | 0.04%             | 2030-08-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trust                                                  | 3650R 2021-PF1 Commercial Mortgage Trust                                         | CUSIP: 88575JAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $305029.77    | 0.02%             | 2055-11-15      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 5.666000 17-SEP-2030 INR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    41500000 | OU      | $1220.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |           1 | NC      | $1679.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                                            | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |      260000 | PA      | $230031.35    | 0.02%             | 2030-05-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.IG.44.V1)                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    31338422 | OU      | $-499011.68   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-880.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      380000 | PA      | $374745.47    | 0.03%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| American Express Co                                                              | American Express Co                                                              | CUSIP: 025816CF4<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49393.51     | 0.00%             | 2026-05-20      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Stryker Corp                                                                     | Stryker Corp                                                                     | CUSIP: 863667101<br>LEI: 5493002F0SC4JTBU5137 | Long             | EC               | CORP              | US        |          99 | NS      | $37018.08     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PGA National Resort Commercial Mortgage Trust                                    | PGA Trust 2024-RSR2                                                              | CUSIP: 69381CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38000 | PA      | $37845.57     | 0.00%             | 2039-06-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.462810 18-JUN-2055 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      370000 | OU      | $-3554.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III                                                              | LYB International Finance III LLC                                                | CUSIP: 50249AAK9<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |      100000 | PA      | $62292.73     | 0.01%             | 2060-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                         | JP Morgan Mortgage Trust Series 2024-VIS2                                        | CUSIP: 46658DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25000 | PA      | $25029.47     | 0.00%             | 2064-11-25      | Variable      | 7.73%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        8000 | PA      | $8129.38      | 0.00%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84528 | PA      | $83316.42     | 0.01%             | 2041-04-15      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Trane Technologies PLC                                                           | Trane Technologies PLC                                                           | CUSIP: 000000000<br>LEI: 549300BURLR9SLYY2705 | Long             | EC               | CORP              | IE        |         109 | NS      | $41780.79     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STANLEY BLACK & DECKER I                                                         | Stanley Black & Decker Inc                                                       | CUSIP: 854502AL5<br>LEI: 549300DJ09SMTO561131 | Long             | DBT              | CORP              | US        |       65000 | PA      | $56597.89     | 0.00%             | 2030-03-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XNAQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100680 | PA      | $105088.18    | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.579000 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   238000000 | OU      | $-2762.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK INTERMED HOLDINGS                                                           | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer | CUSIP: 70052LAC7<br>LEI: N/A                  | Long             | DBT              |  | US        |       50000 | PA      | $46808.41     | 0.00%             | 2029-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                                                          | O'Reilly Automotive Inc                                                          | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |      250000 | PA      | $245299.52    | 0.02%             | 2030-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | SWP: OIS 15.117500 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |     4000000 | OU      | $-44758.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      858111 | PA      | $686305.29    | 0.06%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.985730 18-JUN-2035 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1300000 | OU      | $6682.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                          | Dell International LLC / EMC Corp                                                | CUSIP: 24703DBL4<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20679.77     | 0.00%             | 2033-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                         | RTX Corp                                                                         | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       70000 | PA      | $69439.88     | 0.01%             | 2028-11-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      162000 | PA      | $145855.03    | 0.01%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                       | Navient Private Education Loan Trust 2016-A                                      | CUSIP: 63939NAD5<br>LEI: 549300JSCKIU587G1R13 | Long             | ABS-O            | CORP              | US        |      144000 | PA      | $139242.30    | 0.01%             | 2058-12-16      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                                                  | AREIT 2025-CRE10 Ltd                                                             | CUSIP: 00193DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      795000 | PA      | $787014.23    | 0.06%             | 2029-12-17      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      135000 | PA      | $139586.67    | 0.01%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GC51<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       89000 | PA      | $86679.36     | 0.01%             | 2056-01-28      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      342000 | PA      | $216613.75    | 0.02%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60125 | PA      | $55132.69     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                        | CUSIP: 031162DN7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      160000 | PA      | $160035.35    | 0.01%             | 2026-03-02      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Viper Energy Inc                                                                 | Viper Energy Inc                                                                 | CUSIP: 927959106<br>LEI: 5299009LINL232255G03 | Long             | EC               | CORP              | US        |         713 | NS      | $28755.29     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-GPA3                                           | CUSIP: 123910AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       93771 | PA      | $92950.90     | 0.01%             | 2039-12-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                 | FirstEnergy Corp                                                                 | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |       31000 | PA      | $28111.42     | 0.00%             | 2030-03-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust 2024-11                                                 | CUSIP: 03463QAA4<br>LEI: 2549009VFCBSE99NTJ29 | Long             | ABS-MBS          | CORP              | US        |       72501 | PA      | $72774.39     | 0.01%             | 2069-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | Boeing Co/The                                                                    | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       75000 | PA      | $72807.28     | 0.01%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                  | CUSIP: 842587DF1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |       60000 | PA      | $59119.67     | 0.00%             | 2051-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                                              | Cardinal Health Inc                                                              | CUSIP: 14149YBT4<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95767.70     | 0.01%             | 2054-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1894877 | PA      | $1956454.12   | 0.16%             | 2029-04-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| AP GRANGE HOLDINGS LLC                                                           | AP GRANGE HOLDINGS LLC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      258522 | PA      | $250120.16    | 0.02%             | 2045-03-20      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2022-4                                    | CUSIP: 80286FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      146598 | PA      | $146448.59    | 0.01%             | 2027-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                                             | PRET 2024-NPL5 LLC                                                               | CUSIP: 74143QAA3<br>LEI: 254900YWXIBNNDQF0Y67 | Long             | ABS-O            | CORP              | US        |      103153 | PA      | $102694.16    | 0.01%             | 2054-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp                                                                      | NVIDIA Corp                                                                      | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |         345 | NS      | $37577.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA NA                                                               | 10Y RTP 3.665000 05-APR-2027                                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     1627000 | OU      | $78932.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                           | General Motors Financial Co Inc                                                  | CUSIP: 37045XEN2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      155000 | PA      | $158197.31    | 0.01%             | 2029-01-07      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.486900 17-SEP-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $37389.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                            | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAG8<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |      112000 | PA      | $112894.86    | 0.01%             | 2043-07-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                           | ConocoPhillips Co                                                                | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |        5000 | PA      | $3559.08      | 0.00%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust 2007-6                                             | CUSIP: 17312VAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24977 | PA      | $22808.57     | 0.00%             | 2037-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                                                          | Crescent Energy Finance LLC                                                      | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |       11000 | PA      | $9735.19      | 0.00%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: PLN 3.910000 17-SEP-2030 WIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $1516.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GATX CORP                                                                        | GATX Corp                                                                        | CUSIP: 361448BF9<br>LEI: 549300IHYHCQP2PIR591 | Long             | DBT              | CORP              | US        |      150000 | PA      | $144504.18    | 0.01%             | 2030-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                                         | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                       | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |      116000 | PA      | $118402.81    | 0.01%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                                   | Merck & Co Inc                                                                   | CUSIP: 58933YBC8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      500000 | PA      | $478017.49    | 0.04%             | 2027-06-10      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                                                  | Kingdom of Belgium Government Bond                                               | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     1011200 | PA      | $1047813.70   | 0.09%             | 2054-06-22      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAT9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      115000 | PA      | $115496.23    | 0.01%             | 2026-12-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                                                          | Astrazeneca Finance LLC                                                          | CUSIP: 04636NAE3<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |      150000 | PA      | $139912.29    | 0.01%             | 2028-05-28      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Diageo Capital PLC                                                               | Diageo Capital PLC                                                               | CUSIP: 25243YAH2<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |      150000 | PA      | $159717.51    | 0.01%             | 2036-09-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                                             | OHA Loan Funding 2016-1 Ltd                                                      | CUSIP: 67110UAW9<br>LEI: 54930016024GMIAF7A82 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250206.70    | 0.02%             | 2037-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ZA        |           1 | NC      | $164.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                         | Service Properties Trust                                                         | CUSIP: 81761LAB8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |       50000 | PA      | $47631.13     | 0.00%             | 2027-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | Ally Financial Inc                                                               | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |       75000 | PA      | $77842.97     | 0.01%             | 2030-01-03      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                                                          | MPT Operating Partnership LP / MPT Finance Corp                                  | CUSIP: 55342UAQ7<br>LEI: N/A                  | Long             | DBT              |  | US        |       35000 | PA      | $35559.41     | 0.00%             | 2032-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                                                         | Northern States Power Co/MN                                                      | CUSIP: 665772CY3<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |       50000 | PA      | $47478.02     | 0.00%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | Synchrony Financial                                                              | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     1070000 | PA      | $906597.64    | 0.07%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $-577.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUALCOMM Inc                                                                     | QUALCOMM Inc                                                                     | CUSIP: 747525AF0<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99935.94     | 0.01%             | 2025-05-20      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DQ6D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1011813 | PA      | $851756.71    | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2000000 | PA      | $1653281.24   | 0.13%             | 2041-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| AMEREN CORP                                                                      | Ameren Corp                                                                      | CUSIP: 023608AP7<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |      110000 | PA      | $111919.43    | 0.01%             | 2026-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY OP LLC                                                              | Kimco Realty OP LLC                                                              | CUSIP: 49446RAP4<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19532.41     | 0.00%             | 2026-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                         | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |       95000 | PA      | $83405.36     | 0.01%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                                                  | Cameron LNG LLC                                                                  | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |      569000 | PA      | $477872.45    | 0.04%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                               | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      332000 | PA      | $4597.24      | 0.00%             | 2039-06-12      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | SWP: OIS 15.410000 04-JAN-2027 BZD                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |      472100 | OU      | $-2661.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400EZ2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38941.03     | 0.00%             | 2036-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| CIFC Funding Ltd                                                                 | CIFC Funding 2025-II Ltd                                                         | CUSIP: 17181DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248375.00    | 0.02%             | 2038-04-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $194390.15    | 0.02%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                                                            | Becton Dickinson & Co                                                            | CUSIP: 075887CK3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |       20000 | PA      | $14754.13     | 0.00%             | 2050-05-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      180000 | PA      | $164402.26    | 0.01%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                                                    | Ballyrock CLO 15 Ltd                                                             | CUSIP: 05875TAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      420000 | PA      | $419761.57    | 0.03%             | 2038-01-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | Global Payments Inc                                                              | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39773.32     | 0.00%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                                                        | CFK Trust 2020-MF2                                                               | CUSIP: 12529AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      330000 | PA      | $300647.00    | 0.02%             | 2039-03-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $208.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.835500 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      787000 | OU      | $-1837.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      215000 | PA      | $217379.58    | 0.02%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      295000 | PA      | $300778.57    | 0.02%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software Inc                                                | Take-Two Interactive Software Inc                                                | CUSIP: 874054109<br>LEI: BOMSTHHJK882EWYX3334 | Long             | EC               | CORP              | US        |         183 | NS      | $42697.56     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CZK 3.560000 17-SEP-2030 PRI                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    83000000 | OU      | $-53470.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 7.815000 11-SEP-2030 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    50000000 | OU      | $13823.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Altria Group Inc                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      500000 | PA      | $503035.34    | 0.04%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XL5C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      440392 | PA      | $443378.66    | 0.04%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WALGREENS BOOTS ALLIANCE                                                         | Walgreens Boots Alliance Inc                                                     | CUSIP: 931427AW8<br>LEI: 549300RPTUOIXG4LIH86 | Long             | DBT              | CORP              | US        |      152000 | PA      | $158148.25    | 0.01%             | 2029-08-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                          | Southern Co Gas Capital Corp                                                     | CUSIP: 8426EPAD0<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |       60000 | PA      | $51043.19     | 0.00%             | 2031-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |           1 | NC      | $1557.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                                   | Palmer Square Loan Funding 2022-3 Ltd                                            | CUSIP: 69690CAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250333.75    | 0.02%             | 2031-04-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| TARGET CORP                                                                      | Target Corp                                                                      | CUSIP: 87612EBJ4<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |       75000 | PA      | $68655.89     | 0.01%             | 2030-02-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XNUV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2344104 | PA      | $1866401.34   | 0.15%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                                                      | Houston Galleria Mall Trust 2025-HGLR                                            | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      158000 | PA      | $160745.96    | 0.01%             | 2045-02-05      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                              | CUSIP: 302635AP2<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |      560000 | PA      | $550381.41    | 0.04%             | 2030-01-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CH        |           1 | NC      | $10518.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                           | CUSIP: 25278XBA6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      123000 | PA      | $109906.92    | 0.01%             | 2054-04-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XN6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80547 | PA      | $83630.34     | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                              | Fifth Third Bancorp                                                              | CUSIP: 316773CV0<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |       75000 | PA      | $74027.83     | 0.01%             | 2028-03-14      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                                         | Microchip Technology Inc                                                         | CUSIP: 595017BA1<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24960.65     | 0.00%             | 2025-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-56034.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      146000 | PA      | $154558.44    | 0.01%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | CA        |           1 | NC      | $1710.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XCH1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      530000 | PA      | $538371.77    | 0.04%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XFTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46526 | PA      | $47705.60     | 0.00%             | 2048-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.445760 18-JUN-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4870000 | OU      | $85722.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ARCHER-DANIELS-MIDLAND C                                                         | Archer-Daniels-Midland Co                                                        | CUSIP: 039482AE4<br>LEI: 549300LO13MQ9HYSTR83 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19348.02     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                             | Glencore Funding LLC                                                             | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      270000 | PA      | $240081.59    | 0.02%             | 2031-04-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                                                  | OHA Credit Funding 7 Ltd                                                         | CUSIP: 67098WAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500000.00    | 0.04%             | 2037-02-24      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED CZK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CZ        |           1 | NC      | $82.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.522000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     1000000 | OU      | $-10287.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRAVELERS COS INC                                                                | Travelers Cos Inc/The                                                            | CUSIP: 89417EAS8<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19600.08     | 0.00%             | 2053-05-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |           1 | NC      | $465.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                                           | Santander Holdings USA Inc                                                       | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102965.18    | 0.01%             | 2030-01-09      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                     | Comcast Corp                                                                     | CUSIP: 20030NCN9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      225000 | PA      | $190043.70    | 0.02%             | 2058-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $1253.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-16137.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                         | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34501 | PA      | $34478.84     | 0.00%             | 2061-01-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: EUR 2.260000 22-OCT-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      120000 | OU      | $-3423.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                                         | Discovery Communications LLC                                                     | CUSIP: 25470DAR0<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      275000 | PA      | $263025.91    | 0.02%             | 2028-03-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                                 | SMB Private Education Loan Trust 2019-B                                          | CUSIP: 83192CAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      800000 | PA      | $765654.32    | 0.06%             | 2043-06-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XJPM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      450768 | PA      | $434385.88    | 0.04%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DQF35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26884 | PA      | $27547.21     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc                                                                     | Alphabet Inc                                                                     | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |         220 | NS      | $35395.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EQUIFAX INC                                                                      | Equifax Inc                                                                      | CUSIP: 294429AS4<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |      150000 | PA      | $138532.08    | 0.01%             | 2030-05-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       18000 | PA      | $19467.38     | 0.00%             | 2028-03-07      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | AUD/USD One-touch barrier option; Barrier price AUD 0.59000                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |       46000 | OU      | $534.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                     | CSMC 2022-NQM5 Trust                                                             | CUSIP: 12663DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $914048.00    | 0.07%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| LABORATORY CORP OF AMER                                                          | Laboratory Corp of America Holdings                                              | CUSIP: 50540RBB7<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |      580000 | PA      | $558360.67    | 0.05%             | 2034-10-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                                                         | Burford Capital Global Finance LLC                                               | CUSIP: 12116LAC3<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |       15000 | PA      | $14969.80     | 0.00%             | 2030-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2024-PAT                                                                | CUSIP: 05612FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      122000 | PA      | $120358.21    | 0.01%             | 2041-03-15      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds                                             | Chile Government International Bonds                                             | CUSIP: 168863DL9<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |      200000 | PA      | $140400.00    | 0.01%             | 2050-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748BP6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |      100000 | PA      | $86489.75     | 0.01%             | 2031-12-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: —       |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      855000 | PA      | $824034.70    | 0.07%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| Navient Student Loan Trust                                                       | Navient Private Education Refi Loan Trust 2019-C                                 | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       16181 | PA      | $15903.39     | 0.00%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                                                   | WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust                        | CUSIP: 933631AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      259153 | PA      | $114329.31    | 0.01%             | 2037-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | SWP: OIS 14.660000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |    10000000 | OU      | $-79795.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                                                    | BLP Commercial Mortgage Trust 2024-IND2                                          | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      366247 | PA      | $365331.75    | 0.03%             | 2041-03-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                                            | Province of Ontario Canada                                                       | CUSIP: 683234DB1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |       15000 | PA      | $14795.55     | 0.00%             | 2027-05-19      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA NA                                                               | 10Y RTR 4.225000 25-JAN-2027                                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |      336490 | OU      | $21442.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      337000 | PA      | $292249.10    | 0.02%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1446200 | PA      | $1353157.36   | 0.11%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                                                 | Soundview Home Loan Trust 2007-NS1                                               | CUSIP: 83612QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19147 | PA      | $17881.13     | 0.00%             | 2037-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                       | Bear Stearns Asset Backed Securities I Trust 2006-IM1                            | CUSIP: 07387UFW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      197581 | PA      | $181910.70    | 0.01%             | 2036-04-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | MX        |           1 | NC      | $2232.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Florida Power & Light Co                                                         | Florida Power & Light Co                                                         | CUSIP: 341081FA0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |       75000 | PA      | $79692.53     | 0.01%             | 2038-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      925000 | PA      | $819842.89    | 0.07%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                                      | SREIT Trust 2021-MFP                                                             | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      125826 | PA      | $125275.84    | 0.01%             | 2038-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                                         | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                       | CUSIP: 46590XAS5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |       75000 | PA      | $72352.30     | 0.01%             | 2027-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX 2021-MFM1                                                                     | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      377949 | PA      | $377240.10    | 0.03%             | 2034-01-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2006-OC7                                                  | CUSIP: 23243VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      370997 | PA      | $314640.26    | 0.03%             | 2046-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| XYLEM INC                                                                        | Xylem Inc/NY                                                                     | CUSIP: 98419MAJ9<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49207.09     | 0.00%             | 2026-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: SEK 2.348800 17-SEP-2030 3M                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $186.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Florida Power & Light Co                                                         | Florida Power & Light Co                                                         | CUSIP: 341081FU6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      103000 | PA      | $80504.13     | 0.01%             | 2049-03-01      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                           | General Motors Financial Co Inc                                                  | CUSIP: 37045XEP7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      129000 | PA      | $129629.44    | 0.01%             | 2034-01-07      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.497320 18-JUN-2055 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      170439 | OU      | $-3043.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-31317.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.536250 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      628500 | OU      | $2181.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |           1 | NC      | $-8181.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CA        |           1 | NC      | $10004.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                                                 | Carlisle Cos Inc                                                                 | CUSIP: 142339AJ9<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |       25000 | PA      | $22866.89     | 0.00%             | 2030-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| IBM INTERNAT CAPITAL                                                             | IBM International Capital Pte Ltd                                                | CUSIP: 449276AG9<br>LEI: 2549007KTXQQBYZO7485 | Long             | DBT              | CORP              | SG        |      100000 | PA      | $91946.39     | 0.01%             | 2054-02-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SESAC Finance, LLC                                                               | Sesac Finance LLC                                                                | CUSIP: 78396YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      405275 | PA      | $401316.03    | 0.03%             | 2049-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                                         | National Rural Utilities Cooperative Finance Corp                                | CUSIP: 63743HFS6<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |       85000 | PA      | $87312.18     | 0.01%             | 2029-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ID        |           1 | NC      | $1464.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |           1 | NC      | $897.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      248000 | PA      | $249386.55    | 0.02%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance Commercial                                         | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2                   | CUSIP: 52521VAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11604 | PA      | $11567.64     | 0.00%             | 2037-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Merit                                                                            | MHP 2021-STOR                                                                    | CUSIP: 55293BAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $246562.50    | 0.02%             | 2038-07-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                 | Paramount Global                                                                 | CUSIP: 124857AN3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       24000 | PA      | $17412.87     | 0.00%             | 2045-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H062651<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2157000 | PA      | $2204934.54   | 0.18%             | 2054-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD PHP                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-1420.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                      | Ovintiv Inc                                                                      | CUSIP: 69047QAD4<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |      125000 | PA      | $121607.11    | 0.01%             | 2053-07-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                           | General Motors Financial Co Inc                                                  | CUSIP: 37045XDR4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      467000 | PA      | $445884.77    | 0.04%             | 2027-02-26      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT Corp                                                                         | CUSIP: 26884LAS8<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      210000 | PA      | $213523.59    | 0.02%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                                         | FactSet Research Systems Inc                                                     | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |      320000 | PA      | $309231.31    | 0.03%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                                                         | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd        | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      104151 | PA      | $104477.56    | 0.01%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | SE        |           1 | NC      | $5008.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                         | Toyota Motor Credit Corp                                                         | CUSIP: 89236TGY5<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |       75000 | PA      | $71441.77     | 0.01%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.44.V1)                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     2734223 | OU      | $114894.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |           1 | NC      | $214.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.980930 18-JUN-2035 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      650000 | OU      | $3001.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-172.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BMP Trust                                                                        | BMP 2024-MF23                                                                    | CUSIP: 05593JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      220000 | PA      | $218350.00    | 0.02%             | 2041-06-15      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                              | CUSIP: 210518DJ2<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |       30000 | PA      | $16132.62     | 0.00%             | 2060-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                                              | SG Residential Mortgage Trust 2022-2                                             | CUSIP: 78434KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      205000 | PA      | $202241.34    | 0.02%             | 2062-08-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED CLP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CL        |           1 | NC      | $-1107.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-3584.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                     | CUSIP: 053332BK7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |      345000 | PA      | $348619.47    | 0.03%             | 2034-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                                                   | Galaxy Xxviii Clo Ltd                                                            | CUSIP: 36321JAC8<br>LEI: 549300QR0537E9AXFW42 | Long             | ABS-CBDO         | CORP              | KY        |       41557 | PA      | $41557.09     | 0.00%             | 2031-07-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| VEDANTA RESOURCES                                                                | Vedanta Resources Finance II PLC                                                 | CUSIP: 92243XAH4<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $193210.00    | 0.02%             | 2029-09-17      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1306254 | PA      | $1089163.42   | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-4759.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                              | Elevance Health Inc                                                              | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      125000 | PA      | $108830.07    | 0.01%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                                                      | Truist Bank                                                                      | CUSIP: 89788KAA4<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |      540000 | PA      | $475638.39    | 0.04%             | 2030-03-11      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co LLC                                                          | AEP Transmission Co LLC                                                          | CUSIP: 00115AAH2<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |       48000 | PA      | $35530.97     | 0.00%             | 2047-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                                                         | Packaging Corp of America                                                        | CUSIP: 695156AU3<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |       75000 | PA      | $70029.97     | 0.01%             | 2029-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                   | EUR C USD P @1.080000 EO                                                         | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DFE              |  | US        |      116000 | OU      | $6172.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                          | Saluda Grade Alternative Mortgage Trust 2024-RTL5                                | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100381.60    | 0.01%             | 2030-04-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1006876 | PA      | $846346.54    | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                         | Madison Park Funding XXXVIII Ltd                                                 | CUSIP: 55821KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.02%             | 2034-07-17      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                        | Block Inc                                                                        | CUSIP: 852234AR4<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |       19000 | PA      | $19385.32     | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Lincoln National Corp                                                            | Lincoln National Corp                                                            | CUSIP: 534187BH1<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98010.26     | 0.01%             | 2028-03-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |           1 | NC      | $-4149.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                   | Morgan Stanley Residential Mortgage Loan Trust 2023-NQM1                         | CUSIP: 61775VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      536000 | PA      | $533440.28    | 0.04%             | 2068-09-25      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7301000 | PA      | $7089385.04   | 0.58%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3142GTGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      762281 | PA      | $766475.24    | 0.06%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QRER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      261627 | PA      | $267243.93    | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                                      | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      619686 | PA      | $611939.58    | 0.05%             | 2038-07-15      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Argentina Republic Government International Bonds                                | Argentina Republic Government International Bonds                                | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |        5374 | PA      | $4336.74      | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.944020 18-JUN-2027 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5643646 | OU      | $57162.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | Eversource Energy                                                                | CUSIP: 30040WAX6<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      225000 | PA      | $225024.93    | 0.02%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ERP OPERATING LP                                                                 | ERP Operating LP                                                                 | CUSIP: 26884ABP7<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              |  | US        |      190000 | PA      | $182505.03    | 0.01%             | 2034-09-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD CZK                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $381.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                              | Elevance Health Inc                                                              | CUSIP: 036752AS2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      209000 | PA      | $146077.77    | 0.01%             | 2051-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORIX CORP                                                                        | ORIX Corp                                                                        | CUSIP: 686330AR2<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | CORP              | JP        |       50000 | PA      | $50612.67     | 0.00%             | 2032-09-13      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                                         | Visa Inc                                                                         | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |      170000 | PA      | $146042.89    | 0.01%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                          | CUSIP: 15189XBA5<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |       40000 | PA      | $35248.91     | 0.00%             | 2052-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                              | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      665000 | PA      | $673428.71    | 0.05%             | 2028-02-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                           | Residential Asset Securitization Trust 2007-A9                                   | CUSIP: 761143AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1090435 | PA      | $302097.88    | 0.02%             | 2037-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                         | Madison Park Funding XXXI Ltd                                                    | CUSIP: 55819DBE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249371.03    | 0.02%             | 2037-07-23      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                               | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      115000 | PA      | $111126.45    | 0.01%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SE        |           1 | NC      | $4659.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                           | Roper Technologies Inc                                                           | CUSIP: 776696AG1<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |      380000 | PA      | $378360.00    | 0.03%             | 2029-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Apple Inc                                                                        | Apple Inc                                                                        | CUSIP: 037833BX7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      350000 | PA      | $318200.60    | 0.03%             | 2046-02-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-42038.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAMARCO MINERACAO SA                                                             | Samarco Mineracao SA                                                             | CUSIP: 000000000<br>LEI: 529900U8HKV15GJC4O60 | Long             | DBT              | CORP              | BR        |       45595 | PA      | $42765.83     | 0.00%             | 2031-06-30      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                             | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      323000 | PA      | $294965.83    | 0.02%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                            | DIRECTV FINANCING LLC 2025 TERM LOAN B                                           | CUSIP: 25460HAF9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      102820 | PA      | $95050.92     | 0.01%             | 2031-02-15      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                   | EUR/USD One-touch barrier option; Barrier price EUR 1.00500                      | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DFE              |  | KY        |        5000 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                               | Expand Energy Corp                                                               | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      555000 | PA      | $520713.43    | 0.04%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                            | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CBK9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |       68000 | PA      | $63879.44     | 0.01%             | 2053-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                  | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       45000 | PA      | $43646.05     | 0.00%             | 2033-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                                                          | Fidelity National Information Services Inc                                       | CUSIP: 31620MBS4<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |       25000 | PA      | $23120.04     | 0.00%             | 2028-03-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13766 | PA      | $13138.80     | 0.00%             | 2035-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2513000 | PA      | $2474912.34   | 0.20%             | 2031-09-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS INC                                                              | Electronic Arts Inc                                                              | CUSIP: 285512AF6<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |       25000 | PA      | $15561.62     | 0.00%             | 2051-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      537000 | PA      | $547279.78    | 0.04%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                                  | Benefit Street Partners CLO XXXVIII Ltd                                          | CUSIP: 08183FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249500.00    | 0.02%             | 2038-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      424971 | PA      | $372187.75    | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                                                       | NMLT 2021-INV1 Trust                                                             | CUSIP: 62923JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      540700 | PA      | $389860.43    | 0.03%             | 2056-05-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                           | CUSIP: 25278XAQ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      104000 | PA      | $77344.97     | 0.01%             | 2051-03-24      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042665<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -14095000 | PA      | $-13473943.43 | -1.09%            | 2054-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DQB54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21092 | PA      | $21605.28     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | 10Y RTP 4.340000 13-JAN-2027                                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |      722645 | OU      | $17687.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                      | Gartner Inc                                                                      | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |      454000 | PA      | $447500.17    | 0.04%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                                                | ILLINOIS ST                                                                      | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      621176 | PA      | $620911.96    | 0.05%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| PRINCIPAL FINANCIAL GRP                                                          | Principal Financial Group Inc                                                    | CUSIP: 74251VAU6<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |      110000 | PA      | $105183.15    | 0.01%             | 2053-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 8.125000 11-SEP-2030 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    10000000 | OU      | $9184.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                                             | PRET 2024-RN2 LLC                                                                | CUSIP: 69391YAA5<br>LEI: 254900D7MDAANUUXWQ05 | Long             | ABS-O            | CORP              | US        |       95247 | PA      | $95805.57     | 0.01%             | 2054-04-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      270000 | PA      | $178335.28    | 0.01%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Marsh & McLennan Cos Inc                                                         | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748102<br>LEI: 549300XMP3KDCKJXIU47 | Long             | EC               | CORP              | US        |         156 | NS      | $35173.32     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Walmart Inc                                                                      | Walmart Inc                                                                      | CUSIP: 931142103<br>LEI: Y87794H0US1R65VBXU25 | Long             | EC               | CORP              | US        |         421 | NS      | $40942.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                            | General Dynamics Corp                                                            | CUSIP: 369550BP2<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |      230000 | PA      | $202559.84    | 0.02%             | 2031-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA NA                                                               | SWP: OIS 15.250000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     6000000 | OU      | $-73905.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO                                                                   | Phillips 66 Co                                                                   | CUSIP: 718547AT9<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101310.49    | 0.01%             | 2027-12-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QF4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      372343 | PA      | $311273.56    | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                                                           | Match Group Holdings II LLC                                                      | CUSIP: 57665RAJ5<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |       83000 | PA      | $80987.41     | 0.01%             | 2029-02-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                                                  | Chevron USA Inc                                                                  | CUSIP: 166756BF2<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1501889.88   | 0.12%             | 2035-04-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                            | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      430000 | PA      | $299065.00    | 0.02%             | 2050-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Barclays Bank PLC                                                                | PURCHASED PHP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PH        |           1 | NC      | $2161.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Loews Corp                                                                       | Loews Corp                                                                       | CUSIP: 540424AS7<br>LEI: R8V1FN4M5ITGZOG7BS19 | Long             | DBT              | CORP              | US        |       75000 | PA      | $74526.91     | 0.01%             | 2026-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                                          | Simon Property Group LP                                                          | CUSIP: 828807CZ8<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |      400000 | PA      | $320129.97    | 0.03%             | 2046-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |           1 | NC      | $-5618.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                                            | Civitas Resources Inc                                                            | CUSIP: 17888HAC7<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |       11000 | PA      | $10601.78     | 0.00%             | 2030-11-01      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X9SS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      543416 | PA      | $460341.28    | 0.04%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                   | USD P MXN C @20.00000 EO                                                         | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DFE              |  | US        |      -73000 | OU      | $-1581.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       55000 | PA      | $54879.69     | 0.00%             | 2029-08-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                              | General Electric Co                                                              | CUSIP: 36962GXZ2<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |       25000 | PA      | $27991.60     | 0.00%             | 2032-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWP: OIS 14.630000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     8000000 | OU      | $-61667.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT Corp                                                                         | CUSIP: 26884LAW9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      416000 | PA      | $403518.02    | 0.03%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAF4<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |       95000 | PA      | $94867.46     | 0.01%             | 2033-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE LLC                                                                    | CommScope LLC                                                                    | CUSIP: 20338QAA1<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |      125000 | PA      | $113859.88    | 0.01%             | 2027-03-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6400000 | PA      | $6449500.03   | 0.52%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.082520 17-JUN-2036 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1193572 | OU      | $-5244.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CORNELL UNIVERSITY                                                               | Cornell University                                                               | CUSIP: 219207AC1<br>LEI: 549300ZZIJPNT0RZWP17 | Long             | DBT              | CORP              | US        |       75000 | PA      | $74293.15     | 0.01%             | 2034-06-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| TUTOR PERINI CORP                                                                | Tutor Perini Corp                                                                | CUSIP: 901109AG3<br>LEI: 549300FHXYVPW8LJ6D98 | Long             | DBT              | CORP              | US        |      127000 | PA      | $137003.79    | 0.01%             | 2029-04-30      | Fixed         | 11.88%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      691000 | PA      | $606958.24    | 0.05%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                                          | Simon Property Group LP                                                          | CUSIP: 828807CL9<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |      400000 | PA      | $352719.79    | 0.03%             | 2042-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                              | CUSIP: 914455UG3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      100000 | PA      | $61600.25     | 0.00%             | 2050-04-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| NFE FINANCING LLC                                                                | NFE Financing LLC                                                                | CUSIP: 62909BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      107675 | PA      | $74116.05     | 0.01%             | 2029-11-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: —       |
| Dominican Republic International Bonds                                           | Dominican Republic International Bonds                                           | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      100000 | PA      | $100312.50    | 0.01%             | 2027-01-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                           | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HAX6<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |       50000 | PA      | $48610.50     | 0.00%             | 2027-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                            | Quest Diagnostics Inc                                                            | CUSIP: 74834LBE9<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |      650000 | PA      | $655498.24    | 0.05%             | 2027-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS CO                                                               | Ameren Illinois Co                                                               | CUSIP: 02361DBA7<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |      135000 | PA      | $134952.86    | 0.01%             | 2033-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1102000 | PA      | $995932.50    | 0.08%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43000 | PA      | $42569.45     | 0.00%             | 2041-10-15      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                                                            | Freedom Mortgage Holdings LLC                                                    | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29340.90     | 0.00%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| VERMILION ENERGY INC                                                             | Vermilion Energy Inc                                                             | CUSIP: 923725AE5<br>LEI: WT03B8BB1IX8WI9ZGV02 | Long             | DBT              | CORP              | CA        |      245000 | PA      | $205540.40    | 0.02%             | 2033-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                          | Bristol-Myers Squibb Co                                                          | CUSIP: 110122CR7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      295000 | PA      | $236196.38    | 0.02%             | 2049-10-26      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      157000 | PA      | $158391.68    | 0.01%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                              | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66000 | PA      | $64812.82     | 0.01%             | 2041-06-15      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                                        | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      191000 | PA      | $190224.06    | 0.02%             | 2041-10-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | XX        |           1 | NC      | $10329.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      475000 | PA      | $482299.98    | 0.04%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                                         | Rogers Communications Inc                                                        | CUSIP: 775109CG4<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |       65000 | PA      | $63560.25     | 0.01%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                                    | UBS Commercial Mortgage Trust 2017-C4                                            | CUSIP: 90276RBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      580000 | PA      | $553167.58    | 0.04%             | 2050-10-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                                            | CUSIP: 882508CJ1<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |      140000 | PA      | $130152.04    | 0.01%             | 2054-02-08      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                                                          | Pfizer Investment Enterprises Pte Ltd                                            | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |      195000 | PA      | $180573.42    | 0.01%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                                                          | MPT Operating Partnership LP / MPT Finance Corp                                  | CUSIP: 55342UAH7<br>LEI: N/A                  | Long             | DBT              |  | US        |       88000 | PA      | $77749.00     | 0.01%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | SWP: IFS 2.684000 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      630000 | OU      | $-2345.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XLQ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20031 | PA      | $19634.95     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUXL 30Y BND JUN25                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          -8 | NC      | $-29155.98    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2025-VLT6                                                               | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      136000 | PA      | $134640.00    | 0.01%             | 2042-03-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-11850.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCC Trust                                                                       | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $104540.53    | 0.01%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | 10Y RTR 4.340000 13-JAN-2027                                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |      722645 | OU      | $49556.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Corp Trust 2023-FUN                                       | CUSIP: 36267CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      510000 | PA      | $510796.88    | 0.04%             | 2028-03-15      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |           1 | NC      | $823.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | USD C JPY P @148.0000 EO                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |     -341000 | OU      | $-1147.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REWORLD HOLDING CORP                                                             | Reworld Holding Corp                                                             | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |       52000 | PA      | $48587.66     | 0.00%             | 2029-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                                                 | Bain Capital Credit CLO 2024-2 Ltd                                               | CUSIP: 056921AA7<br>LEI: 254900KJZFJF5PZOFD13 | Long             | ABS-CBDO         | CORP              | KY        |      480000 | PA      | $480490.85    | 0.04%             | 2037-07-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| PPG INDUSTRIES INC                                                               | PPG Industries Inc                                                               | CUSIP: 693506BU0<br>LEI: 549300BKPEP01R3V6C59 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48584.82     | 0.00%             | 2026-03-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                           | PNC Financial Services Group Inc/The                                             | CUSIP: 693475BQ7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      355000 | PA      | $355330.77    | 0.03%             | 2026-06-12      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.072190 17-JUN-2031 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4400000 | OU      | $102530.52    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X9FG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18275 | PA      | $17251.42     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | JP        |           1 | NC      | $-3450.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-549.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                                            | Province of Ontario Canada                                                       | CUSIP: 683234AU2<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |       35000 | PA      | $30735.26     | 0.00%             | 2032-01-21      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Ukraine Government International Bonds                                           | Ukraine Government International Bonds                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |       11360 | PA      | $5464.16      | 0.00%             | 2036-02-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWP: OIS 14.120000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     7000000 | OU      | $-28468.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 8.235000 11-SEP-2030 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     8780000 | OU      | $10063.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD HUF                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-10918.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-1408.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4693100 | PA      | $4588788.53   | 0.37%             | 2029-08-31      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                    | AppLovin Corp                                                                    | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |      640000 | PA      | $645255.72    | 0.05%             | 2029-12-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                             | Cross 2024-H7 Mortgage Trust                                                     | CUSIP: 22757CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      142896 | PA      | $143218.63    | 0.01%             | 2069-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 8.250000 11-SEP-2030 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    30000000 | OU      | $35317.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-852.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      353827 | PA      | $301590.71    | 0.02%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-125.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ITHACA ENERGY NORTH                                                              | Ithaca Energy North Sea PLC                                                      | CUSIP: 46567TAC8<br>LEI: 213800BMMUN3AKWBIO91 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $200191.00    | 0.02%             | 2029-10-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KQWT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31009 | PA      | $31243.52     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                              | Fifth Third Bancorp                                                              | CUSIP: 316773DK3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |       30000 | PA      | $31459.01     | 0.00%             | 2029-07-27      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3376907 | PA      | $2680524.48   | 0.22%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA INSTITUTE OF                                                          | California Institute of Technology                                               | CUSIP: 13034VAA2<br>LEI: 549300CITPNHOTVPHC04 | Long             | DBT              | CORP              | US        |       35000 | PA      | $28396.99     | 0.00%             | 2111-11-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED NGN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NG        |           1 | NC      | $-331.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED HUF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | HU        |           1 | NC      | $163.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |           1 | NC      | $7751.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GCAT                                                                             | GCAT 2021-NQM3 Trust                                                             | CUSIP: 36167HAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $72185.21     | 0.01%             | 2066-05-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| MASS INSTITUTE OF TECH                                                           | Massachusetts Institute of Technology                                            | CUSIP: 575718AE1<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45501.78     | 0.00%             | 2038-07-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                                         | American Water Capital Corp                                                      | CUSIP: 03040WBC8<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |       30000 | PA      | $28564.84     | 0.00%             | 2054-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                                                 | Alabama Power Co                                                                 | CUSIP: 010392FV5<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |       59000 | PA      | $38499.44     | 0.00%             | 2051-07-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 0.632290 17-SEP-2030 SAR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      280000 | OU      | $8985.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.669500 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      825000 | OU      | $-2487.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                                                    | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $102829.29    | 0.01%             | 2039-05-10      | Variable      | 10.60%                | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                                          | Public Service Co of Colorado                                                    | CUSIP: 744448DA6<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |       65000 | PA      | $63210.30     | 0.01%             | 2054-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-10972.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                     | CSMC Series 2015-6R                                                              | CUSIP: 12650EBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21381 | PA      | $16470.72     | 0.00%             | 2036-03-27      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51671.84     | 0.00%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1103000 | PA      | $1021567.58   | 0.08%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Indonesia Government International Bonds                                         | Indonesia Government International Bonds                                         | CUSIP: 455780DN3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      450000 | PA      | $438187.50    | 0.04%             | 2032-09-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                                       | CUSIP: 337738BD9<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |       80000 | PA      | $81907.23     | 0.01%             | 2028-03-02      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                   | SWAP/CDSWAP/SCDS: (MEX)                                                          | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DCR              |  | US        |       42100 | OU      | $722.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                    | CUSIP: 00108WAQ3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      120000 | PA      | $104510.21    | 0.01%             | 2052-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-547.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ecuador Government International Bonds                                           | Ecuador Government International Bonds                                           | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |       14052 | PA      | $8399.58      | 0.00%             | 2035-07-31      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | Bank of America Corp                                                             | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      713000 | PA      | $693474.55    | 0.06%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1210000 | PA      | $1231936.45   | 0.10%             | 2031-04-17      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | MX        |           1 | NC      | $2222.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-2688.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Concord Music Royalties, LLC                                                     | Concord Music Royalties LLC                                                      | CUSIP: 20633KAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $98518.78     | 0.01%             | 2074-10-20      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140GYG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19953 | PA      | $18832.25     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: EUR 2.510500 01-MAR-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      305000 | OU      | $-5085.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                         | Toyota Motor Credit Corp                                                         | CUSIP: 89236TLB9<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |       75000 | PA      | $77346.66     | 0.01%             | 2028-09-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                                         | Constellation Energy Generation LLC                                              | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |       15000 | PA      | $15541.26     | 0.00%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                                                              | Gilead Sciences Inc                                                              | CUSIP: 375558AS2<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99938.48     | 0.01%             | 2041-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680BD4<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      190000 | PA      | $190940.60    | 0.02%             | 2026-01-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2022-Z1                                        | CUSIP: 00833PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       25909 | PA      | $25901.51     | 0.00%             | 2027-06-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| SIERRA PACIFIC POWER CO                                                          | Sierra Pacific Power Co                                                          | CUSIP: 826418BQ7<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29747.33     | 0.00%             | 2054-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XLEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42519 | PA      | $42840.88     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | Bank of America Corp                                                             | CUSIP: 06051GHU6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      156000 | PA      | $134092.15    | 0.01%             | 2040-04-23      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE MORTGAGE TR                                                           | Blackstone Mortgage Trust Inc                                                    | CUSIP: 09257WAF7<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | DBT              |  | US        |       25000 | PA      | $25965.48     | 0.00%             | 2029-12-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.662520 18-JUN-2027 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     6830000 | OU      | $-51205.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: EUR 2.644000 31-MAY-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      580000 | OU      | $-36659.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-1919.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IQVIA INC                                                                        | IQVIA Inc                                                                        | CUSIP: 46266TAF5<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |       45000 | PA      | $46758.65     | 0.00%             | 2029-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                           | CUSIP: 620076BZ1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      565000 | PA      | $570874.86    | 0.05%             | 2034-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                  | CVS Health Corp                                                                  | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      125000 | PA      | $106235.74    | 0.01%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                                                        | BMP 2024-MF23                                                                    | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39000 | PA      | $38535.24     | 0.00%             | 2041-06-15      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                                         | Targa Resources Partners LP / Targa Resources Partners Finance Corp              | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      154000 | PA      | $153927.99    | 0.01%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                             | Verisk Analytics Inc                                                             | CUSIP: 92345YAJ5<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |      620000 | PA      | $624252.67    | 0.05%             | 2034-06-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 6.070000 19-MAR-2035 INR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1446000 | OU      | $-408.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DBSG 2024-ALTA Mortgage Trust                                                    | DBSG 2024-ALTA Mortgage Trust                                                    | CUSIP: 239918AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $101061.95    | 0.01%             | 2037-06-10      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | GB        |           1 | NC      | $9330.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                             | CUSIP: 78016EZQ3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      195000 | PA      | $189064.02    | 0.02%             | 2026-04-27      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TW        |           1 | NC      | $3620.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                               | A&D Mortgage Trust 2023-NQM5                                                     | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |      118563 | PA      | $120422.18    | 0.01%             | 2068-11-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 7.936250 19-MAR-2030 JIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2362000 | OU      | $-2495.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XLJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      336959 | PA      | $317450.16    | 0.03%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       35700 | PA      | $26671.80     | 0.00%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | Boeing Co/The                                                                    | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |         750 | NS      | $46035.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-559.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.811770 18-JUN-2055 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      720000 | OU      | $410.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                                      | OCP CLO 2014-5 Ltd                                                               | CUSIP: 67102SAL8<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |       71822 | PA      | $71825.14     | 0.01%             | 2031-04-26      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 0.556880 17-SEP-2030 SAR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      480000 | OU      | $13178.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | Citigroup Inc                                                                    | CUSIP: 172967CC3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51790.69     | 0.00%             | 2033-10-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Corp Trust 2023-SHIP                                      | CUSIP: 36270GAA9<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |      405000 | PA      | $402985.13    | 0.03%             | 2038-09-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Co                                                              | Consumers Energy Co                                                              | CUSIP: 210518DD5<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |       25000 | PA      | $20674.10     | 0.00%             | 2049-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO                                                                   | Phillips 66 Co                                                                   | CUSIP: 718547AW2<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |       60000 | PA      | $52896.18     | 0.00%             | 2054-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | 10Y RTR 3.665000 05-APR-2027                                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     1627000 | OU      | $62709.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                                                | Johnson & Johnson                                                                | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |       25000 | PA      | $22207.31     | 0.00%             | 2037-03-03      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust 2025-NQM1                                    | CUSIP: 64832DAG6<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $498386.95    | 0.04%             | 2065-01-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                                           | Santander Holdings USA Inc                                                       | CUSIP: 80282KBE5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50149.49     | 0.00%             | 2026-09-09      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17755000 | PA      | $16978224.25  | 1.38%             | 2055-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper Inc                                                             | Keurig Dr Pepper Inc                                                             | CUSIP: 26138EAT6<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |       20000 | PA      | $16592.51     | 0.00%             | 2045-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ID        |           1 | NC      | $2405.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-5344.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | USD/MXN Down-and-out barrier option; Barrier price USD 19.45000                  | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |       74000 | OU      | $173.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Service Experts Issuer                                                           | Service Experts Issuer 2024-1 LLC                                                | CUSIP: 81758FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       82148 | PA      | $83693.94     | 0.01%             | 2035-11-20      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                                              | BWAY Trust 2025-1535                                                             | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23000 | PA      | $23515.83     | 0.00%             | 2042-05-05      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Ecuador Government International Bonds                                           | Ecuador Government International Bonds                                           | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |       19236 | PA      | $10019.55     | 0.00%             | 2040-07-31      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| EASTMAN CHEMICAL CO                                                              | Eastman Chemical Co                                                              | CUSIP: 277432AY6<br>LEI: FDPVHDGJ1IQZFK9KH630 | Long             | DBT              | CORP              | US        |      370000 | PA      | $368680.18    | 0.03%             | 2034-02-20      | Fixed         | 5.63%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 17327CAR4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20471.30     | 0.00%             | 2034-05-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Novartis Capital Corp                                                            | Novartis Capital Corp                                                            | CUSIP: 66989HAN8<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24640.33     | 0.00%             | 2027-05-17      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Amentum Holdings Inc                                                             | Amentum Holdings Inc                                                             | CUSIP: 023939101<br>LEI: 2549009FJIBLW40CU216 | Long             | EC               | CORP              | US        |        4005 | NS      | $87389.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H060655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3074000 | PA      | $3108942.74   | 0.25%             | 2054-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                              | Elevance Health Inc                                                              | CUSIP: 036752AM5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       89000 | PA      | $57106.13     | 0.00%             | 2050-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H052652<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5787000 | PA      | $5783902.86   | 0.47%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                            | Novartis Capital Corp                                                            | CUSIP: 66989HAS7<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |       25000 | PA      | $15823.58     | 0.00%             | 2050-08-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: —       |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust 2025-NQM1                                    | CUSIP: 64832DAF8<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |      289429 | PA      | $291666.05    | 0.02%             | 2065-01-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                                      | Homes 2024-Nqm2 Trust                                                            | CUSIP: 43761CAA0<br>LEI: 254900MQRASV1D1NGZ28 | Long             | ABS-MBS          | CORP              | US        |       95557 | PA      | $95820.85     | 0.01%             | 2069-10-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2006-OA2                                                  | CUSIP: 126694S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      196096 | PA      | $169067.31    | 0.01%             | 2046-05-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-172.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-MF                                             | CUSIP: 05612EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88545 | PA      | $88120.52     | 0.01%             | 2039-02-15      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Mastercard Inc                                                                   | Mastercard Inc                                                                   | CUSIP: 57636QAG9<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24623.96     | 0.00%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      156000 | PA      | $157322.19    | 0.01%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.832000 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      853000 | OU      | $-1840.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | KR        |           1 | NC      | $82.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | Simon Property Group LP                                                          | CUSIP: 828807DP9<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              |  | US        |      120000 | PA      | $114224.96    | 0.01%             | 2027-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.090930 18-JUN-2035 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2885000 | OU      | $47857.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA T-BILL                                                                   | Nigeria Treasury Bill                                                            | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    79800000 | PA      | $44043.08     | 0.00%             | 2025-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                                                          | Fidelity National Financial Inc                                                  | CUSIP: 31620RAK1<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |      310000 | PA      | $264870.22    | 0.02%             | 2031-03-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      261557 | PA      | $239805.86    | 0.02%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust 2019-H6                                           | CUSIP: 61769JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10000 | PA      | $7830.52      | 0.00%             | 2052-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR INC                                                                  | Caterpillar Inc                                                                  | CUSIP: 149123CF6<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | DBT              | CORP              | US        |       92000 | PA      | $63813.56     | 0.01%             | 2049-09-19      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.396060 18-JUN-2055 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      380000 | OU      | $-3828.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      185000 | PA      | $185437.92    | 0.02%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      374000 | PA      | $309660.48    | 0.03%             | 2053-04-25      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                                     | Drive Auto Receivables Trust 2024-2                                              | CUSIP: 26207AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      450000 | PA      | $449924.72    | 0.04%             | 2032-05-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                                                | Cisco Systems Inc                                                                | CUSIP: 17275RBR2<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |      150000 | PA      | $153823.31    | 0.01%             | 2029-02-26      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOL                                                         | Aston Martin Capital Holdings Ltd                                                | CUSIP: 04625HAJ8<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |      175000 | PA      | $150357.67    | 0.01%             | 2029-03-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                              | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |      380000 | PA      | $384813.70    | 0.03%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| Lloyds Banking Group PLC                                                         | Lloyds Banking Group PLC                                                         | CUSIP: 539439AQ2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $194821.83    | 0.02%             | 2028-11-07      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                 | Berry Global Inc                                                                 | CUSIP: 08576PAQ4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |        4000 | PA      | $4030.29      | 0.00%             | 2034-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                                                   | Amazon.com Inc                                                                   | CUSIP: 023135BJ4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       25000 | PA      | $20587.59     | 0.00%             | 2047-08-22      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co                                                                  | Nevada Power Co                                                                  | CUSIP: 641423CC0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |       35000 | PA      | $34275.75     | 0.00%             | 2029-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | Level 3 Financing Inc                                                            | CUSIP: 527298CK7<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |       45130 | PA      | $45017.18     | 0.00%             | 2032-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                        | CUSIP: 031162DG2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      315000 | PA      | $239603.26    | 0.02%             | 2062-02-22      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                               | CUSIP: 032654AX3<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |       35000 | PA      | $22297.79     | 0.00%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1239200 | PA      | $784858.94    | 0.06%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NZ        |           1 | NC      | $5552.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       95000 | PA      | $90905.75     | 0.01%             | 2028-06-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      113000 | PA      | $113183.02    | 0.01%             | 2035-07-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                                           | AmeriGas Partners LP / AmeriGas Finance Corp                                     | CUSIP: 030981AM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      161000 | PA      | $160005.01    | 0.01%             | 2028-06-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | Bank of America Corp                                                             | CUSIP: 06051GFG9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       27000 | PA      | $24559.53     | 0.00%             | 2044-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       45000 | PA      | $45457.23     | 0.00%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | EUR P USD C @1.012500 EO                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |       55500 | OU      | $0.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140MNQA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      292722 | PA      | $266375.19    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verisk Analytics Inc                                                             | Verisk Analytics Inc                                                             | CUSIP: 92345YAE6<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38340.47     | 0.00%             | 2045-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                                      | OCP CLO 2025-40 Ltd                                                              | CUSIP: 67570FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $246452.55    | 0.02%             | 2038-04-16      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                                               | Howard Hughes Corp/The                                                           | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |       48000 | PA      | $46247.38     | 0.00%             | 2028-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                              | CUSIP: 210518DX1<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |       40000 | PA      | $40565.81     | 0.00%             | 2030-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                                            | CUSIP: 882508CC6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |       67000 | PA      | $60727.25     | 0.00%             | 2053-03-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $29.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                                             | Freeport-McMoRan Inc                                                             | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |       50000 | PA      | $46228.24     | 0.00%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 6.002600 19-MAR-2030 INR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    12491500 | OU      | $2435.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | FSWP: OIS 7.770000 17-SEP-2027 IBR                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | GB        |  1843400000 | OU      | $-1569.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       40000 | PA      | $35493.83     | 0.00%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $0.56         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |           1 | NC      | $391.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PacifiCorp                                                                       | CUSIP: 695114DA3<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |       30000 | PA      | $27144.21     | 0.00%             | 2054-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      497400 | PA      | $411656.79    | 0.03%             | 2053-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CA        |           1 | NC      | $9456.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                                          | John Deere Capital Corp                                                          | CUSIP: 24422EWR6<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |       60000 | PA      | $61137.06     | 0.00%             | 2028-01-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | CH        |           1 | NC      | $9227.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      400000 | PA      | $339139.50    | 0.03%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                                | First Franklin Mortgage Loan Trust 2006-FF13                                     | CUSIP: 30247DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       28398 | PA      | $18111.48     | 0.00%             | 2036-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                       | Bear Stearns Asset Backed Securities Trust 2005-2                                | CUSIP: 073877CH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      210000 | PA      | $209682.42    | 0.02%             | 2035-06-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                     | Alphabet Inc                                                                     | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     1415000 | PA      | $1396271.10   | 0.11%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                                | CUSIP: 04010LBB8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |      135000 | PA      | $125333.66    | 0.01%             | 2028-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                       | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |       44000 | PA      | $45848.17     | 0.00%             | 2029-06-08      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: EUR 2.428700 20-JUN-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      163000 | OU      | $-1729.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404119DC0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      380000 | PA      | $372315.87    | 0.03%             | 2055-03-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                                                           | Cloud Software Group Inc                                                         | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |       46000 | PA      | $46341.77     | 0.00%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| BANNER HEALTH                                                                    | Banner Health                                                                    | CUSIP: 06654DAB3<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45728.02     | 0.00%             | 2030-01-01      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| NVENT FINANCE SARL                                                               | nVent Finance Sarl                                                               | CUSIP: 67078AAF0<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |      320000 | PA      | $316931.00    | 0.03%             | 2033-05-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680AY9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      100000 | PA      | $94436.77     | 0.01%             | 2029-09-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR NOTE (CBT)JUN25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         363 | NC      | $290172.91    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | SG        |           1 | NC      | $429.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.227890 17-JUN-2036 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1230000 | OU      | $-24113.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      136634 | PA      | $134803.00    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KEYSIGHT TECHNOLOGIES                                                            | Keysight Technologies Inc                                                        | CUSIP: 49338LAG8<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |      185000 | PA      | $179853.33    | 0.01%             | 2034-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUT                                                           | Mauser Packaging Solutions Holding Co                                            | CUSIP: 57763RAD9<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |       46000 | PA      | $46121.45     | 0.00%             | 2027-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                                                 | Black Hills Corp                                                                 | CUSIP: 092113AX7<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |       80000 | PA      | $82623.74     | 0.01%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                                                  | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99209.41     | 0.01%             | 2039-12-15      | Floating      | 9.97%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-870.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-614.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                                                         | Ashton Woods USA LLC / Ashton Woods Finance Co                                   | CUSIP: 045086AP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       52000 | PA      | $47670.05     | 0.00%             | 2030-04-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      200000 | PA      | $202443.67    | 0.02%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $3992.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                                          | Simon Property Group LP                                                          | CUSIP: 828807CE5<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              |  | US        |      100000 | PA      | $111282.08    | 0.01%             | 2040-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                                 | COLT 2024-6 Mortgage Loan Trust                                                  | CUSIP: 19688XAA4<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-MBS          | CORP              | US        |       93304 | PA      | $93474.36     | 0.01%             | 2069-11-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       45000 | PA      | $44662.50     | 0.00%             | 2036-10-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                                                            | Freedom Mortgage Corp                                                            | CUSIP: 35640YAL1<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |       44000 | PA      | $48412.17     | 0.00%             | 2030-10-01      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-12956.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                                                | National Grid PLC                                                                | CUSIP: 636274AF9<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |       40000 | PA      | $40461.45     | 0.00%             | 2034-01-11      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                                                 | AMC Networks Inc                                                                 | CUSIP: 00164VAH6<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |       46000 | PA      | $38213.74     | 0.00%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                  | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       75000 | PA      | $75759.69     | 0.01%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                                                    | FirstCash Inc                                                                    | CUSIP: 33767DAD7<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |       72000 | PA      | $73664.75     | 0.01%             | 2032-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                               | EFMT 2024-NQM1                                                                   | CUSIP: 26845DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      157579 | PA      | $158406.44    | 0.01%             | 2069-11-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XMKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      143533 | PA      | $138147.63    | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CONTINUUM ENERGY PTE LTD                                                         | CONTINUUM ENERGY PTE LTD                                                         | CUSIP: 211926AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      214164 | PA      | $210951.54    | 0.02%             | 2027-09-11      | Variable      | 12.85%                | No            |                  3 | On Loan: —       |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                                | CUSIP: 049560AZ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |       50000 | PA      | $53166.31     | 0.00%             | 2033-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                                                   | Air Lease Corp                                                                   | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99944.01     | 0.01%             | 2028-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FOOT LOCKER INC                                                                  | Foot Locker Inc                                                                  | CUSIP: 344849AA2<br>LEI: 549300X383CBNP6MTV94 | Long             | DBT              | CORP              | US        |      116000 | PA      | $94009.74     | 0.01%             | 2029-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H032662<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1852000 | PA      | $1681494.77   | 0.14%             | 2054-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                                                         | Packaging Corp of America                                                        | CUSIP: 695156AV1<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |      420000 | PA      | $313266.88    | 0.03%             | 2049-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                            | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CBH6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |       45000 | PA      | $31467.59     | 0.00%             | 2052-03-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CVR PARTNERS/CVR NITROGE                                                         | CVR Partners LP / CVR Nitrogen Finance Corp                                      | CUSIP: 12663QAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      104000 | PA      | $100512.74    | 0.01%             | 2028-06-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS INTERNATIONAL                                                      | 1Y RTR 3.740000 16-MAY-2025                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |    16368000 | OU      | $20507.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                               | Chase Mortgage Finance Trust Series 2007-S5                                      | CUSIP: 161631AK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      523543 | PA      | $228670.59    | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                       | goeasy Ltd                                                                       | CUSIP: 380355AH0<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |      138000 | PA      | $144477.72    | 0.01%             | 2028-12-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                                  | McDonald's Corp                                                                  | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      300000 | PA      | $215581.07    | 0.02%             | 2049-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                     | Alphabet Inc                                                                     | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      110000 | PA      | $108677.30    | 0.01%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust                                                         | Gaea Mortgage Loan Trust 2025-A                                                  | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       96718 | PA      | $94864.32     | 0.01%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Corp Trust 2023-SHIP                                      | CUSIP: 36270GAJ0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |      132000 | PA      | $132916.23    | 0.01%             | 2038-09-10      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                      | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      160000 | PA      | $124709.90    | 0.01%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PRES & FELLOWS OF HARVAR                                                         | President and Fellows of Harvard College                                         | CUSIP: 740816AR4<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49239.63     | 0.00%             | 2035-02-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      200000 | PA      | $205187.41    | 0.02%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: PLN 4.883000 19-MAR-2030 WIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      181688 | OU      | $1832.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                                                | Entergy Texas Inc                                                                | CUSIP: 29365TAK0<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |       50000 | PA      | $42724.96     | 0.00%             | 2031-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XMAZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      646598 | PA      | $622902.40    | 0.05%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                                | Union Electric Co                                                                | CUSIP: 906548CZ3<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |      195000 | PA      | $176064.93    | 0.01%             | 2055-03-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                         | Duke Energy Progress LLC                                                         | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      270000 | PA      | $269157.61    | 0.02%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: —       |
| ASSURED GUARANTY US HLDG                                                         | Assured Guaranty US Holdings Inc                                                 | CUSIP: 04621WAF7<br>LEI: 5493007YCE0652G9TZ64 | Long             | DBT              | CORP              | US        |      226000 | PA      | $235802.06    | 0.02%             | 2028-09-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                 | Georgia Power Co                                                                 | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      158000 | PA      | $156976.83    | 0.01%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |           1 | NC      | $8062.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MONG DUONG FIN HLDGS BV                                                          | Mong Duong Finance Holdings BV                                                   | CUSIP: 000000000<br>LEI: 549300995KGQFMWSV879 | Long             | DBT              | CORP              | NL        |      381225 | PA      | $364428.23    | 0.03%             | 2029-05-07      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                        | BPR Trust 2024-PMDW                                                              | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10000 | PA      | $10117.41     | 0.00%             | 2041-11-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                           | Extra Space Storage LP                                                           | CUSIP: 30225VAG2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |      145000 | PA      | $120553.22    | 0.01%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| HONO Mortgage Trust                                                              | HONO 2021-LULU Mortgage Trust                                                    | CUSIP: 40390MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $98750.00     | 0.01%             | 2036-10-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac REMICS                                                               | CUSIP: 3137HKE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1482805 | PA      | $1480656.99   | 0.12%             | 2055-01-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                                     | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       69975 | PA      | $69710.89     | 0.01%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132E07G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      214732 | PA      | $219048.57    | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG Energy Inc                                                                   | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      427000 | PA      | $426343.92    | 0.03%             | 2034-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | USD P SGD C @1.325000 EO                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |       73000 | OU      | $1127.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | USD C PLN P @4.000000 EO                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |      -36000 | OU      | $-130.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-171288.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F062663<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -14543000 | PA      | $-14962872.70 | -1.21%            | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2022-7                                    | CUSIP: 80287FAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      623137 | PA      | $625332.98    | 0.05%             | 2028-01-17      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CGI INC                                                                          | CGI Inc                                                                          | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |       25000 | PA      | $23972.41     | 0.00%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Dowson                                                                           | Dowson 2024-1 PLC                                                                | CUSIP: 000000000<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |      110000 | PA      | $145675.57    | 0.01%             | 2031-08-20      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                         | Duke Energy Progress LLC                                                         | CUSIP: 26442UAN4<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      320000 | PA      | $292199.16    | 0.02%             | 2032-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1078000 | PA      | $947719.67    | 0.08%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Minejesa Capital BV                                                              | Minejesa Capital BV                                                              | CUSIP: 000000000<br>LEI: 549300KS7ERCP10BKC35 | Long             | DBT              | CORP              | NL        |      300000 | PA      | $279300.00    | 0.02%             | 2037-08-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                                                  | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      700000 | PA      | $694312.50    | 0.06%             | 2039-12-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-2267.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                                  | Benefit Street Partners CLO IV Ltd                                               | CUSIP: 08180FBU4<br>LEI: 5493002BNZCV0YE1MG83 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $498581.10    | 0.04%             | 2034-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2007-8                                           | CUSIP: 12545AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      139809 | PA      | $57231.08     | 0.00%             | 2038-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.730000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     7000000 | OU      | $-136688.78   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                                            | Southern California Gas Co                                                       | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |       15000 | PA      | $15673.45     | 0.00%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC2 Trust | CUSIP: 93936LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12490 | PA      | $11173.22     | 0.00%             | 2037-06-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Lebanese Republic                                                                | Lebanon Government International Bond                                            | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |       16000 | PA      | $2696.00      | 0.00%             | 2027-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-1112.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                   | CUSIP: 68233JAS3<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |      105000 | PA      | $99971.66     | 0.01%             | 2042-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKKB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      580864 | PA      | $469301.19    | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                                            | Civitas Resources Inc                                                            | CUSIP: 097793AE3<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |       48000 | PA      | $46606.96     | 0.00%             | 2026-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                                         | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AZ9<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      311000 | PA      | $315607.70    | 0.03%             | 2037-09-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                                           | GreenSky Home Improvement Trust 2024-1                                           | CUSIP: 39571MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      349588 | PA      | $354868.32    | 0.03%             | 2059-06-25      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |           1 | NC      | $171.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       33000 | PA      | $23582.98     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.378000 17-SEP-2030 SOR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1000000 | OU      | $18009.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | NO        |           1 | NC      | $72.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCERE HOLDINGS L                                                         | RenaissanceRe Holdings Ltd                                                       | CUSIP: 75968NAE1<br>LEI: EK6GB9U3U58PDI411C94 | Long             | DBT              | CORP              | BM        |     1070000 | PA      | $1092023.41   | 0.09%             | 2033-06-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | ZA        |           1 | NC      | $-919.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORTRESS TRANS & INFRAST                                                         | Fortress Transportation and Infrastructure Investors LLC                         | CUSIP: 34960PAG6<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |       96000 | PA      | $97277.09     | 0.01%             | 2032-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                   | EUR C USD P @1.120000 EO                                                         | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DFE              |  | US        |      -56000 | OU      | $-1228.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | SG        |           1 | NC      | $907.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030454<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |      -19000 | PA      | $-18037.38    | -0.00%            | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                                            | CUSIP: 882508CB8<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |      200000 | PA      | $202562.65    | 0.02%             | 2033-03-14      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                          | Mexican Bonos                                                                    | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1100000 | PA      | $55668.62     | 0.00%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                       | goeasy Ltd                                                                       | CUSIP: 380355AN7<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |       75000 | PA      | $73704.47     | 0.01%             | 2030-10-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-2072.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                         | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAQ4<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      295000 | PA      | $301132.53    | 0.02%             | 2033-06-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                                                  | OHA Credit Funding 19 Ltd                                                        | CUSIP: 67100SAE6<br>LEI: 254900WSB9O7FH7DWN37 | Long             | ABS-CBDO         | CORP              | BM        |      250000 | PA      | $248049.95    | 0.02%             | 2037-07-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SBP7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      450000 | PA      | $306350.78    | 0.02%             | 2061-02-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                           | CUSIP: 237194AP0<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |      205000 | PA      | $204838.07    | 0.02%             | 2027-10-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA2                                          | CUSIP: 35564KDX4<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |     2255000 | PA      | $2475611.39   | 0.20%             | 2033-08-25      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWP: OIS 13.085000 04-JAN-2027 BZD                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |      766189 | OU      | $-1406.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT Corp                                                                         | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      862000 | PA      | $919282.75    | 0.07%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                    | CUSIP: 00108WAT7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |       24000 | PA      | $24145.50     | 0.00%             | 2034-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $173.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                 | CUSIP: 191216CV0<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       75000 | PA      | $66217.62     | 0.01%             | 2030-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Argentina Republic Government International Bonds                                | Argentina Republic Government International Bonds                                | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       14585 | PA      | $9671.68      | 0.00%             | 2035-07-09      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                     | Comcast Corp                                                                     | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      195000 | PA      | $113196.28    | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-817.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      120000 | PA      | $117915.27    | 0.01%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       66242 | PA      | $67840.58     | 0.01%             | 2053-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-2                                     | CUSIP: 959926AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      300000 | PA      | $302874.48    | 0.02%             | 2028-03-15      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      604000 | PA      | $615143.27    | 0.05%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                                                     | Evergy Metro Inc                                                                 | CUSIP: 30037DAD7<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |       30000 | PA      | $30523.26     | 0.00%             | 2034-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.002180 17-JUN-2031 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2260000 | OU      | $43545.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD                                                               | Trane Technologies Financing Ltd                                                 | CUSIP: 892938AA9<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |      150000 | PA      | $153157.81    | 0.01%             | 2033-03-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                                                   | SELF Commercial Mortgage Trust 2024-STRG                                         | CUSIP: 81631WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70000 | PA      | $70136.12     | 0.01%             | 2034-11-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                | Store Capital LLC                                                                | CUSIP: 862123AA4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              |  | US        |      240000 | PA      | $239375.39    | 0.02%             | 2030-04-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SHARP HEALTHCARE                                                                 | Sharp HealthCare                                                                 | CUSIP: 819892AL4<br>LEI: 549300DEPBQ9WUW1K512 | Long             | DBT              | CORP              | US        |      100000 | PA      | $60909.51     | 0.00%             | 2050-08-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| CART                                                                             | CONE Trust 2024-DFW1                                                             | CUSIP: 20682AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $197008.50    | 0.02%             | 2041-08-15      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                 | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      291000 | PA      | $298959.90    | 0.02%             | 2029-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      144000 | PA      | $121452.00    | 0.01%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                                          | Southwestern Electric Power Co                                                   | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |       95000 | PA      | $93358.42     | 0.01%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      410000 | PA      | $418702.81    | 0.03%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                   | CUSIP: 68233JBU7<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |       70000 | PA      | $64503.51     | 0.01%             | 2030-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                                 | RALI Series 2007-QO2 Trust                                                       | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      373712 | PA      | $110048.22    | 0.01%             | 2047-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                         | Madison Park Funding XXXI Ltd                                                    | CUSIP: 55819DBA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248800.03    | 0.02%             | 2037-07-23      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                                              | Cardinal Health Inc                                                              | CUSIP: 14149YBS6<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |      430000 | PA      | $431606.46    | 0.04%             | 2034-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT                                                          | Wisconsin Power and Light Co                                                     | CUSIP: 976826BQ9<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |      135000 | PA      | $125790.23    | 0.01%             | 2032-09-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-9780.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | USD C MXN P @22.00000 EO                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |      -50000 | OU      | $-19.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TransDigm Group Inc                                                              | TransDigm Group Inc                                                              | CUSIP: 893641100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |          28 | NS      | $39565.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2550000 | PA      | $2590647.00   | 0.21%             | 2041-10-25      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.039630 18-JUN-2027 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4401342 | OU      | $55160.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Netflix Inc                                                                      | Netflix Inc                                                                      | CUSIP: 64110L106<br>LEI: 549300Y7VHGU0I7CE873 | Long             | EC               | CORP              | US        |          42 | NS      | $47532.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.018460 12-MAR-2027 FTO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  1455297954 | OU      | $-31876.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                   | European Union                                                                   | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |      350000 | PA      | $314621.70    | 0.03%             | 2052-10-04      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MGM CHINA HOLDINGS LTD                                                           | MGM China Holdings Ltd                                                           | CUSIP: 000000000<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |      500000 | PA      | $502968.75    | 0.04%             | 2031-06-26      | Fixed         | 7.13%                 | No            |                  2 | On Loan: —       |
| INTERPUBLIC GROUP COS                                                            | Interpublic Group of Cos Inc/The                                                 | CUSIP: 460690BR0<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50085.81     | 0.00%             | 2030-03-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EGYPT GOVERNMENT BOND                                                            | Egypt Government Bond                                                            | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      900000 | PA      | $17281.91     | 0.00%             | 2028-02-04      | Fixed         | 21.38%                | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: GBP 3.659700 17-SEP-2030 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1000000 | OU      | $-3485.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chevron Corp                                                                     | Chevron Corp                                                                     | CUSIP: 166764BL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       25000 | PA      | $24682.21     | 0.00%             | 2026-05-16      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: HUF 5.755000 17-SEP-2027 BUB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    35319000 | OU      | $170.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      535000 | PA      | $484814.13    | 0.04%             | 2031-02-11      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                          | CUSIP: 808513CE3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |       61000 | PA      | $63735.59     | 0.01%             | 2034-05-19      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132E0GT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      235561 | PA      | $222732.84    | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.494640 18-JUN-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2650000 | OU      | $53576.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| City of San Antonio TX Electric & Gas Systems Revenue                            | SAN ANTONIO TX ELEC & GAS REVENUE                                                | CUSIP: 796253Y30<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |       50000 | PA      | $50822.69     | 0.00%             | 2041-02-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2024-MRCO                                           | JW Trust 2024-BERY                                                               | CUSIP: 46676AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $597000.00    | 0.05%             | 2039-11-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | NZ        |           1 | NC      | $6992.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | AU        |           1 | NC      | $92.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Verisk Analytics Inc                                                             | Verisk Analytics Inc                                                             | CUSIP: 92345YAF3<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |      530000 | PA      | $522456.05    | 0.04%             | 2029-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3131Y0ZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11836 | PA      | $11160.37     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                                            | Palmer Square CLO 2024-2 LTD                                                     | CUSIP: 69703LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $297600.03    | 0.02%             | 2037-07-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| SAMARCO MINERACAO SA                                                             | Samarco Mineracao SA                                                             | CUSIP: 79588YAA7<br>LEI: 529900U8HKV15GJC4O60 | Long             | DBT              | CORP              | BR        |       19454 | PA      | $18246.88     | 0.00%             | 2031-06-30      | Fixed         | 9.50%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       85000 | PA      | $86536.55     | 0.01%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR ULTRA FUT JUN25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -271 | NC      | $-464829.62   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| WASTE CONNECTIONS INC                                                            | Waste Connections Inc                                                            | CUSIP: 94106BAA9<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |      150000 | PA      | $137857.17    | 0.01%             | 2030-02-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      423573 | PA      | $415776.80    | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                                              | Dominion Energy Inc                                                              | CUSIP: 257469AJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49646.61     | 0.00%             | 2033-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JSW HYDRO ENERGY LTD                                                             | JSW Hydro Energy Ltd                                                             | CUSIP: 000000000<br>LEI: 3358006ZP5KO7VUH2790 | Long             | DBT              | CORP              | IN        |      221250 | PA      | $194976.56    | 0.02%             | 2031-05-18      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                          | CUSIP: 808513CG8<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      300000 | PA      | $305826.36    | 0.02%             | 2026-08-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TRAVELERS COS INC                                                                | Travelers Cos Inc/The                                                            | CUSIP: 89417EAJ8<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |       25000 | PA      | $22048.69     | 0.00%             | 2043-08-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA1                                          | CUSIP: 35564KBD0<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | USGSE             | US        |     2300000 | PA      | $2386250.00   | 0.19%             | 2051-01-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                                                   | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      789000 | PA      | $808595.05    | 0.07%             | 2041-12-10      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| RPM INTERNATIONAL INC                                                            | RPM International Inc                                                            | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |      470000 | PA      | $407402.50    | 0.03%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | Realty Income Corp                                                               | CUSIP: 756109BA1<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |       40000 | PA      | $31471.11     | 0.00%             | 2033-03-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-6 Trust   | CUSIP: 93935GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      331612 | PA      | $132367.20    | 0.01%             | 2036-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: TWD 1.615000 17-SEP-2030 TAI                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    33000000 | OU      | $-3078.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                                                            | Universal Health Services Inc                                                    | CUSIP: 913903BB5<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48715.62     | 0.00%             | 2029-10-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.814000 16-MAY-2026 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     6894000 | OU      | $-8834.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intuitive Surgical Inc                                                           | Intuitive Surgical Inc                                                           | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |          77 | NS      | $39716.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD PHP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-2777.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      555883 | PA      | $523702.64    | 0.04%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2007-19                                                   | CUSIP: 02151ABK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      284654 | PA      | $132291.70    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                      | MetLife Inc                                                                      | CUSIP: 59156RCE6<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25769.87     | 0.00%             | 2033-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 7.790000 11-SEP-2030 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     2000000 | OU      | $449.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                     | CSMC 2020-NET                                                                    | CUSIP: 126438AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      570000 | PA      | $560997.19    | 0.05%             | 2037-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                                                         | Redwood Funding Trust 2023-1                                                     | CUSIP: 75806CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75075 | PA      | $74637.09     | 0.01%             | 2059-07-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | USD P TRY C @39.50000 EO                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |      -37000 | OU      | $-464.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-3736.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                  | CUSIP: 084664CU3<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |       80000 | PA      | $72451.42     | 0.01%             | 2030-03-12      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| MetLife Inc                                                                      | MetLife Inc                                                                      | CUSIP: 59156RBN7<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |       35000 | PA      | $28113.19     | 0.00%             | 2045-03-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA INSTITUTE OF                                                          | California Institute of Technology                                               | CUSIP: 13034VAD6<br>LEI: 549300CITPNHOTVPHC04 | Long             | DBT              | CORP              | US        |       50000 | PA      | $31203.27     | 0.00%             | 2119-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | Citigroup Inc                                                                    | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       45000 | PA      | $44165.42     | 0.00%             | 2028-07-24      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2246000 | PA      | $2252348.30   | 0.18%             | 2028-10-22      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPV70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      573725 | PA      | $463765.93    | 0.04%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022451<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |      -29000 | PA      | $-26940.92    | -0.00%            | 2039-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | JP        |           1 | NC      | $2023.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IN        |           1 | NC      | $1368.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | KR        |           1 | NC      | $3226.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      443000 | PA      | $475075.04    | 0.04%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20753VBT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1900000 | PA      | $2011387.88   | 0.16%             | 2040-02-25      | Floating      | 11.22%                | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-2054.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | Citigroup Inc                                                                    | CUSIP: 172967LJ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      100000 | PA      | $80057.47     | 0.01%             | 2048-04-24      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-240.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KQQM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31680 | PA      | $32231.26     | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      396000 | PA      | $339992.97    | 0.03%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CKR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      195000 | PA      | $198351.56    | 0.02%             | 2027-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |           1 | NC      | $52.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-2728.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                         | Anheuser-Busch InBev Worldwide Inc                                               | CUSIP: 03523TBW7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20241.34     | 0.00%             | 2059-01-23      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $447.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: TWD 1.973000 17-SEP-2030 TAI                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $-1324.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PulteGroup Inc                                                                   | PulteGroup Inc                                                                   | CUSIP: 745867AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       50000 | PA      | $50165.04     | 0.00%             | 2026-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | GB        |           1 | NC      | $4022.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                            | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20115.66     | 0.00%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    30374900 | PA      | $31992126.20  | 2.60%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWP: OIS 13.495000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     7000000 | OU      | $-2098.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mastercard Inc                                                                   | Mastercard Inc                                                                   | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |          68 | NS      | $37268.08     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |        7000 | PA      | $6032.97      | 0.00%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                                                       | PRM5 Trust 2025-PRM5                                                             | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      489000 | PA      | $487895.59    | 0.04%             | 2033-03-10      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                                                   | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      560000 | PA      | $578109.06    | 0.05%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      450000 | PA      | $352088.84    | 0.03%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QST68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      124571 | PA      | $126769.01    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-2873.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                                             | PRET 2024-NPL4 LLC                                                               | CUSIP: 74143RAA1<br>LEI: 254900OXVJK5CT5B2O86 | Long             | ABS-O            | CORP              | US        |      652935 | PA      | $653578.02    | 0.05%             | 2054-07-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                             | CUSIP: 78016FZX5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |       25000 | PA      | $25116.00     | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $145.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                                                           | Republic of Poland Government Bond                                               | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      274000 | PA      | $67241.40     | 0.01%             | 2029-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                                  | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248P8AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      372204 | PA      | $300804.09    | 0.02%             | 2036-10-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP Transmission Co LLC                                                          | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      139000 | PA      | $91475.89     | 0.01%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-925.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                             | Deephaven Residential Mortgage Trust 2024-1                                      | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88577 | PA      | $88832.34     | 0.01%             | 2069-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| 6297782 LLC                                                                      | South Bow USA Infrastructure Holdings LLC                                        | CUSIP: 83007CAE2<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48345.09     | 0.00%             | 2034-10-01      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                         | CUSIP: 341081GK7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |       30000 | PA      | $30782.30     | 0.00%             | 2028-04-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1532337 | PA      | $1277801.15   | 0.10%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2007-11                                          | CUSIP: 12544LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      531347 | PA      | $225358.88    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                   | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24957.23     | 0.00%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                                     | Ares Loan Funding IV Ltd                                                         | CUSIP: 04020FAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250857.55    | 0.02%             | 2036-10-15      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2                    | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133000 | PA      | $129883.52    | 0.01%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                  | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |       70000 | PA      | $72371.22     | 0.01%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | Bank of America Corp                                                             | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |         927 | NS      | $36968.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 1.886550 18-JUN-2027 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3090000 | OU      | $-2130.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE                                                            | Melco Resorts Finance Ltd                                                        | CUSIP: 000000000<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $189000.00    | 0.02%             | 2028-07-21      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.598000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     5000000 | OU      | $-68673.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                                | Union Electric Co                                                                | CUSIP: 906548CY6<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50480.44     | 0.00%             | 2034-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                               | CUSIP: 925650AH6<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |      612000 | PA      | $605437.68    | 0.05%             | 2031-11-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                             | Deephaven Residential Mortgage Trust 2021-1                                      | CUSIP: 24380VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $355563.64    | 0.03%             | 2065-05-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                            | Quest Diagnostics Inc                                                            | CUSIP: 74834LBF6<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |      800000 | PA      | $803676.29    | 0.07%             | 2029-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                           | Brookfield Finance Inc                                                           | CUSIP: 11271LAE2<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |      125000 | PA      | $122020.55    | 0.01%             | 2030-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                  | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      250000 | PA      | $246685.84    | 0.02%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AHP HEALTH PARTN                                                                 | AHP Health Partners Inc                                                          | CUSIP: 00150LAB7<br>LEI: 549300QMM8MQ6SM5KX05 | Long             | DBT              | CORP              | US        |       75000 | PA      | $69075.28     | 0.01%             | 2029-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TURKIYE GOVERNMENT BOND                                                          | Turkiye Government Bond                                                          | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      480000 | PA      | $10722.76     | 0.00%             | 2029-09-12      | Fixed         | 30.00%                | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.736000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     1000000 | OU      | $-19994.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $4.11         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | GB        |           1 | NC      | $-967.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-895.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                                  | CUSIP: 126650DP2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       91000 | PA      | $61751.24     | 0.01%             | 2040-08-21      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.440180 18-JUN-2027 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    14090000 | OU      | $-45612.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TW        |           1 | NC      | $2958.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                             | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |       65000 | PA      | $65189.48     | 0.01%             | 2029-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                                          | Digital Realty Trust LP                                                          | CUSIP: 25389JAV8<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              |  | US        |       50000 | PA      | $51372.45     | 0.00%             | 2028-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 8.145000 07-MAY-2026 JIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2236500 | OU      | $-1137.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                                      | OCP CLO 2020-8R Ltd                                                              | CUSIP: 670898AQ8<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |      331000 | PA      | $330338.00    | 0.03%             | 2036-10-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| CSX Corp                                                                         | CSX Corp                                                                         | CUSIP: 126408GS6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |      175000 | PA      | $186251.96    | 0.02%             | 2040-04-30      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                                                    | 1988 CLO 5 Ltd                                                                   | CUSIP: 68252PAA4<br>LEI: 254900KAQBAF5XV8IU66 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250279.58    | 0.02%             | 2037-07-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                                           | CUSIP: 209111GK3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |       60000 | PA      | $58917.09     | 0.00%             | 2054-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.568000 17-SEP-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1000000 | OU      | $23012.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1825000 | PA      | $1895718.75   | 0.15%             | 2042-01-25      | Floating      | 8.85%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                                      | VEGAS Trust 2024-TI                                                              | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60000 | PA      | $60812.09     | 0.00%             | 2039-11-10      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2006-11CB                                                 | CUSIP: 12668BWE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      903101 | PA      | $460556.39    | 0.04%             | 2036-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT Corp                                                                         | CUSIP: 26884LBC2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1024000 | PA      | $988932.95    | 0.08%             | 2031-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Eaton Corp                                                                       | Eaton Corp                                                                       | CUSIP: 278062AD6<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19079.88     | 0.00%             | 2032-11-02      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CH        |           1 | NC      | $15175.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                         | Constellation Brands Inc                                                         | CUSIP: 21036PBF4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      125000 | PA      | $114610.00    | 0.01%             | 2030-05-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                                              | BHMS 2018-ATLS                                                                   | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99936.25     | 0.01%             | 2035-07-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                              | Bank of Nova Scotia/The                                                          | CUSIP: 06418GAD9<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |       50000 | PA      | $51407.31     | 0.00%             | 2028-06-12      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MARKEL GROUP INC                                                                 | Markel Group Inc                                                                 | CUSIP: 570535AY0<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |      245000 | PA      | $242696.05    | 0.02%             | 2054-05-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                            | Truist Financial Corp                                                            | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      375000 | PA      | $381144.41    | 0.03%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | Bank of America Corp                                                             | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       80000 | PA      | $79577.91     | 0.01%             | 2027-11-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CA        |           1 | NC      | $5039.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Argentina Republic Government International Bonds                                | Argentina Republic Government International Bonds                                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       15840 | PA      | $12145.32     | 0.00%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-752.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| University of California                                                         | UNIV OF CALIFORNIA REVENUES                                                      | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      270000 | PA      | $223631.26    | 0.02%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                               | CUSIP: 437076DE9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      150000 | PA      | $150831.59    | 0.01%             | 2034-06-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA2 Trust | CUSIP: 93935QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      193895 | PA      | $160388.07    | 0.01%             | 2047-01-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT Corp                                                                         | CUSIP: 26884LBG3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      231000 | PA      | $234522.16    | 0.02%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| EGYPT TREASURY BILL                                                              | Egypt Treasury Bills                                                             | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | STIV             | NUSS              | EG        |     1400000 | PA      | $23609.68     | 0.00%             | 2025-12-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.44.V1)                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    12663288 | OU      | $-532124.48   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | 1Y RTR 3.740000 16-MAY-2025                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    10410000 | OU      | $11792.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | USD C TRY P @48.00000 EO                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | LU        |       -9500 | OU      | $-25.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GRUPO POSADAS SAB CV                                                             | Grupo Posadas SAB de CV                                                          | CUSIP: 000000000<br>LEI: 529900NRFIXN5G8NUX35 | Long             | DBT              | CORP              | MX        |       15505 | PA      | $14081.33     | 0.00%             | 2027-12-30      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                                                | Tampa Electric Co                                                                | CUSIP: 875127BN1<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |      530000 | PA      | $527905.60    | 0.04%             | 2035-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: EUR 2.441300 24-JUN-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      114000 | OU      | $1575.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENFIRE RESOURCES LTD                                                          | Greenfire Resources Ltd                                                          | CUSIP: 39525UAA5<br>LEI: 254900MTS0G2VGMJW059 | Long             | DBT              | CORP              | CA        |       91000 | PA      | $95675.85     | 0.01%             | 2028-10-01      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       70000 | PA      | $67725.84     | 0.01%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                                | PRPM 2025-NQM1 Trust                                                             | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      614812 | PA      | $619989.58    | 0.05%             | 2069-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Myers Park CLO LTD                                                               | Myers Park CLO Ltd                                                               | CUSIP: 62848FAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      290000 | PA      | $290578.70    | 0.02%             | 2030-10-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.764990 18-JUN-2035 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    10403132 | OU      | $347472.26    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                                                           | Patrick Industries Inc                                                           | CUSIP: 703343AH6<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |      115000 | PA      | $111645.28    | 0.01%             | 2032-11-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                                                   | Galaxy XXVI CLO Ltd                                                              | CUSIP: 36321LAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      125418 | PA      | $125354.91    | 0.01%             | 2031-11-22      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPQ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      109542 | PA      | $110371.17    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      135000 | PA      | $127362.69    | 0.01%             | 2030-07-23      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      241000 | PA      | $172590.65    | 0.01%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                              | Exeter Automobile Receivables Trust 2023-2                                       | CUSIP: 30168CAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      545000 | PA      | $555770.84    | 0.05%             | 2029-08-15      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                                           | CUSIP: 209111EL3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104908.03    | 0.01%             | 2036-03-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| KENTUCKY UTILITIES CO                                                            | Kentucky Utilities Co                                                            | CUSIP: 491674BM8<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |       25000 | PA      | $16708.49     | 0.00%             | 2050-06-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | 10Y RTP 4.340000 13-JAN-2027                                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |      722645 | OU      | $17687.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                                                          | Public Service Co of Oklahoma                                                    | CUSIP: 744533BQ2<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50063.05     | 0.00%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                            | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                  | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      154000 | PA      | $154776.04    | 0.01%             | 2035-07-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                          | Dell International LLC / EMC Corp                                                | CUSIP: 24703TAH9<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |      300000 | PA      | $317779.88    | 0.03%             | 2030-07-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                                                     | NNN REIT Inc                                                                     | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |      100000 | PA      | $101255.79    | 0.01%             | 2033-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      335927 | PA      | $307817.75    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sri Lanka Government International Bonds                                         | Sri Lanka Government International Bonds                                         | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |       19710 | PA      | $18212.04     | 0.00%             | 2028-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                                              | Cardinal Health Inc                                                              | CUSIP: 14149YBP2<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |      133000 | PA      | $134365.86    | 0.01%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      573000 | PA      | $561525.16    | 0.05%             | 2041-10-15      | Floating      | 10.29%                | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                                         | National Rural Utilities Cooperative Finance Corp                                | CUSIP: 63743HFK3<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |       40000 | PA      | $40765.77     | 0.00%             | 2026-11-13      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      186000 | PA      | $185656.54    | 0.02%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| State of California                                                              | CALIFORNIA ST                                                                    | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      250000 | PA      | $301809.54    | 0.02%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AU3<br>LEI: N/A                  | Long             | DBT              |  | US        |      398000 | PA      | $375340.55    | 0.03%             | 2054-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NRG Energy Inc                                                                   | NRG Energy Inc                                                                   | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |       98000 | PA      | $95428.99     | 0.01%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKSE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      510460 | PA      | $515419.23    | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.833750 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     1575000 | OU      | $-3537.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       21000 | PA      | $20570.16     | 0.00%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      204000 | PA      | $178627.23    | 0.01%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                                           | CUSIP: 209111GD9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      170000 | PA      | $176244.11    | 0.01%             | 2052-11-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: —       |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14689000 | PA      | $12745677.62  | 1.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                                             | BANK 2021-BNK37                                                                  | CUSIP: 06540LBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $302294.20    | 0.02%             | 2064-11-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1750000 | PA      | $1741250.00   | 0.14%             | 2045-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | 1Y RTR 3.740000 16-MAY-2025                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |    41371000 | OU      | $46864.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754KAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30489 | PA      | $30470.25     | 0.00%             | 2041-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-3117.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                           | Extra Space Storage LP                                                           | CUSIP: 30225VAK3<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |      100000 | PA      | $102855.55    | 0.01%             | 2030-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                          | Piedmont Natural Gas Co Inc                                                      | CUSIP: 720186AQ8<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101281.32    | 0.01%             | 2033-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                         | Occidental Petroleum Corp                                                        | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      220000 | PA      | $146253.43    | 0.01%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                                                         | Ashton Woods USA LLC / Ashton Woods Finance Co                                   | CUSIP: 045086AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       96000 | PA      | $95820.90     | 0.01%             | 2028-01-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Invesco Finance PLC                                                              | Invesco Finance PLC                                                              | CUSIP: 46132FAD2<br>LEI: 549300OYQ3LAJYXXO449 | Long             | DBT              | CORP              | GB        |      125000 | PA      | $124200.47    | 0.01%             | 2026-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      361000 | PA      | $365286.88    | 0.03%             | 2032-02-29      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CH        |           1 | NC      | $8185.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                                              | LCM 36 Ltd                                                                       | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248157.63    | 0.02%             | 2034-01-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GLOBAL PART/GLP FINANCE                                                          | Global Partners LP / GLP Finance Corp                                            | CUSIP: 37954FAK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      154000 | PA      | $156775.08    | 0.01%             | 2032-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| American Municipal Power Inc                                                     | AMERICAN MUNI PWR-OHIO INC OH REVENUE                                            | CUSIP: 02765UEK6<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |      150000 | PA      | $188193.67    | 0.02%             | 2050-02-15      | Fixed         | 8.08%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.648000 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      840627 | OU      | $-1653.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Home Depot Inc/The                                                               | Home Depot Inc/The                                                               | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |          99 | NS      | $35688.51     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                 | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      473000 | PA      | $453274.07    | 0.04%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.726820 17-JUN-2031 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2170434 | OU      | $7380.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA3                                          | CUSIP: 35564KFG9<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-MBS          | USGSE             | US        |      800000 | PA      | $880752.00    | 0.07%             | 2033-10-25      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.930170 18-JUN-2028 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2890000 | OU      | $42796.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                          | Saluda Grade Alternative Mortgage Trust 2024-RTL4                                | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140000 | PA      | $140201.46    | 0.01%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | XX        |           1 | NC      | $-521.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      107042 | PA      | $93977.37     | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                   | USD C MXN P @21.20000 EO                                                         | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DFE              |  | LU        |       73000 | OU      | $12.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MX        |           1 | NC      | $2.97         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oglethorpe Power Corp                                                            | Oglethorpe Power Corp                                                            | CUSIP: 677050AN6<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8724.40      | 0.00%             | 2048-10-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754LAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2690000 | PA      | $2740437.50   | 0.22%             | 2041-12-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1749460 | PA      | $1460290.89   | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENT Trust 2023-CITY                                                             | CENT Trust 2023-CITY                                                             | CUSIP: 12516WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      474000 | PA      | $473703.75    | 0.04%             | 2038-09-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                                          | Frontier Communications Holdings LLC                                             | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      140000 | PA      | $138555.04    | 0.01%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ACW3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       70000 | PA      | $66821.14     | 0.01%             | 2053-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TH        |           1 | NC      | $-205.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                                          | John Deere Capital Corp                                                          | CUSIP: 24422EVS5<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |      145000 | PA      | $126547.00    | 0.01%             | 2031-06-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                       | Progress Residential 2023-SFR1 Trust                                             | CUSIP: 74334FAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      690000 | PA      | $696032.88    | 0.06%             | 2040-03-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                                         | Intercontinental Exchange Inc                                                    | CUSIP: 45866FAJ3<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19649.16     | 0.00%             | 2028-09-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BA1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      315000 | PA      | $293405.39    | 0.02%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $542.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                              | New Residential Mortgage Loan Trust 2025-NQM1                                    | CUSIP: 64832DAC5<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |      529526 | PA      | $532503.82    | 0.04%             | 2065-01-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                                          | NYMT 2024-RR1 Trust                                                              | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140896 | PA      | $139571.27    | 0.01%             | 2064-05-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | JP        |           1 | NC      | $2435.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      906000 | PA      | $926100.33    | 0.08%             | 2028-04-22      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                           | Lendmark Funding Trust 2022-1                                                    | CUSIP: 52608JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $99947.66     | 0.01%             | 2032-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $2377.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | KR        |           1 | NC      | $11412.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                         | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBA0<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     2591000 | PA      | $2521424.68   | 0.20%             | 2027-03-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                                    | NYC Trust 2024-3ELV                                                              | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      172000 | PA      | $172005.09    | 0.01%             | 2029-08-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-1163.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED HUF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | HU        |           1 | NC      | $262.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | TW        |           1 | NC      | $1036.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.647350 18-JUN-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     5455000 | OU      | $81386.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                                                 | FirstEnergy Corp                                                                 | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      554000 | PA      | $547597.28    | 0.04%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                               | Regional Management Issuance Trust 2021-2                                        | CUSIP: 75907UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      300000 | PA      | $276015.90    | 0.02%             | 2033-08-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| RELIANCE INC                                                                     | Reliance Inc                                                                     | CUSIP: 759509AF9<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |      200000 | PA      | $197944.27    | 0.02%             | 2025-08-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: HKD 3.092500 17-SEP-2030 HKD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $-2260.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                 | Paramount Global                                                                 | CUSIP: 92553PBB7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      211000 | PA      | $206250.84    | 0.02%             | 2026-10-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      275000 | PA      | $278752.41    | 0.02%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| EQT Trust 2024-EXTR                                                              | EQT Trust 2024-EXTR                                                              | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $357474.53    | 0.03%             | 2041-07-05      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: PLN 5.160000 19-SEP-2026 WIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      558563 | OU      | $-1318.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ID        |           1 | NC      | $-140.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.936620 18-JUN-2028 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5110000 | OU      | $76895.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                              | CUSIP: 74762EAL6<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |       90000 | PA      | $88788.34     | 0.01%             | 2034-08-09      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                                                          | CIT Mortgage Loan Trust 2007-1                                                   | CUSIP: 12559QAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      676000 | PA      | $623438.97    | 0.05%             | 2037-10-25      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS                                                               | Eastern Energy Gas Holdings LLC                                                  | CUSIP: 27636AAA0<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |       25000 | PA      | $23521.65     | 0.00%             | 2054-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                  | CUSIP: 718172CZ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      590000 | PA      | $600655.06    | 0.05%             | 2028-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                 | CUSIP: 22822VAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      100000 | PA      | $92953.92     | 0.01%             | 2029-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                                    | First Horizon Alternative Mortgage Securities Trust 2006-AA7                     | CUSIP: 32052CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      503530 | PA      | $394244.50    | 0.03%             | 2037-01-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                                                  | Israel Government International Bond                                             | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      204000 | PA      | $183600.00    | 0.01%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                 | Berry Global Inc                                                                 | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24375.97     | 0.00%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC                                                             | Waste Management Inc                                                             | CUSIP: 94106LBW8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50219.83     | 0.00%             | 2034-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                                  | Benefit Street Partners CLO XXVII Ltd                                            | CUSIP: 08179PAQ5<br>LEI: 254900WANE6M5S0NC534 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250000.00    | 0.02%             | 2037-10-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      598479 | PA      | $501524.53    | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                          | HCA Inc                                                                          | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      115000 | PA      | $104429.15    | 0.01%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-42388.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                                   | Merck & Co Inc                                                                   | CUSIP: 58933YBM6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |       60000 | PA      | $54512.38     | 0.00%             | 2053-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| JW Commercial Mortgage Trust 2024-MRCO                                           | JW Commercial Mortgage Trust 2024-MRCO                                           | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88000 | PA      | $86539.46     | 0.01%             | 2039-06-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XTA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      163404 | PA      | $152689.14    | 0.01%             | 2053-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRES & FELLOWS OF HARVAR                                                         | President and Fellows of Harvard College                                         | CUSIP: 740816AP8<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |      150000 | PA      | $89789.31     | 0.01%             | 2050-10-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: —       |
| HOMES Trust                                                                      | HOMES 2025-NQM1 Trust                                                            | CUSIP: 43761DAH3<br>LEI: 254900LUV7YA0N50XT86 | Long             | ABS-MBS          | CORP              | US        |      392500 | PA      | $389509.31    | 0.03%             | 2070-01-25      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.169650 18-JUN-2035 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3532502 | OU      | $88860.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SG        |           1 | NC      | $150.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                          | Dryden 104 CLO Ltd                                                               | CUSIP: 26253BAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249329.73    | 0.02%             | 2034-08-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DV5Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       53595 | PA      | $48815.40     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBK0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      108000 | PA      | $86472.19     | 0.01%             | 2049-09-06      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | Exelon Corp                                                                      | CUSIP: 30161NBE0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      110000 | PA      | $99619.40     | 0.01%             | 2032-03-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4121400 | PA      | $3125180.34   | 0.25%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      242000 | PA      | $217285.90    | 0.02%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      231000 | PA      | $231636.09    | 0.02%             | 2036-01-24      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XJTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      391560 | PA      | $364456.56    | 0.03%             | 2037-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5824400 | PA      | $5141625.62   | 0.42%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                           | Mizuho Financial Group Inc                                                       | CUSIP: 60687YCA5<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $199749.41    | 0.02%             | 2026-05-22      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-3397.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                                                  | San Diego Gas & Electric Co                                                      | CUSIP: 797440CD4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |       90000 | PA      | $82913.93     | 0.01%             | 2053-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                            | Waste Connections Inc                                                            | CUSIP: 94106BAE1<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |       85000 | PA      | $76459.33     | 0.01%             | 2032-06-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue            | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                             | CUSIP: 913366KC3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       50000 | PA      | $31250.15     | 0.00%             | 2060-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | Eversource Energy                                                                | CUSIP: 30040WAU2<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49281.19     | 0.00%             | 2033-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      943400 | PA      | $759731.81    | 0.06%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-31506.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Puget Sound Energy Inc                                                           | Puget Sound Energy Inc                                                           | CUSIP: 745332CH7<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |      100000 | PA      | $79310.12     | 0.01%             | 2048-06-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-36987.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.428400 18-JUN-2055 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1721251 | OU      | $-29709.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                              | CUSIP: 210518DW3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |       40000 | PA      | $40436.98     | 0.00%             | 2029-05-30      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                                       | AMSR 2020-SFR4 Trust                                                             | CUSIP: 66981FAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      150000 | PA      | $147411.59    | 0.01%             | 2037-11-17      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                                                          | Jefferies Financial Group Inc                                                    | CUSIP: 47233WBM0<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |       30000 | PA      | $30787.65     | 0.00%             | 2028-07-21      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HELIX ENERGY SOLUTIONS                                                           | Helix Energy Solutions Group Inc                                                 | CUSIP: 42330PAL1<br>LEI: 416AP2JOUTCWEGSOZW41 | Long             | DBT              | CORP              | US        |       64000 | PA      | $64780.80     | 0.01%             | 2029-03-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 5.687500 17-SEP-2030 INR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    86000000 | OU      | $3437.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                                    | LGI Homes Inc                                                                    | CUSIP: 50187TAK2<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |       54000 | PA      | $49815.00     | 0.00%             | 2032-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | CH        |           1 | NC      | $10680.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-143.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.406150 18-JUN-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4860000 | OU      | $75245.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCC Trust                                                                       | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      186000 | PA      | $189454.91    | 0.02%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | Exelon Corp                                                                      | CUSIP: 30161NBL4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37499.70     | 0.00%             | 2053-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      254000 | PA      | $246085.27    | 0.02%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                                           | BP Capital Markets America Inc                                                   | CUSIP: 10373QCA6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99918.80     | 0.01%             | 2034-11-17      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                   | CUSIP: 532457CH9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |       70000 | PA      | $62879.06     | 0.01%             | 2063-02-27      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Municipal Electric Authority of Georgia                                          | MUNI ELEC AUTH OF GEORGIA                                                        | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |       49000 | PA      | $53275.87     | 0.00%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |       45000 | PA      | $46610.07     | 0.00%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 7.950000 17-SEP-2030 JIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    36850000 | OU      | $27765.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042459<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      681000 | PA      | $675916.42    | 0.05%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.493000 17-SEP-2030 THO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7000000 | OU      | $801.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PE        |           1 | NC      | $2676.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Taurus CMBS                                                                      | Taurus 2025-2 UK DAC                                                             | CUSIP: 000000000<br>LEI: 635400ZUSGYHROR9ZX12 | Long             | ABS-MBS          | CORP              | IE        |      190000 | PA      | $250250.29    | 0.02%             | 2035-02-18      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                             | Boston Properties LP                                                             | CUSIP: 10112RBF0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              |  | US        |       25000 | PA      | $19564.47     | 0.00%             | 2033-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      500000 | PA      | $498661.50    | 0.04%             | 2026-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.701250 18-JUN-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     7497500 | OU      | $130341.45    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                               | CUSIP: 925650AG8<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |       80000 | PA      | $76636.80     | 0.01%             | 2054-04-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |           1 | NC      | $541.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                                       | Nasdaq Inc                                                                       | CUSIP: 63111XAG6<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20024.31     | 0.00%             | 2025-06-28      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Southwest Gas Corp                                                               | Southwest Gas Corp                                                               | CUSIP: 845011AA3<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |      150000 | PA      | $146630.32    | 0.01%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                                                         | Burford Capital Global Finance LLC                                               | CUSIP: 12116LAE9<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |      130000 | PA      | $136960.85    | 0.01%             | 2031-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp                                                            | Norfolk Southern Corp                                                            | CUSIP: 655844BS6<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24616.43     | 0.00%             | 2026-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.868210 18-JUN-2035 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     3172500 | OU      | $-66401.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.344000 17-SEP-2030 SOR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1500000 | OU      | $25156.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                              | Global Payments Inc                                                              | CUSIP: 891906AC3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49971.16     | 0.00%             | 2026-04-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YEZ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100378.97    | 0.01%             | 2027-01-28      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| EMERSON ELECTRIC CO                                                              | Emerson Electric Co                                                              | CUSIP: 291011BQ6<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | DBT              | CORP              | US        |       50000 | PA      | $46364.87     | 0.00%             | 2028-12-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                | Post Holdings Inc                                                                | CUSIP: 737446AX2<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |       73000 | PA      | $72394.02     | 0.01%             | 2034-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-4296.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      179000 | PA      | $181632.46    | 0.01%             | 2030-02-13      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-AIRC                                           | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      285392 | PA      | $285391.54    | 0.02%             | 2039-08-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                   | CUSIP: 927804GL2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      100000 | PA      | $93415.15     | 0.01%             | 2053-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR FUT OPTN JUN25C 112                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -1 | NC      | $-1078.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      194000 | PA      | $199810.30    | 0.02%             | 2031-03-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.961330 17-SEP-2030 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      110000 | OU      | $2347.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SoFi Personal Loan Trust                                                         | SoFi Personal Loan Trust 2024-1                                                  | CUSIP: 83407RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       75026 | PA      | $75494.16     | 0.01%             | 2031-02-12      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |           1 | NC      | $17.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | AU        |           1 | NC      | $2237.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                                                         | Omega Healthcare Investors Inc                                                   | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |      100000 | PA      | $90576.00     | 0.01%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       50000 | PA      | $44345.87     | 0.00%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                                                         | Regeneron Pharmaceuticals Inc                                                    | CUSIP: 75886FAF4<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |      250000 | PA      | $143190.83    | 0.01%             | 2050-09-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                                                  | NGPL PipeCo LLC                                                                  | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |      591000 | PA      | $522031.42    | 0.04%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa                                                         | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     2351125 | PA      | $113531.61    | 0.01%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                                             | BlueMountain Fuji US Clo II Ltd                                                  | CUSIP: 09629EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       70310 | PA      | $70310.45     | 0.01%             | 2030-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                                       | CUSIP: 46124HAH9<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |      100000 | PA      | $97749.04     | 0.01%             | 2053-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                                               | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112000 | PA      | $108080.00    | 0.01%             | 2036-01-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SE        |           1 | NC      | $1575.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      419000 | PA      | $244443.95    | 0.02%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                        | Block Inc                                                                        | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      417000 | PA      | $372198.98    | 0.03%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                       | CUSIP: 14040HDG7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      610000 | PA      | $619896.49    | 0.05%             | 2030-07-26      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | SWAP/CDSWAP/SCDS: (D)                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |       87000 | OU      | $-2347.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-184.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                                                             | Sagard-Halseypoint Clo 8 Ltd                                                     | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |     1110000 | PA      | $1103648.69   | 0.09%             | 2038-01-30      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                                                 | AMC Networks Inc                                                                 | CUSIP: 00164VAF0<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |       60000 | PA      | $44176.20     | 0.00%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| LEVEL 3 FINANCING INC                                                            | Level 3 Financing Inc                                                            | CUSIP: 527298BX0<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      263000 | PA      | $291202.69    | 0.02%             | 2029-04-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: —       |
| PACIFICORP                                                                       | PacifiCorp                                                                       | CUSIP: 695114CZ9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17841.05     | 0.00%             | 2053-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.456480 18-JUN-2055 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2300000 | OU      | $-54046.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16025000 | PA      | $16487659.70  | 1.34%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDIA CLEAN ENERGY HLDG                                                          | India Clean Energy Holdings                                                      | CUSIP: 000000000<br>LEI: 254900XQFJ9593DCY022 | Long             | DBT              | CORP              | MU        |      400000 | PA      | $373800.00    | 0.03%             | 2027-04-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | Realty Income Corp                                                               | CUSIP: 756109CF9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |      300000 | PA      | $302959.51    | 0.02%             | 2029-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                            | Norfolk Southern Corp                                                            | CUSIP: 655844CD8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |       36000 | PA      | $24847.00     | 0.00%             | 2049-11-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust                                          | SG Commercial Mortgage Securities Trust 2019-PREZ                                | CUSIP: 78430EAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26000 | PA      | $21584.79     | 0.00%             | 2039-09-15      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.290000 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  5347000000 | OU      | $-10467.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |           1 | NC      | $1771.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US ULTRA BOND CBT JUN25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         210 | NC      | $717969.42    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-27713.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.082520 17-JUN-2036 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2386428 | OU      | $-10486.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                         | Enterprise Products Operating LLC                                                | CUSIP: 293791AF6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      125000 | PA      | $138484.19    | 0.01%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                 | Georgia Power Co                                                                 | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      199000 | PA      | $198494.11    | 0.02%             | 2033-05-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                                                | Ghana Government International Bond                                              | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |       21249 | PA      | $14130.59     | 0.00%             | 2035-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |           1 | NC      | $2834.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | USD/CNH One-touch barrier option; Barrier price USD 7.63000                      | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |       10000 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-7309.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DT4J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      183318 | PA      | $187335.43    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ALBERTA                                                              | Province of Alberta Canada                                                       | CUSIP: 013051EM5<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |       10000 | PA      | $8732.61      | 0.00%             | 2030-07-22      | Fixed         | 1.30%                 | No            |                  2 | On Loan: —       |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    24523000 | PA      | $24787388.60  | 2.01%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DQ7D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      168584 | PA      | $169418.98    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.958310 18-JUN-2030 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2386330 | OU      | $-49807.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                            | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      800000 | PA      | $810400.00    | 0.07%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                                       | CUSIP: 337738BH0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      770000 | PA      | $784313.47    | 0.06%             | 2033-08-21      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                             | CUSIP: 78016EZD2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      200000 | PA      | $198150.80    | 0.02%             | 2027-05-04      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400HN6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |       80000 | PA      | $50781.12     | 0.00%             | 2052-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39, LTD.                                             | Octagon Investment Partners 39 Ltd                                               | CUSIP: 67592CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249925.00    | 0.02%             | 2030-10-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| State of California                                                              | CALIFORNIA ST                                                                    | CUSIP: 13063BBU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      100000 | PA      | $116654.60    | 0.01%             | 2039-11-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Board of Regents of the University of Texas System                               | UNIV OF TEXAS TX                                                                 | CUSIP: 9151375R0<br>LEI: TEHUYFNKZR6XVWLGEU86 | Long             | DBT              | MUN               | US        |       50000 | PA      | $47322.10     | 0.00%             | 2046-08-15      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                                              | Delta Air Lines Inc                                                              | CUSIP: 247361ZZ4<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25306.45     | 0.00%             | 2026-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                            | CUSIP: 3128MMVG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      143501 | PA      | $138428.84    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                               | CUSIP: 72650RBH4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |       45000 | PA      | $36758.33     | 0.00%             | 2045-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MANULIFE FINANCIAL CORP                                                          | Manulife Financial Corp                                                          | CUSIP: 56501RAK2<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |       20000 | PA      | $19358.15     | 0.00%             | 2027-05-19      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                                | Expedia Group Inc                                                                | CUSIP: 30212PBL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      138000 | PA      | $135844.71    | 0.01%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                                                     | Morgan Stanley Resecuritization Trust 2015-R2                                    | CUSIP: 61690HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      317604 | PA      | $279491.79    | 0.02%             | 2046-12-27      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| CommScope Holding Co Inc                                                         | CommScope Holding Co Inc                                                         | CUSIP: 20337X109<br>LEI: 254900AW4CEPCQWSRI58 | Long             | EC               | CORP              | US        |        9052 | NS      | $33854.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      719000 | PA      | $641206.72    | 0.05%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748BG6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100217.50    | 0.01%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022451<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2779000 | PA      | $2581682.86   | 0.21%             | 2039-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |        3000 | PA      | $3346.52      | 0.00%             | 2032-07-11      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT & WHITE HOL                                                         | Baylor Scott & White Holdings                                                    | CUSIP: 072863AC7<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |       50000 | PA      | $41484.06     | 0.00%             | 2045-11-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| MAGNOLIA OIL GAS/MAG FIN                                                         | Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp               | CUSIP: 559665AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      169000 | PA      | $163630.30    | 0.01%             | 2032-12-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2005-31                                                   | CUSIP: 12667GYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      421838 | PA      | $391740.24    | 0.03%             | 2035-08-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3142GQF80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1031697 | PA      | $1049787.13   | 0.09%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                                            | CUSIP: 882508BQ6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |       31000 | PA      | $24162.99     | 0.00%             | 2052-08-16      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                               | CUSIP: 74456QCP9<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96844.67     | 0.01%             | 2053-08-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                                         | Cheniere Corpus Christi Holdings LLC                                             | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |      606000 | PA      | $478560.31    | 0.04%             | 2039-12-31      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| EBAY INC                                                                         | eBay Inc                                                                         | CUSIP: 278642AW3<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |      190000 | PA      | $173763.16    | 0.01%             | 2030-03-11      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      556945 | PA      | $483940.79    | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ECOLAB INC                                                                       | Ecolab Inc                                                                       | CUSIP: 278865BM1<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |       90000 | PA      | $76752.67     | 0.01%             | 2032-02-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst                                 | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE9              | CUSIP: 04541GNA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      156996 | PA      | $143806.27    | 0.01%             | 2034-12-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                                          | Public Service Co of Colorado                                                    | CUSIP: 744448CV1<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |       75000 | PA      | $63652.67     | 0.01%             | 2031-06-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                   | CUSIP: 548661EN3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37721.72     | 0.00%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD HUF                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-2145.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOBLE FINANCE II LLC                                                             | Noble Finance II LLC                                                             | CUSIP: 65505PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      143000 | PA      | $136245.72    | 0.01%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4000000 | PA      | $3856875.00   | 0.31%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV Ltd                                               | Octagon Investment Partners XV Ltd                                               | CUSIP: 67590EBG8<br>LEI: 549300VYCI9AZ4NZBX86 | Long             | ABS-CBDO         | CORP              | KY        |       31478 | PA      | $31458.02     | 0.00%             | 2030-07-19      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      125000 | PA      | $126347.51    | 0.01%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                            | Entergy Louisiana LLC                                                            | CUSIP: 29364WBB3<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |      250000 | PA      | $196794.05    | 0.02%             | 2048-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1478282 | PA      | $1206448.89   | 0.10%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DQR65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      922204 | PA      | $771737.98    | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DN5C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      816122 | PA      | $765309.26    | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                              | Elevance Health Inc                                                              | CUSIP: 036752AD5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      125000 | PA      | $101449.30    | 0.01%             | 2047-12-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| State of Connecticut                                                             | CONNECTICUT ST                                                                   | CUSIP: 20772GF45<br>LEI: 5493007GRO6CU0IKP741 | Long             | DBT              | MUN               | US        |       50000 | PA      | $53692.78     | 0.00%             | 2032-03-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | ZA        |           1 | NC      | $-2648.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                    | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |       65000 | PA      | $64340.90     | 0.01%             | 2033-02-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3843000 | PA      | $3987112.50   | 0.32%             | 2035-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Bank                                                                             | BANK 2019-BNK20                                                                  | CUSIP: 06540AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $230874.90    | 0.02%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132E0VP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      119816 | PA      | $122700.48    | 0.01%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                                         | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                       | CUSIP: 46590XAZ9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |       50000 | PA      | $50530.65     | 0.00%             | 2028-02-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| INDIANA MICHIGAN POWER                                                           | Indiana Michigan Power Co                                                        | CUSIP: 454889AV8<br>LEI: JHR9V15J0ZRG02MIRD06 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19256.80     | 0.00%             | 2053-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18441.87     | 0.00%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| UNITED PARCEL SERVICE                                                            | United Parcel Service Inc                                                        | CUSIP: 911312BW5<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |       25000 | PA      | $23352.54     | 0.00%             | 2050-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| OKLAHOMA G&E CO                                                                  | Oklahoma Gas and Electric Co                                                     | CUSIP: 678858BX8<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |       75000 | PA      | $76519.51     | 0.01%             | 2033-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                                                         | Berkshire Hathaway Energy Co                                                     | CUSIP: 084659AR2<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |      125000 | PA      | $100802.73    | 0.01%             | 2049-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                           | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              |  | US        |      314000 | PA      | $296208.76    | 0.02%             | 2030-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                           | Sequoia Mortgage Trust 2017-CH2                                                  | CUSIP: 81746JCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      131174 | PA      | $128977.20    | 0.01%             | 2047-12-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT Corp                                                                         | CUSIP: 26884LAY5<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      174000 | PA      | $178041.96    | 0.01%             | 2029-04-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                          | Duke Energy Florida LLC                                                          | CUSIP: 26444HAL5<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      299000 | PA      | $187434.18    | 0.02%             | 2051-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                                          | Arthur J Gallagher & Co                                                          | CUSIP: 04316JAJ8<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |      250000 | PA      | $240899.51    | 0.02%             | 2054-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                                             | Colombian TES                                                                    | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   532400000 | PA      | $109300.52    | 0.01%             | 2030-09-18      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      175117 | PA      | $149264.29    | 0.01%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QTJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      343344 | PA      | $353893.10    | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds                                | Republic of Poland Government International Bonds                                | CUSIP: 731011AW2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |        7000 | PA      | $6562.99      | 0.00%             | 2053-04-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.512500 31-MAR-2035 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      479300 | OU      | $-4675.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ZEGONA FINANCE PLC                                                               | Zegona Finance PLC                                                               | CUSIP: 98927UAA5<br>LEI: 254900B3KC1SS7T2TE92 | Long             | DBT              | CORP              | GB        |      125000 | PA      | $132927.50    | 0.01%             | 2029-07-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: TWD 1.605000 17-SEP-2030 TAI                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    17000000 | OU      | $-1315.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-2794.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                                       | Nasdaq Inc                                                                       | CUSIP: 63111XAH4<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |       18000 | PA      | $18501.33     | 0.00%             | 2028-06-28      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                   | CUSIP: 927804GU2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |       80000 | PA      | $76675.08     | 0.01%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD HUF                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-1118.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $-28.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust | CUSIP: 939355AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84170 | PA      | $70542.03     | 0.01%             | 2047-04-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                                            | Silver Point Clo 4 Ltd                                                           | CUSIP: 82809EAA8<br>LEI: 254900DVAEEJOXQ8PL85 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250361.88    | 0.02%             | 2037-04-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| POTOMAC ELECTRIC POWER                                                           | Potomac Electric Power Co                                                        | CUSIP: 737679DH0<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |      140000 | PA      | $141303.77    | 0.01%             | 2034-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                                 | SMB Private Education Loan Trust 2024-A                                          | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      266816 | PA      | $267647.78    | 0.02%             | 2056-03-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.167910 17-JUN-2036 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1940000 | OU      | $-25857.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERISIGN INC                                                                     | VeriSign Inc                                                                     | CUSIP: 92343EAQ5<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |      240000 | PA      | $241962.58    | 0.02%             | 2032-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM PARTNER                                                         | ONEOK Inc                                                                        | CUSIP: 29336UAF4<br>LEI: 88CPW63VL7KHJWS0NY83 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49964.99     | 0.00%             | 2026-07-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DM8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      300000 | PA      | $311131.91    | 0.03%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                      | PepsiCo Inc                                                                      | CUSIP: 713448EV6<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      375000 | PA      | $279345.54    | 0.02%             | 2060-03-19      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | USD/CHF One-touch barrier option; Barrier price USD 0.85000                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |        6000 | OU      | $1066.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.835000 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      788000 | OU      | $-1819.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED HUF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | HU        |           1 | NC      | $186.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | ZA        |           1 | NC      | $-390.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | SWAP/CDSWAP/SCDS: (MEX)                                                          | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |       30000 | OU      | $515.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-19054.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      115000 | PA      | $73544.98     | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                                   | Mariner Finance issuance Trust 2024-B                                            | CUSIP: 56847GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      304000 | PA      | $307119.16    | 0.02%             | 2038-11-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | Province of Quebec Canada                                                        | CUSIP: 748149AR2<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |       10000 | PA      | $8858.35      | 0.00%             | 2031-04-21      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED PHP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PH        |           1 | NC      | $1957.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                   | CUSIP: 78409VBH6<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      200000 | PA      | $194310.71    | 0.02%             | 2027-03-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: TWD 1.863000 17-SEP-2030 TAI                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    19000000 | OU      | $-9260.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MX        |           1 | NC      | $1760.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | CA        |           1 | NC      | $564.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kinder Morgan Inc                                                                | Kinder Morgan Inc                                                                | CUSIP: 49456B101<br>LEI: 549300WR7IX8XE0TBO16 | Long             | EC               | CORP              | US        |        1792 | NS      | $47129.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| PFS Financing Corp.                                                              | PFS Financing Corp                                                               | CUSIP: 69335PEQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      241000 | PA      | $240845.37    | 0.02%             | 2027-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XCQ6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      137000 | PA      | $125476.78    | 0.01%             | 2053-02-06      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1024000 | PA      | $989839.99    | 0.08%             | 2040-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                  | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96819.62     | 0.01%             | 2051-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $8156.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                                             | Lockheed Martin Corp                                                             | CUSIP: 539830BB4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      150000 | PA      | $124167.40    | 0.01%             | 2042-12-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1041020 | PA      | $868745.11    | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                              | Mastr Asset Backed Securities Trust 2007-NCW                                     | CUSIP: 576456AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171594 | PA      | $151285.52    | 0.01%             | 2037-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 5YR NOTE (CBT) JUN25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -76 | NC      | $-41113.95    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                           | Marvell Technology Inc                                                           | CUSIP: 573874AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       50000 | PA      | $51743.79     | 0.00%             | 2029-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                                                           | Republic of Poland Government Bond                                               | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      364000 | PA      | $96641.98     | 0.01%             | 2029-07-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                         | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBD4<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      125000 | PA      | $94220.43     | 0.01%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper Inc                                                             | Keurig Dr Pepper Inc                                                             | CUSIP: 26138EAS8<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |       35000 | PA      | $34805.94     | 0.00%             | 2025-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-4                                     | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      550000 | PA      | $564711.46    | 0.05%             | 2028-11-15      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2335000 | PA      | $2381700.00   | 0.19%             | 2042-01-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | 10Y RTR 4.045000 12-APR-2027                                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |      480200 | OU      | $26364.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EEB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      350298 | PA      | $332581.01    | 0.03%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                               | Vodafone Group PLC                                                               | CUSIP: 92857WAB6<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |      300000 | PA      | $323233.78    | 0.03%             | 2032-11-30      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                                           | American Honda Finance Corp                                                      | CUSIP: 02665WFE6<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |      180000 | PA      | $182644.50    | 0.01%             | 2029-03-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: AUD 3.707500 17-SEP-2030 AUD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      700000 | OU      | $2471.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                                           | Anglo American Capital PLC                                                       | CUSIP: 034863BC3<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $162312.00    | 0.01%             | 2052-03-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SELECT MEDICAL CORP                                                              | Select Medical Corp                                                              | CUSIP: 816196AV1<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |       49000 | PA      | $48654.73     | 0.00%             | 2032-12-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                                                     | Huntington Bank Auto Credit-Linked Notes Series 2024-1                           | CUSIP: 44644NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      247264 | PA      | $246653.36    | 0.02%             | 2032-05-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 0.222910 17-SEP-2030 SAR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      340000 | OU      | $2355.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                      | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       40000 | PA      | $36975.66     | 0.00%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| TICP CLO Ltd                                                                     | TICP CLO XI Ltd                                                                  | CUSIP: 87249QAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250240.30    | 0.02%             | 2037-04-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3142GQLA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       61357 | PA      | $63645.24     | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ASSOC BANC-CORP                                                                  | Associated Banc-Corp                                                             | CUSIP: 045487AD7<br>LEI: 549300N3CIN473IW5094 | Long             | DBT              | CORP              | US        |       24000 | PA      | $24130.05     | 0.00%             | 2030-08-29      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| ServiceNow Inc                                                                   | ServiceNow Inc                                                                   | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Long             | EC               | CORP              | US        |          48 | NS      | $45840.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Residential Accredit Loans, Inc.                                                 | RALI Series 2005-QA6 Trust                                                       | CUSIP: 76110H6C8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      921058 | PA      | $426855.64    | 0.03%             | 2035-05-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-2219.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-826.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: TWD 1.864500 17-SEP-2030 TAI                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    21000000 | OU      | $-10285.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | BR        |           1 | NC      | $1092.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust 2023-1                                                  | CUSIP: 03465WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      327190 | PA      | $323718.62    | 0.03%             | 2067-09-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 30 Ltd                                                               | Elmwood CLO 30 Ltd                                                               | CUSIP: 29001JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.02%             | 2037-07-17      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $301.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | S+P500 EMINI FUT JUN25                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          -5 | NC      | $-119263.67   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                         | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       25000 | PA      | $21407.01     | 0.00%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                 | Paramount Global                                                                 | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      254000 | PA      | $215314.57    | 0.02%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137000 | PA      | $137076.77    | 0.01%             | 2039-11-09      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                                 | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249890.28    | 0.02%             | 2037-07-23      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds                                           | Uruguay Government International Bonds                                           | CUSIP: 760942BE1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |        4240 | PA      | $4430.80      | 0.00%             | 2034-10-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.783000 16-MAY-2026 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    38526000 | OU      | $37672.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK Logisitics                                                                    | UK Logistics 2025-1 DAC                                                          | CUSIP: 000000000<br>LEI: 635400LLQ82YFJBFFU27 | Long             | ABS-MBS          | CORP              | GB        |      190000 | PA      | $252939.42    | 0.02%             | 2035-05-17      | Floating      | 8.46%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84528 | PA      | $83894.34     | 0.01%             | 2041-04-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                                   | Merck & Co Inc                                                                   | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |       50000 | PA      | $28724.65     | 0.00%             | 2061-12-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD CAPITAL FIN                                                           | Brookfield Capital Finance LLC                                                   | CUSIP: 11259NAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       15000 | PA      | $15566.85     | 0.00%             | 2033-06-14      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                                 | COLT 2022-5 Mortgage Loan Trust                                                  | CUSIP: 19688LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $92328.72     | 0.01%             | 2067-03-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                               | CUSIP: 74456QCS3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |       75000 | PA      | $74430.39     | 0.01%             | 2034-08-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                              | CUSIP: 74762EAJ1<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |       50000 | PA      | $34639.65     | 0.00%             | 2041-10-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XCM0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |       40000 | PA      | $40457.10     | 0.00%             | 2035-01-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA NA                                                               | AUD C USD P @0.637500 EO                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |      -98000 | OU      | $-950.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.900000 16-MAY-2026 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     6894000 | OU      | $14648.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAE7<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |       60000 | PA      | $61015.56     | 0.00%             | 2030-11-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F020455<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7894000 | PA      | $7169549.93   | 0.58%             | 2039-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                                         | Enterprise Products Operating LLC                                                | CUSIP: 29379VAQ6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      200000 | PA      | $215930.49    | 0.02%             | 2040-09-01      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                         | DK Trust 2024-SPBX                                                               | CUSIP: 23346LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      204000 | PA      | $203182.12    | 0.02%             | 2034-03-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | CommonSpirit Health                                                              | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |       50000 | PA      | $35892.33     | 0.00%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-1843.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                            | Mineral Resources Ltd                                                            | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |       11000 | PA      | $9992.44      | 0.00%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| DUKE ENERGY CAROLINAS                                                            | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CAZ7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      338000 | PA      | $224518.66    | 0.02%             | 2049-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| IDAHO POWER CO                                                                   | Idaho Power Co                                                                   | CUSIP: 45138LBJ1<br>LEI: TN0LL73P2C8X3W6KM391 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24573.54     | 0.00%             | 2054-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199812 | PA      | $150605.65    | 0.01%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     1035000 | PA      | $1030142.33   | 0.08%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ZA        |           1 | NC      | $-2878.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                                                           | Republic of Poland Government Bond                                               | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |      292000 | PA      | $78421.72     | 0.01%             | 2030-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                       | Zoetis Inc                                                                       | CUSIP: 98978VAV5<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |       65000 | PA      | $68081.57     | 0.01%             | 2032-11-16      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                                         | Burlington Northern Santa Fe LLC                                                 | CUSIP: 12189LAS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       45000 | PA      | $41272.62     | 0.00%             | 2044-04-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.889320 15-APR-2035 CPT                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      190000 | OU      | $-97.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-12704.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFRA Trust                                                                       | MFA 2024-RTL1 Trust                                                              | CUSIP: 59319NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100469.68    | 0.01%             | 2029-02-25      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| VOLCAN CIA MINERA SAA-CM                                                         | Volcan Cia Minera SAA                                                            | CUSIP: 92863UAC0<br>LEI: 549300XKJ91C4SZLG750 | Long             | DBT              | CORP              | PE        |        3000 | PA      | $2824.69      | 0.00%             | 2030-01-24      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                 | Georgia Power Co                                                                 | CUSIP: 373334KN0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |       37000 | PA      | $27176.26     | 0.00%             | 2050-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| Argentina Republic Government International Bonds                                | Argentina Republic Government International Bonds                                | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |        7200 | PA      | $4443.30      | 0.00%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Province of Quebec                                                               | Province of Quebec Canada                                                        | CUSIP: 748149AJ0<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |       10000 | PA      | $9855.13      | 0.00%             | 2026-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                                                         | Berkshire Hathaway Energy Co                                                     | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |       75000 | PA      | $79072.53     | 0.01%             | 2036-04-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                               | Expand Energy Corp                                                               | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      452000 | PA      | $449955.56    | 0.04%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                           | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      289000 | PA      | $256258.28    | 0.02%             | 2064-04-18      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| EMORY UNIVERSITY                                                                 | Emory University                                                                 | CUSIP: 29157TAD8<br>LEI: 95MD72NUUVZ3P8PQ6919 | Long             | DBT              | CORP              | US        |       35000 | PA      | $31197.68     | 0.00%             | 2030-09-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL                                                                 | Allied Universal Holdco LLC / Allied Universal Finance Corp                      | CUSIP: 019576AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       48000 | PA      | $48170.45     | 0.00%             | 2027-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                         | AT&T Inc                                                                         | CUSIP: 00206RDJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       56000 | PA      | $45673.11     | 0.00%             | 2048-03-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                          | CUSIP: 808513CJ2<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      180000 | PA      | $191066.19    | 0.02%             | 2029-11-17      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4257300 | PA      | $4357246.76   | 0.35%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                           | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAA3<br>LEI: N/A                  | Long             | DBT              |  | US        |      862000 | PA      | $853030.80    | 0.07%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED PHP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | PH        |           1 | NC      | $1349.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                                         | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      675000 | PA      | $665718.06    | 0.05%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DUA31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      325672 | PA      | $333866.17    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | CMS USISSO01 2Y-10 OPTION @0.801BP                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  -109800000 | NC      | $-48746.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | Lloyds Banking Group PLC                                                         | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $193815.30    | 0.02%             | 2027-05-11      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | USD C NOK P @10.80000 EO                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | KY        |      -24000 | OU      | $-29.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3142GRSS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1327364 | PA      | $1351031.22   | 0.11%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2551200 | PA      | $1596493.13   | 0.13%             | 2040-05-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | SE        |           1 | NC      | $11496.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA3                                          | CUSIP: 35564KKK4<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | USGSE             | US        |     2110000 | PA      | $2146270.90   | 0.17%             | 2041-09-25      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H060655<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -60000 | PA      | $-60682.03    | -0.00%            | 2054-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                   | CUSIP: 927804FP4<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      125000 | PA      | $108057.88    | 0.01%             | 2043-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      821000 | PA      | $699760.29    | 0.06%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| GARRETT MOTION HLD/SARL                                                          | Garrett Motion Holdings Inc / Garrett LX I Sarl                                  | CUSIP: 366504AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      622000 | PA      | $620747.73    | 0.05%             | 2032-05-31      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397D42<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $205909.96    | 0.02%             | 2030-06-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIAL                                                         | Martin Marietta Materials Inc                                                    | CUSIP: 573284BA3<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |      355000 | PA      | $353069.07    | 0.03%             | 2034-12-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| WEEKLEY HOMES LLC/ FINAN                                                         | Weekley Homes LLC / Weekley Finance Corp                                         | CUSIP: 948565AD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       49000 | PA      | $45829.60     | 0.00%             | 2028-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CA        |           1 | NC      | $787.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                          | CUSIP: 15189XBE7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50244.40     | 0.00%             | 2034-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | SWP: OIS 14.870000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |     2000000 | OU      | $-18586.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NZ        |           1 | NC      | $15426.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140HJJS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12379 | PA      | $11660.99     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1566000 | PA      | $1619755.55   | 0.13%             | 2030-04-18      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                                                     | AGL CLO 32 Ltd                                                                   | CUSIP: 00121BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.02%             | 2037-07-21      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |           1 | NC      | $489.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                                     | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1065348 | PA      | $1073047.65   | 0.09%             | 2065-01-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                             | Las Vegas Sands Corp                                                             | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |       75000 | PA      | $75834.69     | 0.01%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-11.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                               | CUSIP: 30303M8K1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      490000 | PA      | $409509.40    | 0.03%             | 2062-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | NZ        |           1 | NC      | $1706.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                                         | First Quantum Minerals Ltd                                                       | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |      200000 | PA      | $198250.00    | 0.02%             | 2033-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XLFA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      532834 | PA      | $487945.73    | 0.04%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18463 | PA      | $14720.36     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-7228.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                               | Chase Mortgage Finance Trust Series 2006-S2                                      | CUSIP: 16163BAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      399594 | PA      | $147947.73    | 0.01%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                                | CUSIP: 049560BA2<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |       30000 | PA      | $31868.85     | 0.00%             | 2053-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                                      | OCP Clo 2019-17 Ltd                                                              | CUSIP: 67113LAW6<br>LEI: 2549003HLFPQ7ATPYA23 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249625.00    | 0.02%             | 2037-07-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                                         | National Rural Utilities Cooperative Finance Corp                                | CUSIP: 63743HFJ6<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |       70000 | PA      | $71604.00     | 0.01%             | 2028-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP                                                                     | CubeSmart LP                                                                     | CUSIP: 22966RAH9<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              |  | US        |       75000 | PA      | $68911.89     | 0.01%             | 2028-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                     | Comcast Corp                                                                     | CUSIP: 20030NEC1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      105000 | PA      | $103145.11    | 0.01%             | 2033-02-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DQQ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       40128 | PA      | $41137.20     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-5012.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS/LOYALTY                                                          | JetBlue Airways Corp / JetBlue Loyalty LP                                        | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      259000 | PA      | $238572.20    | 0.02%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: —       |
| HERTZ CORP/THE                                                                   | Hertz Corp/The                                                                   | CUSIP: 428040DC0<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48631.51     | 0.00%             | 2029-07-15      | Fixed         | 12.63%                | No            |                  2 | On Loan: —       |
| REALTY INCOME CORP                                                               | Realty Income Corp                                                               | CUSIP: 756109BH6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |      100000 | PA      | $97552.48     | 0.01%             | 2028-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-1752.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2007-4                                           | CUSIP: 12544RBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      271861 | PA      | $117787.68    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1014458 | PA      | $1013981.86   | 0.08%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                                | CBRE Services Inc                                                                | CUSIP: 12505BAG5<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |      290000 | PA      | $299561.91    | 0.02%             | 2034-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PATTERSON-UTI ENERGY INC                                                         | Patterson-UTI Energy Inc                                                         | CUSIP: 703481AC5<br>LEI: 254900XGFBKIXD6G0697 | Long             | DBT              | CORP              | US        |       35000 | PA      | $33834.58     | 0.00%             | 2029-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                         | BHP Billiton Finance USA Ltd                                                     | CUSIP: 055451BD9<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |      250000 | PA      | $258006.94    | 0.02%             | 2030-09-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1134258 | PA      | $925541.16    | 0.08%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       75000 | PA      | $59456.39     | 0.00%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      510000 | PA      | $548474.87    | 0.04%             | 2034-10-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $209883.47    | 0.02%             | 2044-03-09      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | Petroleos Mexicanos                                                              | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      100000 | PA      | $112152.20    | 0.01%             | 2025-11-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                   | Mastercard Inc                                                                   | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |      100000 | PA      | $78074.06     | 0.01%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.541250 18-JUN-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     9630000 | OU      | $218712.10    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                       | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      214000 | PA      | $150677.57    | 0.01%             | 2066-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS CO                                                               | Ameren Illinois Co                                                               | CUSIP: 02361DAZ3<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |       20000 | PA      | $20457.23     | 0.00%             | 2052-12-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $393.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DTFF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      202734 | PA      | $212097.32    | 0.02%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | TH        |           1 | NC      | $60.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-106.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      182000 | PA      | $178805.08    | 0.01%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | Apple Inc                                                                        | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      180000 | PA      | $142479.12    | 0.01%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | AUD P USD C @0.600000 EO                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |      -76000 | OU      | $-76.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QRXY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32275 | PA      | $33087.40     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                          | Piedmont Natural Gas Co Inc                                                      | CUSIP: 720186AN5<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |       52000 | PA      | $45913.78     | 0.00%             | 2031-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                                       | CUSIP: 337738BG2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102617.01    | 0.01%             | 2028-08-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: HUF 6.550000 19-MAR-2030 BUB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5438500 | OU      | $425.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | GB        |           1 | NC      | $9575.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CA        |           1 | NC      | $7071.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                                              | CDW LLC / CDW Finance Corp                                                       | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      670000 | PA      | $624075.19    | 0.05%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | 1Y RTR 2.940000 16-MAY-2025                                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -10410000 | OU      | $-82.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Baxter International Inc                                                         | Baxter International Inc                                                         | CUSIP: 071813BQ1<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48758.10     | 0.00%             | 2026-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN TITAN FIN LTD                                                         | Transocean Titan Financing Ltd                                                   | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       40714 | PA      | $40333.69     | 0.00%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Flowco Holdings Inc                                                              | Flowco Holdings Inc                                                              | CUSIP: 342909108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        5616 | NS      | $108501.12    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MERCK & CO INC                                                                   | Merck & Co Inc                                                                   | CUSIP: 58933YBD6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      220000 | PA      | $204562.91    | 0.02%             | 2028-12-10      | Fixed         | 1.90%                 | No            |                  2 | On Loan: —       |
| EXPAND ENERGY CORP                                                               | Expand Energy Corp                                                               | CUSIP: 165167DG9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |       99000 | PA      | $98624.32     | 0.01%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                         | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      589000 | PA      | $394233.49    | 0.03%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Snowflake Inc                                                                    | Snowflake Inc                                                                    | CUSIP: 833445109<br>LEI: 254900CJNSY1K7T53Z16 | Long             | EC               | CORP              | US        |         251 | NS      | $40031.99     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DTAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      169785 | PA      | $170994.50    | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 5.683000 17-SEP-2030 INR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   153000000 | OU      | $5777.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                               | Meta Platforms Inc                                                               | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |          62 | NS      | $34038.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       50000 | PA      | $46328.71     | 0.00%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                                          | Honeywell International Inc                                                      | CUSIP: 438516CQ7<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25532.05     | 0.00%             | 2029-09-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                                                | Johnson & Johnson                                                                | CUSIP: 478160AN4<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |       50000 | PA      | $54970.80     | 0.00%             | 2037-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                                             | FirstKey Homes 2022-SFR1 Trust                                                   | CUSIP: 33768NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      590000 | PA      | $581631.20    | 0.05%             | 2039-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                                       | BFLD Commercial Mortgage Trust 2024-UNIV                                         | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       47000 | PA      | $46574.00     | 0.00%             | 2041-11-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                       | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      290000 | PA      | $286388.49    | 0.02%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG                                                   | WELLS FARGO COMMERCIAL MORTGAG                                                   | CUSIP: 95004AAC7<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |     1390000 | PA      | $12879.60     | 0.00%             | 2043-07-15      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                        | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |       65000 | PA      | $61814.40     | 0.01%             | 2063-03-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 29273VBD1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      235000 | PA      | $237287.24    | 0.02%             | 2030-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: PLN 3.926000 17-SEP-2030 WIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3000000 | OU      | $2830.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                                     | Atrium Hotel Portfolio Trust 2024-ATRM                                           | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32000 | PA      | $32139.10     | 0.00%             | 2029-11-10      | Variable      | 9.52%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                              | Otis Worldwide Corp                                                              | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |       60000 | PA      | $54806.63     | 0.00%             | 2030-02-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                        | CUSIP: 031162DC1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |       38000 | PA      | $23708.05     | 0.00%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO, LTD                                           | Goldentree Loan Management US Clo 11 Ltd                                         | CUSIP: 38138KAL4<br>LEI: 549300TMEEKUOKVHYV65 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248291.20    | 0.02%             | 2034-10-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                                                | L3Harris Technologies Inc                                                        | CUSIP: 413875AW5<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       65000 | PA      | $64901.27     | 0.01%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                                           | GreenSky Home Improvement Issuer Trust 2024-2                                    | CUSIP: 39571XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100155.49    | 0.01%             | 2059-10-27      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-13534.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5258200 | PA      | $3980827.10   | 0.32%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      428000 | PA      | $416319.81    | 0.03%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1596000 | PA      | $1472185.32   | 0.12%             | 2028-08-31      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| ODEON FINCO PLC                                                                  | Odeon Finco PLC                                                                  | CUSIP: 67585LAA3<br>LEI: 9845003ECF9901CC5382 | Long             | DBT              | CORP              | GB        |      125000 | PA      | $127014.50    | 0.01%             | 2027-11-01      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| LoanCore Issuer, Ltd.                                                            | LoanCore 2025 2025-CRE8 Issuer LLC                                               | CUSIP: 53947FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      427000 | PA      | $422098.13    | 0.03%             | 2042-08-17      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      812324 | PA      | $709658.03    | 0.06%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | TW        |           1 | NC      | $989.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                         | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      258000 | PA      | $258719.05    | 0.02%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| BAXTER INTERNATIONAL INC                                                         | Baxter International Inc                                                         | CUSIP: 071813CS6<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |       50000 | PA      | $42729.66     | 0.00%             | 2032-02-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |       80000 | PA      | $77336.82     | 0.01%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      400000 | PA      | $398126.53    | 0.03%             | 2026-06-19      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.699350 18-JUN-2035 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1266920 | OU      | $-33926.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                       | Humana Inc                                                                       | CUSIP: 444859BQ4<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       35000 | PA      | $33109.44     | 0.00%             | 2027-02-03      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H042653<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -33000 | PA      | $-31584.57    | -0.00%            | 2055-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SEADRILL FINANCE LTD                                                             | Seadrill Finance Ltd                                                             | CUSIP: 81172QAA2<br>LEI: 213800WMN3OHFUDHD642 | Long             | DBT              | CORP              | BM        |      125000 | PA      | $117055.74    | 0.01%             | 2030-08-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.293000 17-SEP-2030 SOR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1312500 | OU      | $19572.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                       | Bear Stearns Asset Backed Securities I Trust 2006-HE7                            | CUSIP: 07388HAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       71805 | PA      | $69557.82     | 0.01%             | 2036-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2006-14                                    | CUSIP: 23243LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       20534 | PA      | $17632.85     | 0.00%             | 2037-02-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                          | CUSIP: 808513BT1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |       74000 | PA      | $62155.40     | 0.01%             | 2031-12-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                  | Xcel Energy Inc                                                                  | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |       55000 | PA      | $52976.03     | 0.00%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | AU        |           1 | NC      | $2807.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLEGHANY CORP                                                                   | Alleghany Corp                                                                   | CUSIP: 017175AE0<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24209.14     | 0.00%             | 2030-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $1871.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ConocoPhillips                                                                   | ConocoPhillips                                                                   | CUSIP: 20825CAP9<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51771.22     | 0.00%             | 2038-05-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748BJ0<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |      490000 | PA      | $437814.74    | 0.04%             | 2049-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030454<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1661000 | PA      | $1576846.35   | 0.13%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | USD P CLP C @930.00 EO                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |      -74000 | OU      | $-583.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      500000 | PA      | $507578.75    | 0.04%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | 5Y RTR 3.300000 28-JUL-2025                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |     -166000 | OU      | $-1716.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust 2024-1                                    | CUSIP: 92261CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       94532 | PA      | $95230.83     | 0.01%             | 2054-01-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | 10Y RTP 4.225000 25-JAN-2027                                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |      336490 | OU      | $9222.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                            | Norfolk Southern Corp                                                            | CUSIP: 655844CL0<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |       50000 | PA      | $30883.51     | 0.00%             | 2051-08-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-183.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                               | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24626.89     | 0.00%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                                       | BFLD Commercial Mortgage Trust 2024-UNIV                                         | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70000 | PA      | $69978.13     | 0.01%             | 2041-11-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 7.895000 11-SEP-2030 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    24000000 | OU      | $10611.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                                                 | TRESTLES CLO 2017-1 Ltd                                                          | CUSIP: 89531FAY3<br>LEI: 254900QSBDX181YYBH38 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249875.03    | 0.02%             | 2037-07-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | SWP: OIS 8.730000 14-JAN-2030 IBR                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |   125578658 | OU      | $-503.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lyra MUSIC Assets (Delaware) LP                                                  | Lyra Music Assets Delaware LP                                                    | CUSIP: 552339AA1<br>LEI: 9845007N9EAB0C048A12 | Long             | ABS-O            | CORP              | US        |      149785 | PA      | $147457.82    | 0.01%             | 2064-12-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| COGENT COMMS GRP / FIN                                                           | Cogent Communications Group Inc / Cogent Communications Finance Inc              | CUSIP: 19240WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       70000 | PA      | $70221.34     | 0.01%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-2674.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                                                              | Sherwin-Williams Co/The                                                          | CUSIP: 824348BJ4<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |       35000 | PA      | $32750.66     | 0.00%             | 2029-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| WW GRAINGER INC                                                                  | WW Grainger Inc                                                                  | CUSIP: 384802AF1<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |      505000 | PA      | $489865.04    | 0.04%             | 2034-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                                                                       | Hasbro Inc                                                                       | CUSIP: 418056AZ0<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |       50000 | PA      | $47545.80     | 0.00%             | 2029-11-19      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.570000 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  2439000000 | OU      | $-27574.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1071518 | PA      | $896593.55    | 0.07%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133KN7C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      407348 | PA      | $370756.33    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | USD P PLN C @3.600000 EO                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |      -73000 | OU      | $-66.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | ZA        |           1 | NC      | $2386.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                              | CUSIP: 302635AK3<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |      220000 | PA      | $198595.28    | 0.02%             | 2028-10-12      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                                         | International Business Machines Corp                                             | CUSIP: 459200BB6<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |       40000 | PA      | $42717.73     | 0.00%             | 2032-11-29      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                   | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24468.91     | 0.00%             | 2028-07-22      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |           1 | NC      | $-117.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                                             | Diameter Capital Clo 1 Ltd                                                       | CUSIP: 25255DAL4<br>LEI: 25490018I1ROE4V49X69 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250009.25    | 0.02%             | 2037-10-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                       | Progress Residential 2022-SFR3 Trust                                             | CUSIP: 74331UAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      136000 | PA      | $135930.00    | 0.01%             | 2039-04-17      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL                                                           | American International Group Inc                                                 | CUSIP: 026874DS3<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39959.96     | 0.00%             | 2033-03-27      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| TTAN                                                                             | TTAN 2021-MHC                                                                    | CUSIP: 87303TAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69214 | PA      | $68694.90     | 0.01%             | 2038-03-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                                                  | Golub Capital Partners CLO 41B-R Ltd                                             | CUSIP: 38178AAA1<br>LEI: 2549005QZPXI5WPU4V74 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250054.45    | 0.02%             | 2034-01-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| City of New York NY                                                              | NEW YORK NY                                                                      | CUSIP: 64966JAR7<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |       75000 | PA      | $81016.94     | 0.01%             | 2037-12-01      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7023600 | PA      | $7307561.97   | 0.59%             | 2028-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | Simon Property Group LP                                                          | CUSIP: 828807DV6<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              |  | US        |      280000 | PA      | $274366.08    | 0.02%             | 2053-03-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.341000 17-SEP-2030 SOR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1500000 | OU      | $24992.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F020455<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -100000 | PA      | $-90822.78    | -0.01%            | 2039-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      199347 | PA      | $169918.44    | 0.01%             | 2053-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                       | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      535000 | PA      | $537747.02    | 0.04%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                          | Shell International Finance BV                                                   | CUSIP: 822582AD4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      175000 | PA      | $192100.85    | 0.02%             | 2038-12-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2023-X1                                        | CUSIP: 00834KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      235000 | PA      | $236368.99    | 0.02%             | 2028-11-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                      | Prologis LP                                                                      | CUSIP: 74340XBT7<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |       40000 | PA      | $39321.16     | 0.00%             | 2033-01-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                     | Alphabet Inc                                                                     | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       60000 | PA      | $40157.73     | 0.00%             | 2040-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45413 | PA      | $46555.18     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EXCELERATE ENERGY LP                                                             | Excelerate Energy LP                                                             | CUSIP: 30069UAA6<br>LEI: LGL4IE90TNTFYJ55BK06 | Long             | DBT              | CORP              | US        |       49000 | PA      | $49775.53     | 0.00%             | 2030-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBH7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      150000 | PA      | $142927.29    | 0.01%             | 2029-09-06      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                               | CUSIP: 437076CT7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       40000 | PA      | $36026.21     | 0.00%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133B9MG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      276927 | PA      | $250985.24    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                           | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      341918 | PA      | $237192.18    | 0.02%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2038000 | PA      | $1899320.46   | 0.15%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                       | Bear Stearns Asset Backed Securities I Trust 2006-AC2                            | CUSIP: 07387UGB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       45692 | PA      | $11859.36     | 0.00%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                               | CUSIP: 437076DG4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       26000 | PA      | $24678.67     | 0.00%             | 2064-06-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                                | CBRE Services Inc                                                                | CUSIP: 12505BAE0<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |       50000 | PA      | $43729.77     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                           | Brookfield Finance Inc                                                           | CUSIP: 11271LAM4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |      400000 | PA      | $404019.72    | 0.03%             | 2035-01-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA INSTITUTE OF                                                          | California Institute of Technology                                               | CUSIP: 13034VAB0<br>LEI: 549300CITPNHOTVPHC04 | Long             | DBT              | CORP              | US        |      100000 | PA      | $85554.62     | 0.01%             | 2045-08-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                                              | American International Group Inc                                                 | CUSIP: 026874DF1<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |      150000 | PA      | $132446.67    | 0.01%             | 2045-07-10      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-4048.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP Transmission Co LLC                                                          | CUSIP: 00115AAN9<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |       41000 | PA      | $24400.54     | 0.00%             | 2051-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Massachusetts                                                    | MASSACHUSETTS ST                                                                 | CUSIP: 57582RYY6<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |       50000 | PA      | $33974.34     | 0.00%             | 2049-09-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| CHENIERE ENERGY INC                                                              | Cheniere Energy Inc                                                              | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     1803000 | PA      | $1795721.76   | 0.15%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                                                    | Boeing Co/The                                                                    | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EC               | CORP              | US        |         249 | NS      | $45626.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF NY MELLON CORP                                                           | Bank of New York Mellon Corp/The                                                 | CUSIP: 06406RBX4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25301.24     | 0.00%             | 2028-07-21      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       98650 | PA      | $98518.49     | 0.01%             | 2062-04-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ID        |           1 | NC      | $-9141.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JM SMUCKER CO                                                                    | J M Smucker Co/The                                                               | CUSIP: 832696AR9<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19581.73     | 0.00%             | 2027-12-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| EGYPT GOVERNMENT BOND                                                            | Egypt Government Bond                                                            | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      491000 | PA      | $9866.27      | 0.00%             | 2027-10-01      | Fixed         | 24.46%                | No            |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       21000 | PA      | $25267.92     | 0.00%             | 2029-09-27      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |           1 | NC      | $1200.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                         | Toyota Motor Credit Corp                                                         | CUSIP: 89236TNB7<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |      650000 | PA      | $665849.34    | 0.05%             | 2035-01-09      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2006-17                                          | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5422 | PA      | $2386.39      | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $1199.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Autodesk Inc                                                                     | Autodesk Inc                                                                     | CUSIP: 052769106<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | EC               | CORP              | US        |         149 | NS      | $40863.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET CORP                                                                | State Street Corp                                                                | CUSIP: 857477BT9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |       75000 | PA      | $65084.94     | 0.01%             | 2033-02-07      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA1                                          | CUSIP: 35564KQC6<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | USGSE             | US        |     1900000 | PA      | $1926125.00   | 0.16%             | 2042-01-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3618N5A66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23426 | PA      | $23992.13     | 0.00%             | 2054-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2021-2                                     | CUSIP: 96042RAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       58647 | PA      | $58316.99     | 0.00%             | 2026-12-15      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      333615 | PA      | $251453.40    | 0.02%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWAP/CDSWAP/SCDS: (TURKEY)                                                       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |       11628 | OU      | $1287.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust                                                              | Cali 2024-Sun                                                                    | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140000 | PA      | $140000.00    | 0.01%             | 2041-07-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                                       | Philippines Government International Bonds                                       | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      400000 | PA      | $279876.00    | 0.02%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.311360 17-SEP-2030 CAD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      730000 | OU      | $3000.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Regency Centers LP                                                               | Regency Centers LP                                                               | CUSIP: 75884RAV5<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              |  | US        |       20000 | PA      | $19765.42     | 0.00%             | 2027-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FUNDING ASIA                                                          | Prudential Funding Asia PLC                                                      | CUSIP: 744330AA9<br>LEI: 2549005TNASWKLR0XC37 | Long             | DBT              | CORP              | GB        |       50000 | PA      | $47000.00     | 0.00%             | 2030-04-14      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2022-5                                    | CUSIP: 80287HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      693735 | PA      | $693537.73    | 0.06%             | 2028-10-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FIVE POINT OP CO LP/FIVE                                                         | Five Point Operating Co LP / Five Point Capital Corp                             | CUSIP: 33834YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       46787 | PA      | $47564.38     | 0.00%             | 2028-01-15      | Variable      | 10.50%                | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED CLP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CL        |           1 | NC      | $-17.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |           1 | NC      | $2094.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280DX4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $208983.25    | 0.02%             | 2034-06-20      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-1444.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XMEK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      202440 | PA      | $210706.23    | 0.02%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GE Vernova Inc                                                                   | GE Vernova Inc                                                                   | CUSIP: 36828A101<br>LEI: 254900DP080RU6OK2553 | Long             | EC               | CORP              | US        |         151 | NS      | $55993.82     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                           | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      385000 | PA      | $323915.90    | 0.03%             | 2032-02-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: —       |
| BALTIMORE GAS & ELECTRIC                                                         | Baltimore Gas and Electric Co                                                    | CUSIP: 059165EJ5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |       49000 | PA      | $36468.92     | 0.00%             | 2047-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                           | Extra Space Storage LP                                                           | CUSIP: 30225VAU1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |      230000 | PA      | $225758.10    | 0.02%             | 2035-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                                                  | Golub Capital Partners CLO 66B Ltd                                               | CUSIP: 38179MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250149.33    | 0.02%             | 2036-04-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: EUR 2.513000 20-FEB-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      628000 | OU      | $-10544.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                                             | Kyndryl Holdings Inc                                                             | CUSIP: 50155QAJ9<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24113.30     | 0.00%             | 2026-10-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 17327CAY9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      102000 | PA      | $97468.18     | 0.01%             | 2056-03-04      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      979203 | PA      | $834647.78    | 0.07%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1216400 | PA      | $1255505.36   | 0.10%             | 2028-09-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |       65000 | PA      | $60765.50     | 0.00%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                   | CUSIP: 548661EM5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      115000 | PA      | $107705.66    | 0.01%             | 2053-04-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-3258.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2020-HQA5                                          | CUSIP: 35565TBD0<br>LEI: 5493000IT2BRJ2Q9YQ96 | Long             | ABS-MBS          | USGSE             | US        |     1350000 | PA      | $1483224.48   | 0.12%             | 2050-11-25      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                                                   | WaMu Asset-Backed Certificates WaMu Series 2007-HE2 Trust                        | CUSIP: 92926SAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      262853 | PA      | $93946.26     | 0.01%             | 2037-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                                | Nexstar Media Inc                                                                | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |       83000 | PA      | $78158.08     | 0.01%             | 2028-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      127000 | PA      | $128041.80    | 0.01%             | 2028-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED CZK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | CZ        |           1 | NC      | $2658.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $512.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                                      | FIGRE Trust 2024-SL1                                                             | CUSIP: 31684JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      129100 | PA      | $130124.70    | 0.01%             | 2053-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | USD P JPY C @140.0000 EO                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |     -256000 | OU      | $-1101.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STUDIO CITY CO LTD                                                               | Studio City Co Ltd                                                               | CUSIP: 000000000<br>LEI: 984500V5401EFT095A58 | Long             | DBT              | CORP              | VG        |      200000 | PA      | $199300.00    | 0.02%             | 2027-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 8.115000 17-SEP-2030 JIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    51000000 | OU      | $56866.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDIA GREEN POWER HOLD                                                           | India Green Power Holdings                                                       | CUSIP: 000000000<br>LEI: 254900I7N0GT4VVL6V29 | Long             | DBT              | CORP              | MU        |      216650 | PA      | $205817.50    | 0.02%             | 2027-02-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 8.470000 25-FEB-2026 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     5451000 | OU      | $1368.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | Edison International                                                             | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      206000 | PA      | $207307.41    | 0.02%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| DOMINION ENERGY INC                                                              | Dominion Energy Inc                                                              | CUSIP: 25746UDP1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |       50000 | PA      | $47139.80     | 0.00%             | 2032-08-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              |  | US        |      290000 | PA      | $283516.15    | 0.02%             | 2034-09-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                                                                | Trimaran CAVU 2024-1 Ltd                                                         | CUSIP: 895971AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.02%             | 2038-01-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.687500 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      785500 | OU      | $4050.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150033 | PA      | $120161.74    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                           | Arizona Public Service Co                                                        | CUSIP: 040555DG6<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |      170000 | PA      | $171897.86    | 0.01%             | 2033-08-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD CZK                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-22370.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                              | Petroleos Mexicanos                                                              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       10000 | PA      | $8264.00      | 0.00%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                                         | Petroleos de Venezuela SA                                                        | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |        9500 | PA      | $1197.00      | 0.00%             | 2035-05-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | IN        |           1 | NC      | $946.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                          | Dryden 50 Senior Loan Fund                                                       | CUSIP: 262431AD1<br>LEI: 5493008NBEE3C4AF3K95 | Long             | ABS-CBDO         | CORP              | KY        |      400000 | PA      | $399760.04    | 0.03%             | 2030-07-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                                                          | BDS 2024-FL13 LLC                                                                | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $99810.44     | 0.01%             | 2039-09-19      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-AR1 Trust | CUSIP: 93934FHC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      158375 | PA      | $135491.75    | 0.01%             | 2035-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY INC                                                                 | Viper Energy Inc                                                                 | CUSIP: 92763MAB1<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |      293000 | PA      | $304172.38    | 0.02%             | 2031-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                             | Pilgrim's Pride Corp                                                             | CUSIP: 72147KAL2<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |      200000 | PA      | $216738.60    | 0.02%             | 2034-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1504000 | PA      | $1460113.75   | 0.12%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | Edison International                                                             | CUSIP: 281020AT4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      168000 | PA      | $148620.41    | 0.01%             | 2026-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140KUCJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      795811 | PA      | $724269.30    | 0.06%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QRFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1013804 | PA      | $971399.28    | 0.08%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3142GRS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       89627 | PA      | $93425.19     | 0.01%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    47055000 | PA      | $46953418.61  | 3.81%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                                                      | Origen Manufactured Housing Contract Trust 2007-B                                | CUSIP: 68620KAA0<br>LEI: 5493005G5GFEQWMCSY59 | Long             | ABS-O            | CORP              | US        |       36838 | PA      | $36508.47     | 0.00%             | 2037-10-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2623300 | PA      | $1868896.32   | 0.15%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CRP                                                         | California Resources Corp                                                        | CUSIP: 13057QAK3<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |      238000 | PA      | $226910.60    | 0.02%             | 2029-06-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                              | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170000 | PA      | $169466.68    | 0.01%             | 2041-06-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2022-2                                     | CUSIP: 96042VAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      608868 | PA      | $608560.35    | 0.05%             | 2027-09-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-168.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: HKD 3.140000 17-SEP-2030 HKD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3000000 | OU      | $-4247.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XGZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140128 | PA      | $133322.74    | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       65000 | PA      | $63933.44     | 0.01%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18029.87     | 0.00%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                  | CUSIP: 842587EA1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      313000 | PA      | $303318.08    | 0.02%             | 2035-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-2133.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |           1 | NC      | $464.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                   | 10Y RTP 4.000000 29-MAR-2027                                                     | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              |  | US        |      514000 | OU      | $18615.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                      | CUSIP: 85571BAU9<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |      171000 | PA      | $166922.06    | 0.01%             | 2026-07-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| STONEX GROUP INC                                                                 | StoneX Group Inc                                                                 | CUSIP: 861896AA6<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |      186000 | PA      | $193631.97    | 0.02%             | 2031-03-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-PURE                                           | CUSIP: 74625PAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |       27000 | PA      | $19683.01     | 0.00%             | 2041-11-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.322000 17-SEP-2030 SOR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1000000 | OU      | $15969.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TW        |           1 | NC      | $324.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                                | Healthpeak OP LLC                                                                | CUSIP: 40414LAN9<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19988.45     | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                    | CUSIP: 571903BQ5<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      370000 | PA      | $364641.59    | 0.03%             | 2034-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                            | Mineral Resources Ltd                                                            | CUSIP: 603051AE3<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |       45000 | PA      | $42557.11     | 0.00%             | 2028-10-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-1362.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2022-LP2                                            | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90324 | PA      | $90182.67     | 0.01%             | 2039-02-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |           1 | NC      | $17099.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SE        |           1 | NC      | $7773.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -45000 | PA      | $-44138.17    | -0.00%            | 2054-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EIDP INC                                                                         | EIDP Inc                                                                         | CUSIP: 263534CQ0<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |       35000 | PA      | $35065.01     | 0.00%             | 2026-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ID        |           1 | NC      | $1901.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1977600 | PA      | $1445811.00   | 0.12%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      279814 | PA      | $247844.66    | 0.02%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | USD/CAD One-touch barrier option; Barrier price USD 1.48000                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |        4000 | OU      | $1.88         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       21200 | PA      | $20972.27     | 0.00%             | 2030-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      284000 | PA      | $281869.26    | 0.02%             | 2029-07-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1663340 | PA      | $1444217.17   | 0.12%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP / CAYMN FI                                                          | Broadcom Corp / Broadcom Cayman Finance Ltd                                      | CUSIP: 11134LAR0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | XX        |      150000 | PA      | $146780.96    | 0.01%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                         | Snap Inc                                                                         | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |      186000 | PA      | $185764.78    | 0.02%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                           | CUSIP: 620076BW8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      440000 | PA      | $455062.03    | 0.04%             | 2032-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                      | Equinix Inc                                                                      | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |      206000 | PA      | $180373.69    | 0.01%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-HQA1                                          | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | USGSE             | US        |     2225000 | PA      | $2357628.47   | 0.19%             | 2042-03-25      | Floating      | 9.60%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-740.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                                   | PECO Energy Co                                                                   | CUSIP: 693304BE6<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |       40000 | PA      | $32738.42     | 0.00%             | 2052-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | Carvana Co                                                                       | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |      118295 | PA      | $125255.99    | 0.01%             | 2030-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165242 | PA      | $165086.69    | 0.01%             | 2039-02-15      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                 | CUSIP: 06368LWT9<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      170000 | PA      | $170882.33    | 0.01%             | 2025-09-25      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133L8W43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      215652 | PA      | $198101.37    | 0.02%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                   | Mastercard Inc                                                                   | CUSIP: 57636QAP9<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |      640000 | PA      | $615399.30    | 0.05%             | 2030-03-26      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      347000 | PA      | $295878.26    | 0.02%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: —       |
| Nelnet Student Loan Trust                                                        | Nelnet Student Loan Trust 2023-PL1                                               | CUSIP: 64034UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       59873 | PA      | $60809.55     | 0.00%             | 2053-11-25      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-39824.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.454690 18-JUN-2028 CAD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    10020000 | OU      | $30962.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                   | SWP: OIS 10.975000 01-JUL-2025 BZD                                               | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              |  | US        |      575000 | OU      | $-1196.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |           1 | NC      | $981.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98867.63     | 0.01%             | 2028-02-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Wildwood Park CLO LTD                                                            | Wildwood Park CLO Ltd                                                            | CUSIP: 968209AA4<br>LEI: 254900BZ1VFIEIOEK304 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $249925.68    | 0.02%             | 2037-10-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      590000 | PA      | $450924.80    | 0.04%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032450<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |       -6000 | PA      | $-5780.09     | -0.00%            | 2039-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XFPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      226455 | PA      | $205718.20    | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                                                           | Brixmor Operating Partnership LP                                                 | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |       20000 | PA      | $19201.27     | 0.00%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |           1 | NC      | $2491.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LV Trust                                                                         | Fashion Show Mall LLC                                                            | CUSIP: 50245XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17000 | PA      | $17161.82     | 0.00%             | 2041-10-10      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: SEK 2.744000 17-SEP-2030 3M                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    11000000 | OU      | $22045.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-88.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      155000 | PA      | $154621.26    | 0.01%             | 2030-10-23      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                               | Morgan Stanley Mortgage Loan Trust 2006-12XS                                     | CUSIP: 61749EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27761 | PA      | $6089.73      | 0.00%             | 2036-10-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| IREN Ltd                                                                         | IREN Ltd                                                                         | CUSIP: 000000000<br>LEI: 254900FZF02RB3NNGB71 | Long             | EC               | CORP              | AU        |        3797 | NS      | $23199.67     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QTJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      354319 | PA      | $360823.09    | 0.03%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BALDWIN INSUR GRP/FIN                                                            | Baldwin Insurance Group Holdings LLC / Baldwin Insurance Group Holdings Finance  | CUSIP: 05825XAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       57000 | PA      | $57997.10     | 0.00%             | 2031-05-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TH        |           1 | NC      | $173.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418C5Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      246353 | PA      | $232129.00    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NO        |           1 | NC      | $2496.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CJC6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1559600 | PA      | $1579216.84   | 0.13%             | 2026-10-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Vulcan Materials Co                                                              | Vulcan Materials Co                                                              | CUSIP: 929160AV1<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |       75000 | PA      | $62346.11     | 0.01%             | 2047-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VBP4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       35000 | PA      | $29628.85     | 0.00%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20755RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1478445.00   | 0.12%             | 2044-09-25      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 0.997500 12-MAR-2027 FTO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   641920495 | OU      | $-13130.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                                 | SMB Private Education Loan Trust 2024-C                                          | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       88831 | PA      | $88180.56     | 0.01%             | 2052-06-17      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.216800 17-SEP-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4000000 | OU      | $17260.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.278120 18-JUN-2035 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2320000 | OU      | $85745.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                           | Roper Technologies Inc                                                           | CUSIP: 776743AM8<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49321.76     | 0.00%             | 2025-09-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-119851.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |       67000 | PA      | $57655.98     | 0.00%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $207.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                                                         | Public Service Enterprise Group Inc                                              | CUSIP: 744573AU0<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |      100000 | PA      | $86941.74     | 0.01%             | 2031-11-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.576000 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   655080000 | OU      | $7537.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac REMICS                                                               | CUSIP: 3137HKBM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3506594 | PA      | $3502019.19   | 0.28%             | 2055-03-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | BR        |           1 | NC      | $22317.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | Synchrony Financial                                                              | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      632000 | PA      | $630255.84    | 0.05%             | 2031-03-06      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 8.080000 07-MAR-2028 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     2943000 | OU      | $2075.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                            | Republic Services Inc                                                            | CUSIP: 760759AW0<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |      380000 | PA      | $252768.97    | 0.02%             | 2050-03-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                               | Alternative Loan Trust 2006-OA17                                                 | CUSIP: 12668PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      311138 | PA      | $268683.47    | 0.02%             | 2046-12-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                   | AUD/USD One-touch barrier option; Barrier price AUD 0.59000                      | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DFE              |  | US        |      -35000 | OU      | $-406.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT Corp                                                                         | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      421000 | PA      | $421131.15    | 0.03%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-2010.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                           | Marvell Technology Inc                                                           | CUSIP: 573874AQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      180000 | PA      | $186269.03    | 0.02%             | 2033-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DQGA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43993 | PA      | $44326.28     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Last Mile Logistics Pan Euro Finance DAC                                         | Last Mile Logistics Pan Euro Finance DAC                                         | CUSIP: 000000000<br>LEI: 635400NOPX1IKIAX7N90 | Long             | ABS-MBS          | CORP              | IE        |      458527 | PA      | $511940.10    | 0.04%             | 2033-08-17      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                                | Kinder Morgan Inc                                                                | CUSIP: 49456BBA8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      420000 | PA      | $397026.70    | 0.03%             | 2054-08-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                                                   | MSWF Commercial Mortgage Trust 2023-2                                            | CUSIP: 55361AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1112673 | PA      | $67055.67     | 0.01%             | 2056-12-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                                                         | KLA Corp                                                                         | CUSIP: 482480AM2<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |      150000 | PA      | $134582.98    | 0.01%             | 2052-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |           1 | NC      | $3467.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Voya Financial Inc                                                               | Voya Financial Inc                                                               | CUSIP: 929089AB6<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |      175000 | PA      | $173320.06    | 0.01%             | 2026-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Braccan Mortgage Funding                                                         | Braccan Mortgage Funding 2024-1 PLC                                              | CUSIP: 000000000<br>LEI: 635400RGKRFPCFMYJF13 | Long             | ABS-MBS          | CORP              | GB        |      136275 | PA      | $181380.94    | 0.01%             | 2067-02-15      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X2                                        | CUSIP: 00833QAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      525000 | PA      | $524840.82    | 0.04%             | 2029-12-17      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                          | Dryden 41 Senior Loan Fund                                                       | CUSIP: 26244KAN6<br>LEI: 5493000CMI5L15ZSNM78 | Long             | ABS-CBDO         | CORP              | KY        |       86862 | PA      | $86779.09     | 0.01%             | 2031-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: AUD 3.492500 18-JUN-2028 AUD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2510000 | OU      | $-14217.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                                    | MHC Commercial Mortgage Trust 2021-MHC                                           | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49357 | PA      | $49295.52     | 0.00%             | 2038-04-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      145000 | PA      | $120218.68    | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | XX        |           1 | NC      | $-1455.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US BANCORP                                                                       | US Bancorp                                                                       | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      115000 | PA      | $118961.02    | 0.01%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | EUR P USD C @1.020000 EO                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |     -170000 | OU      | $-38.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | 10Y RTP 3.660000 05-APR-2027                                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     1627000 | OU      | $79260.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-3203.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                               | CUSIP: 127097AL7<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      300000 | PA      | $295378.02    | 0.02%             | 2034-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                 | Paramount Global                                                                 | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      200000 | PA      | $194294.33    | 0.02%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                         | CSX Corp                                                                         | CUSIP: 126408HY2<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |       40000 | PA      | $35591.67     | 0.00%             | 2055-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| AMPHENOL CORP                                                                    | Amphenol Corp                                                                    | CUSIP: 032095AL5<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |      120000 | PA      | $104251.21    | 0.01%             | 2031-09-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $547.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                                             | Indonesia Treasury Bond                                                          | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   836000000 | PA      | $49894.02     | 0.00%             | 2035-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                   | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10073 | PA      | $9828.12      | 0.00%             | 2037-01-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-8445.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 2YR FUTR OPTN JUN25P 103.2                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -1 | NC      | $-31.25       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                                   | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      100000 | PA      | $66367.11     | 0.01%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $1842.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWP: OIS 10.315000 04-JAN-2027 BZD                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |        9038 | OU      | $-112.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XMXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      221287 | PA      | $225345.57    | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MOUNT NITTANY MED CTR                                                            | Mount Nittany Medical Center Obligated Group                                     | CUSIP: 62213LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       50000 | PA      | $36420.08     | 0.00%             | 2052-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |           1 | NC      | $2239.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XJLC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      439409 | PA      | $412047.76    | 0.03%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                            | American Airlines Inc                                                            | CUSIP: 023771T40<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |       72000 | PA      | $73381.96     | 0.01%             | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XDC6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1931000 | PA      | $1883741.46   | 0.15%             | 2065-08-03      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                       | CUSIP: 00287YDX4<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       85000 | PA      | $81680.83     | 0.01%             | 2064-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                                               | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   193800000 | PA      | $1259401.80   | 0.10%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING                                                           | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC      | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      200000 | PA      | $174081.63    | 0.01%             | 2029-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                 | CUSIP: 054989AC2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      411000 | PA      | $440765.71    | 0.04%             | 2043-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANC                                                                 | Credit Acceptance Corp                                                           | CUSIP: 225310AQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      109000 | PA      | $115192.18    | 0.01%             | 2028-12-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VBW9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      300000 | PA      | $265549.02    | 0.02%             | 2053-03-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QKC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3056896 | PA      | $2441740.47   | 0.20%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-14990.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                                 | SMB Private Education Loan Trust 2017-A                                          | CUSIP: 78448WAC9<br>LEI: 5493000RGRVHYZAIY180 | Long             | ABS-O            | CORP              | US        |       29590 | PA      | $29599.04     | 0.00%             | 2034-09-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                              | Affirm Master Trust                                                              | CUSIP: 00833BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1000000 | PA      | $1003703.00   | 0.08%             | 2033-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NGT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22021 | PA      | $22574.99     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-22336.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1960000 | PA      | $1951450.48   | 0.16%             | 2044-07-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | JP        |           1 | NC      | $4963.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                                 | CIFC Funding 2017-I Ltd                                                          | CUSIP: 17181PAC3<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $280309.60    | 0.02%             | 2037-04-21      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                                                       | U.K. Gilts                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     1291842 | PA      | $1504884.47   | 0.12%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2551200 | PA      | $1580149.50   | 0.13%             | 2040-08-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                          | Kinder Morgan Energy Partners LP                                                 | CUSIP: 494550AQ9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |      200000 | PA      | $218850.86    | 0.02%             | 2033-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | 10Y RTR 4.340000 13-JAN-2027                                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |      722645 | OU      | $49556.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                          | Kinder Morgan Energy Partners LP                                                 | CUSIP: 28370TAD1<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |       50000 | PA      | $56212.89     | 0.00%             | 2040-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                                                         | Berkshire Hathaway Energy Co                                                     | CUSIP: 084659BD2<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |       75000 | PA      | $63283.83     | 0.01%             | 2031-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                     | CSMC Series 2019-NQM1                                                            | CUSIP: 12655VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38061 | PA      | $37557.10     | 0.00%             | 2059-10-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.709090 18-JUN-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     8270000 | OU      | $145241.83    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                                         | FirstEnergy Transmission LLC                                                     | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      185000 | PA      | $176463.24    | 0.01%             | 2044-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Corp Trust 2024-RVR                                       | CUSIP: 36272JAL7<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |       37000 | PA      | $36888.58     | 0.00%             | 2041-08-10      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: EUR 2.543000 22-APR-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      496000 | OU      | $-12418.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.561830 17-SEP-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5000000 | OU      | $113419.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STL HOLDING CO LLC                                                               | STL Holding Co LLC                                                               | CUSIP: 861036AB7<br>LEI: 984500BC2I63E7F48656 | Long             | DBT              | CORP              | US        |       44000 | PA      | $44685.43     | 0.00%             | 2029-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                           | Mizuho Financial Group Inc                                                       | CUSIP: 60687YDB2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |      400000 | PA      | $412293.54    | 0.03%             | 2034-07-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Whirlpool Corp                                                                   | Whirlpool Corp                                                                   | CUSIP: 963320AW6<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |      155000 | PA      | $146916.17    | 0.01%             | 2029-02-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                                                           | Lumen Technologies Inc                                                           | CUSIP: 550241AK9<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |      208000 | PA      | $207480.00    | 0.02%             | 2032-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2197543 | PA      | $1748754.81   | 0.14%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-47.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US LONG BOND(CBT) JUN25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         174 | NC      | $13520.27     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 7.890000 17-SEP-2030 JIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6850000 | OU      | $4260.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                              | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     1260000 | PA      | $1140558.19   | 0.09%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                                       | CUSIP: 46124HAG1<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |      500000 | PA      | $514000.57    | 0.04%             | 2033-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-13864.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                           | General Motors Financial Co Inc                                                  | CUSIP: 37045XCY0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      150000 | PA      | $138004.92    | 0.01%             | 2030-06-21      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                                    | Sutter Health                                                                    | CUSIP: 86944BAL7<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |      100000 | PA      | $96649.36     | 0.01%             | 2053-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | Ventas Realty LP                                                                 | CUSIP: 92277GBA4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |      385000 | PA      | $371756.60    | 0.03%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1427200 | PA      | $1361136.25   | 0.11%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |           1 | NC      | $202610.84    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                                                | GEO Group Inc/The                                                                | CUSIP: 36162JAG1<br>LEI: 54930024XOXET7NQVZ63 | Long             | DBT              | CORP              | US        |      217000 | PA      | $228120.77    | 0.02%             | 2029-04-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KCP3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      150000 | PA      | $149188.37    | 0.01%             | 2033-02-28      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | 10Y RTP 4.045000 12-APR-2027                                                     | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |      480200 | OU      | $16957.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MFRA Trust                                                                       | MFA 2024-NPL1 Trust                                                              | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      103810 | PA      | $104023.83    | 0.01%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                                                   | Microsoft Corp                                                                   | CUSIP: 594918BU7<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      200000 | PA      | $158524.73    | 0.01%             | 2056-08-08      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED HUF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | HU        |           1 | NC      | $5346.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       75000 | PA      | $73158.24     | 0.01%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| STANLEY BLACK & DECKER I                                                         | Stanley Black & Decker Inc                                                       | CUSIP: 854502AH4<br>LEI: 549300DJ09SMTO561131 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98529.45     | 0.01%             | 2028-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Live Nation Entertainment Inc                                                    | Live Nation Entertainment Inc                                                    | CUSIP: 538034109<br>LEI: 5493007B9BM9ZXJINO78 | Long             | EC               | CORP              | US        |         301 | NS      | $39867.45     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1792779 | PA      | $1557499.57   | 0.13%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-834.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACRA Trust 2024-NQM1                                                             | ACRA Trust 2024-NQM1                                                             | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      178708 | PA      | $178932.04    | 0.01%             | 2064-10-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-2391.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100415.09    | 0.01%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                                                                 | NetCredit Combined Receivables 2024 LLC                                          | CUSIP: 64113EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $515154.50    | 0.04%             | 2030-10-21      | Fixed         | 8.31%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                                  | Residential Mortgage Loan Trust 2020-1                                           | CUSIP: 76119CAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      450000 | PA      | $428339.57    | 0.03%             | 2060-01-26      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                               | Union Pacific Corp                                                               | CUSIP: 907818FX1<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17884.82     | 0.00%             | 2032-02-14      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.729570 18-JUN-2027 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    18350000 | OU      | $-161161.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                                          | Frontier Communications Holdings LLC                                             | CUSIP: 35906ABG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      205000 | PA      | $205860.18    | 0.02%             | 2029-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                                | Union Electric Co                                                                | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |      110000 | PA      | $104586.80    | 0.01%             | 2053-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                           | CUSIP: 77586RAN0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |        2000 | PA      | $1985.50      | 0.00%             | 2027-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                   | Mastercard Inc                                                                   | CUSIP: 57636QBG8<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |      160000 | PA      | $163454.96    | 0.01%             | 2032-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.496680 18-JUN-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2363806 | OU      | $48048.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-97.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                                         | Cheniere Corpus Christi Holdings LLC                                             | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |      130000 | PA      | $124246.80    | 0.01%             | 2029-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                                         | Petroleos de Venezuela SA                                                        | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |       16600 | PA      | $2091.60      | 0.00%             | 2035-05-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                            | Truist Financial Corp                                                            | CUSIP: 89788MAA0<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      200000 | PA      | $198188.18    | 0.02%             | 2025-08-05      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | USD/CAD One-touch barrier option; Barrier price USD 1.33500                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | KY        |       10000 | OU      | $1702.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      230000 | PA      | $150452.06    | 0.01%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XJP56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28855 | PA      | $27188.76     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CA        |           1 | NC      | $432.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QN3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      540488 | PA      | $490599.03    | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FCG4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      566000 | PA      | $575091.07    | 0.05%             | 2032-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                                                                | JP Morgan Resecuritization Trust Series 2014-5                                   | CUSIP: 46642VAR9<br>LEI: 549300I70LJMOFGPXY37 | Long             | ABS-MBS          | CORP              | US        |     1368977 | PA      | $231928.32    | 0.02%             | 2036-05-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | EUR C NOK P @12.00000 EO                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |      -68000 | OU      | $-107.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | MX        |           1 | NC      | $-65.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED PHP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PH        |           1 | NC      | $806.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                                | Hyatt Hotels Corp                                                                | CUSIP: 448579AT9<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |      920000 | PA      | $914474.53    | 0.07%             | 2031-12-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AT&T REIGN II LB PTT                                                             | AT&T Reign II Multi-Property Lease-Backed Pass-Through Trust                     | CUSIP: 046912AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      415000 | PA      | $415846.35    | 0.03%             | 2044-12-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      456000 | PA      | $349008.10    | 0.03%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                                                 | CARLYLE US CLO 2017-3 Ltd                                                        | CUSIP: 14314FAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249500.00    | 0.02%             | 2037-10-21      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | USD P NOK C @10.50000 EO                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | KY        |      -24000 | OU      | $-372.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4601900 | PA      | $4604955.94   | 0.37%             | 2028-05-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWP: OIS 14.430000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     6000000 | OU      | $-36806.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | EUR P USD C @1.055000 EO                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |      113000 | OU      | $101.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.581000 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  4893000000 | OU      | $-57115.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Altria Group Inc                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     1080000 | PA      | $1047126.39   | 0.08%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| Altria Group Inc                                                                 | Altria Group Inc                                                                 | CUSIP: 02209SAQ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       23000 | PA      | $18575.55     | 0.00%             | 2043-05-02      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                              | CUSIP: 210518DU7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |       85000 | PA      | $83086.04     | 0.01%             | 2033-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      106921 | PA      | $103896.32    | 0.01%             | 2039-02-15      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      500000 | PA      | $509082.03    | 0.04%             | 2029-11-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                         | BHP Billiton Finance USA Ltd                                                     | CUSIP: 055451BE7<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |       50000 | PA      | $50563.54     | 0.00%             | 2033-09-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                     | Novelis Corp                                                                     | CUSIP: 670001AL0<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |       55000 | PA      | $55792.44     | 0.00%             | 2030-01-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      375196 | PA      | $374726.64    | 0.03%             | 2039-02-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Dowson                                                                           | Dowson 2024-1 PLC                                                                | CUSIP: 000000000<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |      162000 | PA      | $214579.68    | 0.02%             | 2031-08-20      | Floating      | 11.42%                | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1401300 | PA      | $1042928.47   | 0.08%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                                                 | Alabama Power Co                                                                 | CUSIP: 010392GB8<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |       80000 | PA      | $85016.26     | 0.01%             | 2033-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.658750 18-JUN-2028 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     8530000 | OU      | $-101478.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | AU        |           1 | NC      | $201.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-2                                     | CUSIP: 959926AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100345.95    | 0.01%             | 2028-03-15      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                                 | COLT 2022-8 Mortgage Loan Trust                                                  | CUSIP: 19688MAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      483000 | PA      | $480648.71    | 0.04%             | 2067-08-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      400000 | PA      | $351874.63    | 0.03%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20755AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      520400 | PA      | $563886.29    | 0.05%             | 2043-01-25      | Floating      | 9.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-1049.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VAP5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       40000 | PA      | $30970.74     | 0.00%             | 2058-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                                      | RCKT Mortgage Trust 2024-CES8                                                    | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       93373 | PA      | $93620.79     | 0.01%             | 2044-11-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                                                         | Regeneron Pharmaceuticals Inc                                                    | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |     1170000 | PA      | $1000287.37   | 0.08%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NZ        |           1 | NC      | $1389.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      686000 | PA      | $492874.92    | 0.04%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |           1 | NC      | $-165.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $172.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                               | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |       75000 | PA      | $72165.54     | 0.01%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $661.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                   | CUSIP: 927804GH1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99240.92     | 0.01%             | 2027-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                 | CUSIP: 22822VAY7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |       86000 | PA      | $74105.15     | 0.01%             | 2031-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                                                  | San Diego Gas & Electric Co                                                      | CUSIP: 797440BZ6<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |      100000 | PA      | $85770.09     | 0.01%             | 2030-10-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORNIA                                                         | University of Southern California                                                | CUSIP: 914886AH9<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9225.24      | 0.00%             | 2053-10-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QSAX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64250 | PA      | $64736.71     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.026120 17-SEP-2030 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      190000 | OU      | $4784.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9854.03      | 0.00%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2023-VLT3                                           | CUSIP: 05611GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $199759.20    | 0.02%             | 2028-11-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      201000 | PA      | $202800.76    | 0.02%             | 2029-09-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3142GQLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39507 | PA      | $40853.03     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                           | CUSIP: 620076BU2<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      650000 | PA      | $577332.51    | 0.05%             | 2031-05-24      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VBV1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      190000 | PA      | $183552.66    | 0.01%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      155000 | PA      | $160043.81    | 0.01%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.736060 18-JUN-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     4197506 | OU      | $79654.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      735000 | PA      | $717860.37    | 0.06%             | 2035-10-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      105000 | PA      | $112436.30    | 0.01%             | 2033-10-18      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | IN        |           1 | NC      | $3799.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                                 | CIFC Funding 2024-III Ltd                                                        | CUSIP: 12575WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250276.83    | 0.02%             | 2037-07-21      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400FP3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |       35000 | PA      | $32471.01     | 0.00%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                              | Synchrony Financial                                                              | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |       37000 | PA      | $36018.01     | 0.00%             | 2027-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                      | PRKCM 2023-AFC1 Trust                                                            | CUSIP: 693981AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       89595 | PA      | $89938.90     | 0.01%             | 2058-02-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                                               | JP Morgan Alternative Loan Trust 2006-A1                                         | CUSIP: 46627MCU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      712575 | PA      | $526428.78    | 0.04%             | 2036-03-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED COP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CO        |           1 | NC      | $-4239.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                                                  | Golub Capital Partners CLO 55B LTD                                               | CUSIP: 38178LAA7<br>LEI: 254900ZZ9HHZTOQ1XK24 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249671.55    | 0.02%             | 2034-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: SEK 1.000000 17-SEP-2030 3M                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   112000000 | OU      | $-720008.22   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                                                  | OHA Credit Funding 3 LTD                                                         | CUSIP: 67112RBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.02%             | 2038-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Ingersoll Rand Inc                                                               | Ingersoll Rand Inc                                                               | CUSIP: 45687V106<br>LEI: 5299004C02FMZCUOIR50 | Long             | EC               | CORP              | US        |         443 | NS      | $33415.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                 | LONG GILT FUTURE JUN25                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         511 | NC      | $792660.79    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Home Loans                                                           | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18411 | PA      | $8598.66      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-848.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-9108.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (ITRAXX.XO.43.V1)                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |      173000 | OU      | $-13747.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AEP Texas Inc                                                                    | AEP Texas Inc                                                                    | CUSIP: 00108WAJ9<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |       36000 | PA      | $26816.10     | 0.00%             | 2049-05-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust 2025-2                                                  | CUSIP: 03466QAA1<br>LEI: 254900DKH168ZWJSMI96 | Long             | ABS-MBS          | CORP              | US        |      175148 | PA      | $175650.70    | 0.01%             | 2070-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       65000 | PA      | $67375.49     | 0.01%             | 2030-04-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.378700 18-JUN-2055 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      490000 | OU      | $-3047.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                 | CUSIP: 06368LWU6<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |       40000 | PA      | $41631.78     | 0.00%             | 2028-09-25      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA1                                          | CUSIP: 35564KQY8<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | USGSE             | US        |      750000 | PA      | $765885.08    | 0.06%             | 2042-01-25      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QQTM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106184 | PA      | $108463.30    | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | MX        |           1 | NC      | $3368.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                          | CUSIP: 15189XBB3<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |      250000 | PA      | $249580.87    | 0.02%             | 2033-04-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                  | CVS Health Corp                                                                  | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      535000 | PA      | $530944.44    | 0.04%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-68.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                           | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |       11000 | PA      | $10362.00     | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                                                         | Citizens Financial Group Inc                                                     | CUSIP: 174610BF1<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |      100000 | PA      | $102365.40    | 0.01%             | 2030-01-23      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                             | Deephaven Residential Mortgage Trust 2022-2                                      | CUSIP: 24380XAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $87929.35     | 0.01%             | 2067-03-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| IRB INFRASTRUCTURE DEVE                                                          | IRB INFRASTRUCTURE DEVE                                                          | CUSIP: 000000000<br>LEI: 335800XGO3AITGW6AK27 | Long             | DBT              | CORP              | IN        |      400000 | PA      | $390624.00    | 0.03%             | 2032-03-11      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA5                                          | CUSIP: 35564KJA8<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |     2130000 | PA      | $2263551.00   | 0.18%             | 2034-01-25      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                 | CUSIP: 26441CCC7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      135000 | PA      | $136823.89    | 0.01%             | 2029-01-05      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| Dallas Fort Worth International Airport                                          | DALLAS-FORT WORTH TX INTERNATIONAL ARPT REVENUE                                  | CUSIP: 2350368N3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       50000 | PA      | $35824.46     | 0.00%             | 2046-11-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | TW        |           1 | NC      | $1829.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                         | Duke Energy Progress LLC                                                         | CUSIP: 26442UAQ7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |       50000 | PA      | $50985.71     | 0.00%             | 2033-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                               | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |      915000 | PA      | $908542.75    | 0.07%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                             | CUSIP: 682691AG5<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |        5000 | PA      | $5020.65      | 0.00%             | 2031-11-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      303177 | PA      | $275031.50    | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032450<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      732000 | PA      | $705170.39    | 0.06%             | 2039-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.833710 18-JUN-2035 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     6070000 | OU      | $-106894.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                 | CUSIP: 191216CY4<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |      100000 | PA      | $58404.18     | 0.00%             | 2060-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CALUMET SPECIALTY PROD                                                           | Calumet Specialty Products Partners LP / Calumet Finance Corp                    | CUSIP: 131477AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      127000 | PA      | $113242.09    | 0.01%             | 2028-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: —       |
| EVERSOURCE ENERGY                                                                | Eversource Energy                                                                | CUSIP: 30040WAV0<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      150000 | PA      | $150147.23    | 0.01%             | 2026-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.793700 16-MAY-2026 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    12634000 | OU      | $-13674.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NETAPP INC                                                                       | NetApp Inc                                                                       | CUSIP: 64110DAN4<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |      725000 | PA      | $728300.66    | 0.06%             | 2035-03-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                               | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      150000 | PA      | $141907.76    | 0.01%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.44.V1)                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    17479590 | OU      | $734510.45    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                                                | Cisco Systems Inc                                                                | CUSIP: 17275RBY7<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |      190000 | PA      | $193849.09    | 0.02%             | 2032-02-24      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      245000 | PA      | $246984.50    | 0.02%             | 2038-01-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | Barclays PLC                                                                     | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $212203.47    | 0.02%             | 2028-11-02      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                  | CUSIP: 718172CS6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       50000 | PA      | $43246.13     | 0.00%             | 2030-11-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $800.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN NATL RAILWAY                                                            | Canadian National Railway Co                                                     | CUSIP: 136375BN1<br>LEI: 3SU7BEP7TH9YEQOZCS77 | Long             | DBT              | CORP              | CA        |      125000 | PA      | $134707.83    | 0.01%             | 2036-06-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | Boeing Co/The                                                                    | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      100000 | PA      | $92233.70     | 0.01%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EPB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101054 | PA      | $96834.37     | 0.01%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CZK 3.685000 17-SEP-2030 PRI                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    21440000 | OU      | $19454.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | TR        |           1 | NC      | $138.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |           1 | NC      | $192.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                         | Service Properties Trust                                                         | CUSIP: 81761LAE2<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      148000 | PA      | $142999.82    | 0.01%             | 2032-06-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: —       |
| Citibank NA                                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |           1 | NC      | $308.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.694700 17-SEP-2030 THO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    13470000 | OU      | $-5468.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH                          | CUSIP: 54627RAM2<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |      230000 | PA      | $227773.64    | 0.02%             | 2033-02-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2023-DELC                                                               | CUSIP: 05610DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      371000 | PA      | $371927.50    | 0.03%             | 2038-05-15      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      776200 | PA      | $618018.93    | 0.05%             | 2044-08-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.477220 18-JUN-2035 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      840000 | OU      | $3669.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      432333 | PA      | $361616.32    | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                                      | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249725.03    | 0.02%             | 2036-04-17      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: HKD 2.880000 17-SEP-2030 HKD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3230000 | OU      | $479.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                                           | Conseco Finance Corp                                                             | CUSIP: 393505F64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       88997 | PA      | $90582.56     | 0.01%             | 2030-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-176.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: PLN 4.905000 19-MAR-2030 WIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      165000 | OU      | $1706.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                                           | GreenSky Home Improvement Issuer Trust 2024-2                                    | CUSIP: 39571XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      323000 | PA      | $326849.68    | 0.03%             | 2059-10-27      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                         | CUSIP: 341081GZ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      139000 | PA      | $139910.45    | 0.01%             | 2065-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1025852 | PA      | $1025215.05   | 0.08%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                                                   | ELM Trust 2024-ELM                                                               | CUSIP: 26860XBG5<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |       95000 | PA      | $95513.77     | 0.01%             | 2039-06-10      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                               | Morgan Stanley Mortgage Loan Trust 2007-3XS                                      | CUSIP: 61752RAK8<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |      298900 | PA      | $103457.15    | 0.01%             | 2047-01-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                              | Gilead Sciences Inc                                                              | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |       80000 | PA      | $56578.20     | 0.00%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                               | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $78775.80     | 0.01%             | 2067-09-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                            | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CBC7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |       62000 | PA      | $42987.04     | 0.00%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                                | Hyatt Hotels Corp                                                                | CUSIP: 448579AQ5<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |      200000 | PA      | $203412.35    | 0.02%             | 2027-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.427670 17-SEP-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      180000 | OU      | $2797.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                         | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      333000 | PA      | $205196.00    | 0.02%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-1521.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RTX CORP                                                                         | RTX Corp                                                                         | CUSIP: 913017AT6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      453000 | PA      | $483425.24    | 0.04%             | 2028-08-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | Ally Financial Inc                                                               | CUSIP: 000000000<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      140000 | PA      | $133319.11    | 0.01%             | 2040-01-17      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      212021 | PA      | $194598.35    | 0.02%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                                                   | Wynn Macau Ltd                                                                   | CUSIP: 000000000<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $190388.00    | 0.02%             | 2028-08-26      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| TELUS Corp                                                                       | TELUS Corp                                                                       | CUSIP: 87971MBD4<br>LEI: L2TEUTQ8OSHMJWVLCE40 | Long             | DBT              | CORP              | CA        |       75000 | PA      | $72911.03     | 0.01%             | 2027-02-16      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 912828ZN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1047000 | PA      | $984834.38    | 0.08%             | 2027-04-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PDY9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      500000 | PA      | $537009.77    | 0.04%             | 2034-10-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Prudential Financial Inc                                                         | Prudential Financial Inc                                                         | CUSIP: 744320BA9<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |      125000 | PA      | $93717.13     | 0.01%             | 2049-12-07      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       70000 | PA      | $68814.04     | 0.01%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                                       | CAN 10YR BOND FUT JUN25                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         -33 | NC      | $20155.05     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Whitebox CLO I Ltd                                                               | Whitebox Clo I Ltd                                                               | CUSIP: 96467FAU4<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249375.00    | 0.02%             | 2036-07-24      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| ARCHER-DANIELS-MIDLAND C                                                         | Archer-Daniels-Midland Co                                                        | CUSIP: 039483BL5<br>LEI: 549300LO13MQ9HYSTR83 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48864.12     | 0.00%             | 2026-08-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                      | Viatris Inc                                                                      | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18847.30     | 0.00%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                                              | American International Group Inc                                                 | CUSIP: 026874DP9<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |       29000 | PA      | $23590.20     | 0.00%             | 2050-06-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                                             | OHA Loan Funding 2015-1 Ltd                                                      | CUSIP: 67109BDC5<br>LEI: 25490072LQI0R2J4XC93 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249638.20    | 0.02%             | 2037-01-19      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                          | CUSIP: 808513CD5<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |       66000 | PA      | $68445.68     | 0.01%             | 2029-05-19      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CHM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1723800 | PA      | $1737401.85   | 0.14%             | 2026-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                  | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      345000 | PA      | $361934.41    | 0.03%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      828000 | PA      | $797563.88    | 0.06%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                       | Verus Securitization Trust 2023-INV1                                             | CUSIP: 92539FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      120000 | PA      | $120819.18    | 0.01%             | 2068-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                        | CIM Trust 2025-I1                                                                | CUSIP: 12571DAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      540000 | PA      | $546261.52    | 0.04%             | 2069-10-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| Masimo Corp                                                                      | Masimo Corp                                                                      | CUSIP: 574795100<br>LEI: 549300Q4A8JK0PIYCU29 | Long             | EC               | CORP              | US        |         223 | NS      | $35894.08     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Bank of America NA                                                               | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | SE        |           1 | NC      | $2752.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | Boeing Co/The                                                                    | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      134000 | PA      | $143251.73    | 0.01%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding                                               | GRACIE POINT INTERNATIONAL FUNDING 2023-1                                        | CUSIP: 383931AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      140144 | PA      | $139929.41    | 0.01%             | 2026-09-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ID        |           1 | NC      | $-221.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD HUF                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-3348.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-1449.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                                                         | Alexandria Real Estate Equities Inc                                              | CUSIP: 015271AN9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |       40000 | PA      | $39500.20     | 0.00%             | 2030-07-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                     | Barclays PLC                                                                     | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      350000 | PA      | $350609.42    | 0.03%             | 2026-05-12      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                            | Northrop Grumman Corp                                                            | CUSIP: 666807CM2<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      107000 | PA      | $98539.34     | 0.01%             | 2054-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      424000 | PA      | $441524.32    | 0.04%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2021-VIV5                                           | CUSIP: 05605VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240000 | PA      | $215450.40    | 0.02%             | 2044-03-09      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Fort Greene Park CLO                                                             | Fort Greene Park CLO LLC                                                         | CUSIP: 18914KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      480000 | PA      | $475538.30    | 0.04%             | 2034-04-22      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-5657.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $1610.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                                            | Vale Overseas Ltd                                                                | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |        4000 | PA      | $3847.88      | 0.00%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                          | CUSIP: 808513BG9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |        2000 | PA      | $1692.37      | 0.00%             | 2031-03-11      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                         | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      260000 | PA      | $242676.50    | 0.02%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-3                                     | CUSIP: 96041CAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      305000 | PA      | $309837.54    | 0.03%             | 2028-09-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD HUF                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-2664.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                 | CUSIP: 191216DP2<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       60000 | PA      | $52782.19     | 0.00%             | 2032-01-05      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | EUR P USD C @1.012500 EO                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |     -111000 | OU      | $-0.12        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-3000.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                                          | American Home Mortgage Investment Trust 2006-2                                   | CUSIP: 02660YAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2206286 | PA      | $183180.40    | 0.01%             | 2036-05-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2021-VIEW                                                               | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21000 | PA      | $19781.47     | 0.00%             | 2036-06-15      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| TALOS PRODUCTION INC                                                             | Talos Production Inc                                                             | CUSIP: 87485LAD6<br>LEI: 549300GZ2DZZE2Y8TX15 | Long             | DBT              | CORP              | US        |      212000 | PA      | $203231.55    | 0.02%             | 2029-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| Blackstone Mortgage Trust Inc                                                    | Blackstone Mortgage Trust Inc                                                    | CUSIP: 09257W100<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | EC               |  | US        |       13606 | NS      | $259194.30    | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       53449 | PA      | $51212.95     | 0.00%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                                                                    | Allstate Corp/The                                                                | CUSIP: 020002AS0<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51362.68     | 0.00%             | 2035-05-09      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                                           | UNITED STATES STEEL CORP                                                         | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -28 | NC      | $-5586.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AT&T Inc                                                                         | AT&T Inc                                                                         | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       45000 | PA      | $36376.26     | 0.00%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| TARGET CORP                                                                      | Target Corp                                                                      | CUSIP: 87612EBS4<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |       75000 | PA      | $72059.44     | 0.01%             | 2034-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                               | Athene Holding Ltd                                                               | CUSIP: 04686JAD3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |        5000 | PA      | $3443.02      | 0.00%             | 2051-05-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                                         | Baltimore Gas and Electric Co                                                    | CUSIP: 059165EQ9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |      150000 | PA      | $139856.49    | 0.01%             | 2053-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.632500 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   410920000 | OU      | $5503.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCC POWER PLC                                                                    | SCC Power PLC                                                                    | CUSIP: 78397YAB8<br>LEI: 529900IYGYC6VSDSDF37 | Long             | DBT              | CORP              | GB        |       21881 | PA      | $14003.84     | 0.00%             | 2028-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                                                         | OZLM XVIII Ltd                                                                   | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |       57148 | PA      | $57147.94     | 0.00%             | 2031-04-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                                           | Bank of New York Mellon Corp/The                                                 | CUSIP: 06406RBQ9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |        5000 | PA      | $5027.50      | 0.00%             | 2027-04-26      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: EUR 2.298000 23-JAN-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1020000 | OU      | $35157.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | Carvana Co                                                                       | CUSIP: 146869AL6<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |      168259 | PA      | $172977.99    | 0.01%             | 2028-12-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| McKesson Corp                                                                    | McKesson Corp                                                                    | CUSIP: 58155Q103<br>LEI: 549300WZWOM80UCFSF54 | Long             | EC               | CORP              | US        |          56 | NS      | $39916.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MIDWEST GMNG BOR/MWG FIN                                                         | Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp                        | CUSIP: 59833DAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       50000 | PA      | $47202.91     | 0.00%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | Barclays PLC                                                                     | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      250000 | PA      | $252603.24    | 0.02%             | 2027-05-09      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                                                  | DTE Electric Co                                                                  | CUSIP: 23338VAS5<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |       80000 | PA      | $81142.99     | 0.01%             | 2033-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PUMA INTERNATIONAL FINAN                                                         | Puma International Financing SA                                                  | CUSIP: 000000000<br>LEI: 222100YFBPO7IDRUBR17 | Long             | DBT              | CORP              | LU        |      200000 | PA      | $198562.00    | 0.02%             | 2029-04-25      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp                                                                | Atmos Energy Corp                                                                | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |       30000 | PA      | $24738.20     | 0.00%             | 2044-10-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                           | General Motors Financial Co Inc                                                  | CUSIP: 37045XER3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       55000 | PA      | $55521.51     | 0.00%             | 2031-02-08      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5128600 | PA      | $5215545.77   | 0.42%             | 2030-08-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DSV74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48065 | PA      | $49727.67     | 0.00%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $125.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bally's Corporation                                                              | Bally's Corporation 2021 Term Loan B                                             | CUSIP: 05875CAB0<br>LEI: 549300NS4D5IK406VT62 | Long             | LON              | CORP              | US        |      258332 | PA      | $222811.76    | 0.02%             | 2028-10-02      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | Province of Quebec Canada                                                        | CUSIP: 748148SE4<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |       15000 | PA      | $14980.34     | 0.00%             | 2033-09-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                                              | Dominion Energy Inc                                                              | CUSIP: 25746UAV1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103471.15    | 0.01%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-166.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                                              | AUST 10Y BOND FUT JUN25                                                          | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         104 | NC      | $120059.74    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FirstEnergy Corp                                                                 | FirstEnergy Corp                                                                 | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |       79000 | PA      | $65766.36     | 0.01%             | 2047-07-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HBC77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33000 | PA      | $33834.59     | 0.00%             | 2031-10-25      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                                          | Honeywell International Inc                                                      | CUSIP: 438516CM6<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |      370000 | PA      | $357528.89    | 0.03%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                                          | Honeywell International Inc                                                      | CUSIP: 438516CS3<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |      100000 | PA      | $99590.37     | 0.01%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | EUR P USD C @1.042500 EO                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |      111000 | OU      | $0.12         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                                            | Evergy Kansas Central Inc                                                        | CUSIP: 30036FAB7<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38877.39     | 0.00%             | 2053-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP                                                                 | Progressive Corp/The                                                             | CUSIP: 743315BA0<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |       80000 | PA      | $58866.93     | 0.00%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DV6E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27294 | PA      | $24841.24     | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                      | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |      275000 | PA      | $275573.83    | 0.02%             | 2034-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| EVEREST REINSURANCE HLDG                                                         | Everest Reinsurance Holdings Inc                                                 | CUSIP: 299808AH8<br>LEI: 254900P29PM5UJR3VU91 | Long             | DBT              | CORP              | US        |      400000 | PA      | $264495.92    | 0.02%             | 2050-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      100000 | PA      | $62167.55     | 0.01%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                            | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1190000 | PA      | $1010012.50   | 0.08%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                                            | TRK 2021-INV2 Trust                                                              | CUSIP: 87267TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      125000 | PA      | $99568.15     | 0.01%             | 2056-11-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| BRUNDAGE-BONE CONCRETE                                                           | Brundage-Bone Concrete Pumping Holdings Inc                                      | CUSIP: 66981QAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       92000 | PA      | $89777.10     | 0.01%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| EDISON INTERNATIONAL                                                             | Edison International                                                             | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      234000 | PA      | $243772.55    | 0.02%             | 2029-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp                                                             | Westpac Banking Corp                                                             | CUSIP: 961214DF7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |      265000 | PA      | $262945.68    | 0.02%             | 2031-11-23      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                          | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84503 | PA      | $68184.61     | 0.01%             | 2047-06-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                                          | Public Service Co of Colorado                                                    | CUSIP: 744448CX7<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |       60000 | PA      | $48752.07     | 0.00%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                               | Expand Energy Corp                                                               | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     1235000 | PA      | $1218342.45   | 0.10%             | 2035-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                      | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       32000 | PA      | $24022.19     | 0.00%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                               | Regional Management Issuance Trust 2021-1                                        | CUSIP: 75907VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       11225 | PA      | $11155.58     | 0.00%             | 2031-03-17      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                                                         | Brighthouse Financial Inc                                                        | CUSIP: 10922NAH6<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |       30000 | PA      | $18905.71     | 0.00%             | 2051-12-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                                  | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $102375.20    | 0.01%             | 2032-08-20      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-391.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $1229.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-7290.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QUH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      168304 | PA      | $175088.12    | 0.01%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EGYPT TREASURY BILL                                                              | Egypt Treasury Bills                                                             | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      900000 | PA      | $15513.64     | 0.00%             | 2025-11-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | USD/CAD One-touch barrier option; Barrier price USD 1.52500                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |        6000 | OU      | $29.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADRIDGE FINANCIAL SOL                                                         | Broadridge Financial Solutions Inc                                               | CUSIP: 11133TAD5<br>LEI: 549300KZDJZQ2YIHRC28 | Long             | DBT              | CORP              | US        |       20000 | PA      | $18582.60     | 0.00%             | 2029-12-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| TARGET CORP                                                                      | Target Corp                                                                      | CUSIP: 87612EBR6<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |       35000 | PA      | $30657.32     | 0.00%             | 2053-01-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED CLP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CL        |           1 | NC      | $-783.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                    | AppLovin Corp                                                                    | CUSIP: 03831WAE8<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |      585000 | PA      | $558637.35    | 0.05%             | 2054-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORP                                                            | Antero Resources Corp                                                            | CUSIP: 03674XAQ9<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |      281000 | PA      | $287115.97    | 0.02%             | 2029-02-01      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      859000 | PA      | $769106.86    | 0.06%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Rakuten Group Inc                                                                | Rakuten Group Inc                                                                | CUSIP: 000000000<br>LEI: 529900IMXUCQKUL1H943 | Long             | EC               | CORP              | JP        |        7900 | NS      | $46580.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                           | Residential Asset Securitization Trust 2007-A9                                   | CUSIP: 761143AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1090153 | PA      | $126317.50    | 0.01%             | 2037-09-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                              | CUSIP: 03027XBW9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |        5000 | PA      | $4741.55      | 0.00%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $474.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                | CUSIP: 404280ES4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      395000 | PA      | $392515.13    | 0.03%             | 2036-03-03      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                               | EFMT 2025-INV1                                                                   | CUSIP: 26846XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      196968 | PA      | $197509.90    | 0.02%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORP                                                            | Antero Resources Corp                                                            | CUSIP: 03674XAS5<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |      899000 | PA      | $869918.88    | 0.07%             | 2030-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT Corp                                                                         | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      553000 | PA      | $567765.87    | 0.05%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | PETROLEOS MEXICANOS                                                              | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      409000 | PA      | $400820.00    | 0.03%             | 2026-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                                               | Ohio Power Co                                                                    | CUSIP: 677415CT6<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |       47000 | PA      | $39447.61     | 0.00%             | 2031-01-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 5YR NOTE (CBT) JUN25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         866 | NC      | $1533542.15   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NO        |           1 | NC      | $8171.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FLOURISHING TRADE + INVT LTD                                                     | FLOURISHING TRADE + INVT LTD                                                     | CUSIP: 343427AA8<br>LEI: 894500SZ5TN63ZJ0Y632 | Long             | DBT              | CORP              | MU        |      498000 | PA      | $502980.00    | 0.04%             | 2030-04-02      | Variable      | 11.04%                | No            |                  3 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       18000 | PA      | $18223.59     | 0.00%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140Q9MM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      401394 | PA      | $390977.11    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                                                        | Hess Corp                                                                        | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |       30000 | PA      | $33730.30     | 0.00%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | JP        |           1 | NC      | $39343.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| D.R. HORTON INC                                                                  | DR Horton Inc                                                                    | CUSIP: 23331ABS7<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |      188000 | PA      | $182491.37    | 0.01%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133CFU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      444986 | PA      | $445176.68    | 0.04%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                                                 | Welltower OP LLC                                                                 | CUSIP: 95040QAR5<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              |  | US        |       20000 | PA      | $18759.50     | 0.00%             | 2032-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                               | BMO 2023-C5 Mortgage Trust                                                       | CUSIP: 055988AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      346405 | PA      | $16516.75     | 0.00%             | 2056-06-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST                                                 | SoFi Consumer Loan Program 2025-1 Trust                                          | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      651498 | PA      | $652180.20    | 0.05%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QRWK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      262934 | PA      | $251889.44    | 0.02%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust 2022-3                                    | CUSIP: 92257BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      155494 | PA      | $150540.37    | 0.01%             | 2052-06-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-4823.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                                   | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0NE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       83657 | PA      | $37165.91     | 0.00%             | 2035-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132E0BQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      419069 | PA      | $371985.12    | 0.03%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                       | Verus Securitization Trust 2022-3                                                | CUSIP: 92538UAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $77164.06     | 0.01%             | 2067-02-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PAL0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      245000 | PA      | $191474.19    | 0.02%             | 2048-11-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                                                     | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10000 | PA      | $10089.09     | 0.00%             | 2040-04-13      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | MX        |           1 | NC      | $3799.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.270000 17-SEP-2030 SOR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      299975 | OU      | $-4221.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWP: OIS 14.550000 04-JAN-2027 BZD                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |      422000 | OU      | $818.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |           1 | NC      | $16.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                                       | CUSIP: 337738BE7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      665000 | PA      | $677284.40    | 0.05%             | 2033-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                                                 | Carlyle Global Market Strategies CLO 2012-3 Ltd                                  | CUSIP: 14312EAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      107605 | PA      | $107605.86    | 0.01%             | 2032-01-14      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                   | CUSIP: 303901BU5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |      172000 | PA      | $164411.94    | 0.01%             | 2055-03-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CNY 1.639000 17-SEP-2030 CNR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    28000000 | OU      | $-46374.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                                         | Burlington Northern Santa Fe LLC                                                 | CUSIP: 12189LBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       50000 | PA      | $41789.06     | 0.00%             | 2053-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| QUALCOMM Inc                                                                     | QUALCOMM Inc                                                                     | CUSIP: 747525AU7<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49216.16     | 0.00%             | 2027-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKZL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1286871 | PA      | $1173969.93   | 0.10%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                                     | Voya CLO 2019-1 Ltd                                                              | CUSIP: 92917NAW8<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $330000.00    | 0.03%             | 2037-10-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBY0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      100000 | PA      | $104106.86    | 0.01%             | 2031-02-20      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                                         | FirstEnergy Transmission LLC                                                     | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      501000 | PA      | $419165.13    | 0.03%             | 2049-04-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                                                           | TotalEnergies Capital International SA                                           | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |      275000 | PA      | $178773.76    | 0.01%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| GCAT                                                                             | GCAT 2023-NQM4 Trust                                                             | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      142583 | PA      | $135086.25    | 0.01%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                      | CUSIP: 03073EAW5<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |      610000 | PA      | $616980.57    | 0.05%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                             | Glencore Funding LLC                                                             | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      559000 | PA      | $565985.80    | 0.05%             | 2030-04-01      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                                | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      125000 | PA      | $109834.73    | 0.01%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | TRSWAP: GSISDRV5 INDEX                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               |  | US        |     1054840 | OU      | $-29603.34    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| WAYFAIR LLC                                                                      | Wayfair LLC                                                                      | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |      235000 | PA      | $214397.22    | 0.02%             | 2030-09-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| KONDOR FINANCE PLC (NAK)                                                         | NAK Naftogaz Ukraine via Kondor Finance PLC                                      | CUSIP: 000000000<br>LEI: 213800PUC1T9GI6EIO63 | Long             | DBT              | CORP              | GB        |      115773 | PA      | $111808.32    | 0.01%             | 2026-07-19      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                                     | Voya CLO 2014-1 Ltd                                                              | CUSIP: 92915PAH8<br>LEI: 549300ITL5IR423IJ183 | Long             | ABS-CBDO         | CORP              | KY        |       60301 | PA      | $60320.10     | 0.00%             | 2031-04-18      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 0.685000 21-APR-2027 FTO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   623207547 | OU      | $1107.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-8 Trust   | CUSIP: 93935EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       82079 | PA      | $27459.68     | 0.00%             | 2036-10-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                                                       | Impac Secured Assets Trust 2006-3                                                | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18807 | PA      | $16838.33     | 0.00%             | 2036-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | PL        |           1 | NC      | $769.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                 | Georgia Power Co                                                                 | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |       40000 | PA      | $40650.21     | 0.00%             | 2031-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CGB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4700000 | PA      | $4733964.83   | 0.38%             | 2029-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                                                              | Invitation Homes Operating Partnership LP                                        | CUSIP: 46188BAF9<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |       40000 | PA      | $40005.66     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      113000 | PA      | $99270.18     | 0.01%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-1947.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Gracie Point International Funding                                               | GRACIE POINT INTERNATIONAL FUNDING 2023-2                                        | CUSIP: 38410JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       42135 | PA      | $42045.61     | 0.00%             | 2027-03-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                                     | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      163000 | PA      | $159224.37    | 0.01%             | 2042-02-15      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |           1 | NC      | $1550.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Financial Select Sector SPDR Fund                                                | Financial Select Sector SPDR Fund                                                | CUSIP: 81369Y605<br>LEI: 549300Y12KQ6ZG08NY28 | Long             | EC               | RF                | US        |        5000 | NS      | $243800.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: —       |
| DUKE ENERGY PROGRESS LLC                                                         | Duke Energy Progress LLC                                                         | CUSIP: 26442UAR5<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      408000 | PA      | $380661.19    | 0.03%             | 2053-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400HU0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      602000 | PA      | $610311.78    | 0.05%             | 2028-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                      | Walmart Inc                                                                      | CUSIP: 931142FP3<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |     1140000 | PA      | $1154764.25   | 0.09%             | 2035-04-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                              | Petroleos Mexicanos                                                              | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       10000 | PA      | $9814.00      | 0.00%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| ANSYS Inc                                                                        | ANSYS Inc                                                                        | CUSIP: 03662Q105<br>LEI: 549300VJV8H15Z5FJ571 | Long             | EC               | CORP              | US        |         116 | NS      | $37338.08     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Societe Generale SA                                                              | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | GB        |           1 | NC      | $25037.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                                       | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |       60000 | PA      | $47118.13     | 0.00%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ZA        |           1 | NC      | $-2275.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-1613.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EASTMAN CHEMICAL CO                                                              | Eastman Chemical Co                                                              | CUSIP: 277432AX8<br>LEI: FDPVHDGJ1IQZFK9KH630 | Long             | DBT              | CORP              | US        |       50000 | PA      | $51139.43     | 0.00%             | 2033-03-08      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5 Trust   | CUSIP: 93936PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      153871 | PA      | $139912.35    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Host Hotels & Resorts LP                                                         | Host Hotels & Resorts LP                                                         | CUSIP: 44107TAW6<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |       20000 | PA      | $19933.64     | 0.00%             | 2026-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-735.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                     | CSMC 2022-NQM4 Trust                                                             | CUSIP: 12665EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      126132 | PA      | $125412.09    | 0.01%             | 2067-06-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-924.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE CHILDREN HOSP                                                         | Nationwide Children's Hospital Inc                                               | CUSIP: 63861UAA7<br>LEI: 549300P18KU1WR8JWZ05 | Long             | DBT              | CORP              | US        |       35000 | PA      | $29697.01     | 0.00%             | 2052-11-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680BJ1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      300000 | PA      | $309297.73    | 0.03%             | 2028-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                        | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      365000 | PA      | $350328.46    | 0.03%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                               | MCR 2024-HTL Mortgage Trust                                                      | CUSIP: 55286PAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       80569 | PA      | $80241.83     | 0.01%             | 2037-02-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.791000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     1000000 | OU      | $-22293.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                           | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      887000 | PA      | $801860.75    | 0.07%             | 2031-03-24      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10000 | PA      | $9931.25      | 0.00%             | 2038-04-15      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | 5Y RTR 3.700000 26-JUN-2025                                                      | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | KY        |    -1567000 | OU      | $-1522.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2457218 | PA      | $2050192.22   | 0.17%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                                   | PECO Energy Co                                                                   | CUSIP: 693304BD8<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |       54000 | PA      | $45461.63     | 0.00%             | 2052-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                                      | BBCMS Mortgage Trust 2025-5C34                                                   | CUSIP: 07337BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41000 | PA      | $42583.96     | 0.00%             | 2058-05-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                 | Paramount Global                                                                 | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       90000 | PA      | $80525.49     | 0.01%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                                                            | Huntington Bancshares Inc/OH                                                     | CUSIP: 446150BC7<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103983.00    | 0.01%             | 2029-08-21      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.685000 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      630000 | OU      | $-2376.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JM SMUCKER CO                                                                    | J M Smucker Co/The                                                               | CUSIP: 832696AM0<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |      150000 | PA      | $138152.30    | 0.01%             | 2035-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.253500 18-JUN-2035 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2340468 | OU      | $80231.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                       | Navient Private Education Refi Loan Trust 2024-A                                 | CUSIP: 63943CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      143821 | PA      | $146763.82    | 0.01%             | 2072-10-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| WILLIAM CARTER                                                                   | William Carter Co/The                                                            | CUSIP: 96926JAC1<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |      108000 | PA      | $105146.25    | 0.01%             | 2027-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                          | CUSIP: 808513BY0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |        5000 | PA      | $4849.28      | 0.00%             | 2027-03-03      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                          | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 Trust                    | CUSIP: 933634AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10099 | PA      | $9129.24      | 0.00%             | 2037-03-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      435067 | PA      | $363204.56    | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWAP/CDSWAP/SCDS: (AEP)                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |      176000 | OU      | $-5055.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | 10Y RTP 3.930000 29-MAR-2027                                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |     1507800 | OU      | $58051.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                                 | CIFC Funding 2021-I Ltd                                                          | CUSIP: 12563EAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248374.95    | 0.02%             | 2037-07-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| ANDIRON SERIES B 1L FRN                                                          | ANDIRON SERIES B 1L FRN                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       28526 | PA      | $28383.71     | 0.00%             | 2030-01-21      | Variable      | 1.00%                 | No            |                  3 | On Loan: No      |
| Chase Mortgage Finance Corporation                                               | Chase Mortgage Finance Trust Series 2007-A1                                      | CUSIP: 161630AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115041 | PA      | $111626.56    | 0.01%             | 2037-02-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261ABA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       97533 | PA      | $96976.04     | 0.01%             | 2054-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED PHP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PH        |           1 | NC      | $386.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                                           | CUSIP: 91324PFL1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      230000 | PA      | $221181.65    | 0.02%             | 2054-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| WRKCO INC                                                                        | WRKCo Inc                                                                        | CUSIP: 92940PAG9<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |       80000 | PA      | $68333.46     | 0.01%             | 2033-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | 10Y RTR 3.660000 05-APR-2027                                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     1627000 | OU      | $62399.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1412100 | PA      | $1319486.09   | 0.11%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                       | CUSIP: 14040HDB8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25868.79     | 0.00%             | 2027-10-29      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GJN0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       50000 | PA      | $34939.96     | 0.00%             | 2052-03-13      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| City of New York NY                                                              | NEW YORK NY                                                                      | CUSIP: 64966Q7G9<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |       15000 | PA      | $15421.59     | 0.00%             | 2053-10-01      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.454000 18-JUN-2055 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1475000 | OU      | $-33847.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cardinal Health Inc                                                              | Cardinal Health Inc                                                              | CUSIP: 14149YBE7<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49856.55     | 0.00%             | 2025-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                        | LBA Trust 2024-7IND                                                              | CUSIP: 52109XAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17000 | PA      | $16739.69     | 0.00%             | 2041-10-15      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                            | CUSIP: 91087BAX8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      300000 | PA      | $263400.00    | 0.02%             | 2053-05-04      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H052652<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -55000 | PA      | $-54970.56    | -0.00%            | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                              | Banc of America Funding 2007-3 Trust                                             | CUSIP: 059515AK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      208957 | PA      | $173711.14    | 0.01%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H042653<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3206000 | PA      | $3068489.27   | 0.25%             | 2055-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED MYR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | MY        |           1 | NC      | $1039.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                           | Discover Financial Services                                                      | CUSIP: 254709AT5<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |      410000 | PA      | $470303.23    | 0.04%             | 2034-11-02      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CAPITAL CORP                                                            | Blue Owl Capital Corp                                                            | CUSIP: 69121KAH7<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |      679000 | PA      | $673892.10    | 0.05%             | 2029-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $-4464.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                   | SWP: OIS 10.808000 01-JUL-2025 BZD                                               | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              |  | US        |      919000 | OU      | $-2179.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOMES Trust                                                                      | HOMES 2025-NQM1 Trust                                                            | CUSIP: 43761DAF7<br>LEI: 254900LUV7YA0N50XT86 | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $201215.94    | 0.02%             | 2070-01-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |           1 | NC      | $-171.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: HKD 3.082500 17-SEP-2030 HKD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6000000 | OU      | $-6419.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-MDHS                                           | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      246965 | PA      | $246810.34    | 0.02%             | 2041-05-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.160050 18-JUN-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1220000 | OU      | $2823.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                                 | RALI Series 2007-QH3 Trust                                                       | CUSIP: 74922WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      142797 | PA      | $134886.96    | 0.01%             | 2037-04-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                              | Abbott Laboratories                                                              | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |      355000 | PA      | $333054.72    | 0.03%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | MX        |           1 | NC      | $767.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                      | Equinor ASA                                                                      | CUSIP: 29446MAJ1<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |      200000 | PA      | $196302.48    | 0.02%             | 2026-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| SMB Private Education Loan Trust                                                 | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      319644 | PA      | $316950.43    | 0.03%             | 2053-01-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |        3000 | PA      | $2765.57      | 0.00%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                                                                    | Allstate Corp/The                                                                | CUSIP: 020002BK6<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |      100000 | PA      | $101207.27    | 0.01%             | 2033-03-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |           1 | NC      | $8203.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INSULET CORPORATION                                                              | Insulet Corp                                                                     | CUSIP: 45784PAL5<br>LEI: 549300TZTYD2PYN92D43 | Long             | DBT              | CORP              | US        |      145000 | PA      | $147929.58    | 0.01%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                       | Navient Private Education Loan Trust 2015-A                                      | CUSIP: 63939EAE3<br>LEI: 549300YZ4ZMNDBNO4U12 | Long             | ABS-O            | CORP              | US        |      146000 | PA      | $141497.74    | 0.01%             | 2044-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                                      | FSWP: OIS 7.760000 05-NOV-2025 IBR                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   624053900 | OU      | $2115.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Apple Inc                                                                        | Apple Inc                                                                        | CUSIP: 037833AL4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |       50000 | PA      | $41453.51     | 0.00%             | 2043-05-04      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                              | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |      220000 | PA      | $185118.63    | 0.02%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      562000 | PA      | $566976.51    | 0.05%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | SWP: OIS 8.775000 14-JAN-2030 IBR                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |    43237633 | OU      | $-191.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | ID        |           1 | NC      | $-952.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040453<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1213000 | PA      | $1184662.34   | 0.10%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                               | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      170000 | PA      | $168670.28    | 0.01%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Howmet Aerospace Inc                                                             | Howmet Aerospace Inc                                                             | CUSIP: 443201108<br>LEI: 549300HO5WFZUT5N2T22 | Long             | EC               | CORP              | US        |         302 | NS      | $41851.16     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Enbridge Inc                                                                     | Enbridge Inc                                                                     | CUSIP: 29250NAM7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |       20000 | PA      | $18524.99     | 0.00%             | 2046-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MATTAMY GROUP CORP                                                               | Mattamy Group Corp                                                               | CUSIP: 57701RAM4<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |       51000 | PA      | $46654.52     | 0.00%             | 2030-03-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CKG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       31000 | PA      | $31520.70     | 0.00%             | 2029-03-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      727659 | PA      | $548443.39    | 0.04%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                   | Morgan Stanley Capital I Trust 2024-NSTB                                         | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       68586 | PA      | $66347.25     | 0.01%             | 2057-09-24      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp                                                            | Norfolk Southern Corp                                                            | CUSIP: 655844BH0<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |      150000 | PA      | $136132.56    | 0.01%             | 2041-10-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                                 | CIFC Funding 2018-III Ltd                                                        | CUSIP: 12551YAC7<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |      400000 | PA      | $400440.00    | 0.03%             | 2031-07-18      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140NGTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21579 | PA      | $21707.85     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                            | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAJ2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |       50000 | PA      | $50297.27     | 0.00%             | 2043-07-15      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CZK                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $80.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                          | Southern Co Gas Capital Corp                                                     | CUSIP: 8426EPAH1<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29151.06     | 0.00%             | 2034-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                                      | BBCMS Mortgage Trust 2023-C22                                                    | CUSIP: 05554FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      530000 | PA      | $593973.65    | 0.05%             | 2056-11-15      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.539030 18-JUN-2035 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3065000 | OU      | $-32503.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                            | Continental Resources Inc/OK                                                     | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |        5000 | PA      | $3861.43      | 0.00%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                                          | Arthur J Gallagher & Co                                                          | CUSIP: 04316JAB5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |       45000 | PA      | $27618.39     | 0.00%             | 2052-03-09      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                                 | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $98125.00     | 0.01%             | 2037-05-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CZK 3.635000 17-SEP-2030 PRI                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6000000 | OU      | $-4812.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                                 | Onemain Financial Issuance Trust 2024-1                                          | CUSIP: 68269NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      184000 | PA      | $189763.03    | 0.02%             | 2041-05-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-4824.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Union Pacific Corp                                                               | Union Pacific Corp                                                               | CUSIP: 907818ES3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24971.78     | 0.00%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                                         | Discovery Communications LLC                                                     | CUSIP: 25470DAL3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |       34000 | PA      | $33972.40     | 0.00%             | 2026-03-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                                             | SoFi Professional Loan Program 2017-E LLC                                        | CUSIP: 83404KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $482542.70    | 0.04%             | 2040-11-26      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1447800 | PA      | $1457697.07   | 0.12%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                     | CUSIP: 65473PAP0<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |       10000 | PA      | $10066.72     | 0.00%             | 2033-06-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      249399 | PA      | $245160.97    | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                       | US Bancorp                                                                       | CUSIP: 91159HJU5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      675000 | PA      | $677174.85    | 0.05%             | 2036-02-12      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| MercadoLibre Inc                                                                 | MercadoLibre Inc                                                                 | CUSIP: 58733R102<br>LEI: 549300DKPDN9M5S8GB14 | Long             | EC               | CORP              | US        |          18 | NS      | $41955.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank5                                                                            | BANK5 Trust 2024-5YR6                                                            | CUSIP: 066043AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10000 | PA      | $10544.71     | 0.00%             | 2057-05-15      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWP: OIS 14.955000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     4000000 | OU      | $-40807.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIM Trust                                                                        | CIM Trust 2025-I1                                                                | CUSIP: 12571DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      510926 | PA      | $516069.36    | 0.04%             | 2069-10-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC                                                           | Comstock Resources Inc                                                           | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |       99000 | PA      | $94365.75     | 0.01%             | 2029-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| UWM HOLDINGS LLC                                                                 | UWM Holdings LLC                                                                 | CUSIP: 903522AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      138000 | PA      | $136463.68    | 0.01%             | 2030-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      653000 | PA      | $658203.59    | 0.05%             | 2027-02-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CNY 1.570000 17-SEP-2030 CNR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6000000 | OU      | $-7194.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                          | NEW FORTRESS ENERGY INC                                                          | CUSIP: 000000000<br>LEI: 254900EICTYTCHA5X705 | Long             | STIV             | CORP              | US        |        1746 | NS      | $9480.78      | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Octagon 66 Ltd                                                                   | Octagon 66 Ltd                                                                   | CUSIP: 67577WAP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250187.50    | 0.02%             | 2036-11-16      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc                                                                       | Pfizer Inc                                                                       | CUSIP: 717081CY7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      125000 | PA      | $146101.45    | 0.01%             | 2039-03-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| CART                                                                             | CONE Trust 2024-DFW1                                                             | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       70000 | PA      | $69649.69     | 0.01%             | 2041-08-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.755000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     1000000 | OU      | $-20856.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | TR        |           1 | NC      | $1804.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | Boeing Co/The                                                                    | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      130000 | PA      | $121850.68    | 0.01%             | 2050-05-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-2650.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                                           | Anglo American Capital PLC                                                       | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $204442.00    | 0.02%             | 2030-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      734000 | PA      | $650630.37    | 0.05%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | USD C CAD P @1.410000 EO                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | KY        |      121000 | OU      | $52.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                       | Unum Group                                                                       | CUSIP: 91529YAR7<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |      140000 | PA      | $103371.30    | 0.01%             | 2051-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                                                          | Principal Financial Group Inc                                                    | CUSIP: 74251VAT9<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |       39000 | PA      | $39719.04     | 0.00%             | 2033-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust                                               | CWHEQ Revolving Home Equity Loan Trust Series 2006-I                             | CUSIP: 12668FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         926 | PA      | $875.81       | 0.00%             | 2037-01-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H020659<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -100000 | PA      | $-81561.55    | -0.01%            | 2054-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | AUD/USD One-touch barrier option; Barrier price AUD 0.66500                      | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |       11700 | OU      | $1289.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                      | NVIDIA Corp                                                                      | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      100000 | PA      | $73960.33     | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                          | Entergy Mississippi LLC                                                          | CUSIP: 29366WAE6<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24901.64     | 0.00%             | 2054-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| VFH PARENT / VALOR CO                                                            | VFH Parent LLC / Valor Co-Issuer Inc                                             | CUSIP: 91824YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       70000 | PA      | $71851.43     | 0.01%             | 2031-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                         | CUSIP: 00206RKF8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       50000 | PA      | $31808.11     | 0.00%             | 2061-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | SWP: OIS 13.545000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |     3000000 | OU      | $-1816.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                         | BHP Billiton Finance USA Ltd                                                     | CUSIP: 055451AV0<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |       75000 | PA      | $69559.82     | 0.01%             | 2043-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM INT FIN                                                         | Deutsche Telekom International Finance BV                                        | CUSIP: 25156PAD5<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |       20000 | PA      | $24764.40     | 0.00%             | 2032-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA5                                          | CUSIP: 35564KYW3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | USGSE             | US        |     1000000 | PA      | $1098750.00   | 0.09%             | 2042-06-25      | Floating      | 11.10%                | No            |                  2 | On Loan: No      |
| NIKE INC                                                                         | NIKE Inc                                                                         | CUSIP: 654106AK9<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |      100000 | PA      | $93571.74     | 0.01%             | 2030-03-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA S                                                         | Petroleos de Venezuela SA                                                        | CUSIP: 000000000<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |       27400 | PA      | $3123.60      | 0.00%             | 2026-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      793231 | PA      | $634342.04    | 0.05%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                           | CUSIP: 25278XAT6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      119000 | PA      | $87165.90     | 0.01%             | 2052-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                 | CUSIP: 191216DT4<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |      200000 | PA      | $193967.08    | 0.02%             | 2064-05-13      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.746000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    12000000 | OU      | $-243032.74   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                     | CUSIP: 053332BE1<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |      125000 | PA      | $125806.76    | 0.01%             | 2026-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                             | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      675000 | PA      | $661345.16    | 0.05%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                                 | Cifc Funding 2023-III Ltd                                                        | CUSIP: 12598YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250307.65    | 0.02%             | 2037-01-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                                               | Ukraine Government International Bond                                            | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |       10000 | PA      | $7000.00      | 0.00%             | 2041-08-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Aflac Inc                                                                        | Aflac Inc                                                                        | CUSIP: 001055AY8<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |       10000 | PA      | $8493.14      | 0.00%             | 2049-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Invesco Euro CLO                                                                 | Invesco Euro CLO                                                                 | CUSIP: 000000000<br>LEI: 549300YQUO4XFJGG1T54 | Long             | ABS-CBDO         | CORP              | IE        |      250000 | PA      | $272187.82    | 0.02%             | 2034-07-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 2YR NOTE (CBT) JUN25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -6 | NC      | $-1273.56     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PPL ELECTRIC UTILITIES                                                           | PPL Electric Utilities Corp                                                      | CUSIP: 69351UBC6<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |      105000 | PA      | $104117.72    | 0.01%             | 2034-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| XHR LP                                                                           | XHR LP                                                                           | CUSIP: 98372MAC9<br>LEI: 549300M88BPT83ZL2164 | Long             | DBT              |  | US        |       50000 | PA      | $46998.02     | 0.00%             | 2029-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                         | Anheuser-Busch InBev Worldwide Inc                                               | CUSIP: 03523TBY3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      250000 | PA      | $252098.37    | 0.02%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ondeck Asset Securitization Trust LLC                                            | OnDeck Asset Securitization Trust IV LLC                                         | CUSIP: 67108SAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      160000 | PA      | $161993.22    | 0.01%             | 2030-08-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-3986.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RELIANCE INC                                                                     | Reliance Inc                                                                     | CUSIP: 759509AG7<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |      790000 | PA      | $694234.33    | 0.06%             | 2030-08-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1279700 | PA      | $1293846.69   | 0.10%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                                | Johnson & Johnson                                                                | CUSIP: 478160CT9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |       45000 | PA      | $24689.48     | 0.00%             | 2060-09-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| MEDCO LAUREL TREE                                                                | Medco Laurel Tree Pte Ltd                                                        | CUSIP: 000000000<br>LEI: 254900SX7FFGRREZD046 | Long             | DBT              | CORP              | SG        |      200000 | PA      | $196000.00    | 0.02%             | 2028-11-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-2101.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      290000 | PA      | $249680.20    | 0.02%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.                                            | Bear Stearns Structured Products Trust 2007-EMX1                                 | CUSIP: 07402LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       65627 | PA      | $64963.14     | 0.01%             | 2037-03-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Hasbro Inc                                                                       | Hasbro Inc                                                                       | CUSIP: 418056AV9<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19478.49     | 0.00%             | 2027-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                        | GoodLeap Home Improvement Solutions Trust 2025-1                                 | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      267854 | PA      | $270020.81    | 0.02%             | 2049-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NORTHWELL HEALTHCARE INC                                                         | Northwell Healthcare Inc                                                         | CUSIP: 667274AD6<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |       85000 | PA      | $61417.92     | 0.00%             | 2049-11-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | Level 3 Financing Inc                                                            | CUSIP: 527298BR3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      259000 | PA      | $222756.38    | 0.02%             | 2028-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co                                                          | Bristol-Myers Squibb Co                                                          | CUSIP: 110122AU2<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |       80000 | PA      | $58711.46     | 0.00%             | 2042-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | ZA        |           1 | NC      | $-172.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1533750.00   | 0.12%             | 2042-04-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140EVT23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81588 | PA      | $79553.51     | 0.01%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                  | CUSIP: 842587DQ7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |       95000 | PA      | $96579.10     | 0.01%             | 2028-06-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.897380 15-APR-2035 CPT                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      570000 | OU      | $-783.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-Mobile US Inc                                                                  | T-Mobile US Inc                                                                  | CUSIP: 872590104<br>LEI: 549300QHIJYOHPACPG31 | Long             | EC               | CORP              | US        |         138 | NS      | $34079.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BlackRock Liquidity Funds                                                        | BlackRock Liquidity Funds: T-Fund, Institutional Shares                          | CUSIP: 09248U718<br>LEI: 5493007YVNX55LTRQ706 | Long             | STIV             | RF                | US        |   215079046 | NS      | $215079046.00 | 17.45%            |  |  |  | No            |                  1 | On Loan: No      |
| Dignity Health                                                                   | Dignity Health                                                                   | CUSIP: 254010AB7<br>LEI: TFVG45LTYVO3XKPZWP18 | Long             | DBT              | CORP              | US        |       50000 | PA      | $41287.11     | 0.00%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NCR ATLEOS LLC                                                                   | NCR Atleos Corp                                                                  | CUSIP: 638962AA8<br>LEI: 9845005FC3S0VA714741 | Long             | DBT              | CORP              | US        |      178000 | PA      | $191505.57    | 0.02%             | 2029-04-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED NGN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NG        |           1 | NC      | $-680.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-1 AA PTT                                                         | United Airlines 2019-1 Class AA Pass Through Trust                               | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       25646 | PA      | $24632.86     | 0.00%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                                | CUSIP: 04010LBA0<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |      200000 | PA      | $192872.94    | 0.02%             | 2026-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XBP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      419350 | PA      | $342224.97    | 0.03%             | 2052-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      149000 | PA      | $151949.64    | 0.01%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust 2025-1                                                  | CUSIP: 034934AA7<br>LEI: 254900HC0S1X9R2JZB30 | Long             | ABS-MBS          | CORP              | US        |      933965 | PA      | $937461.96    | 0.08%             | 2070-01-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                                  | Benefit Street Partners CLO XXIX                                                 | CUSIP: 08186EAL2<br>LEI: 549300DICNUWMUKL3816 | Long             | ABS-CBDO         | CORP              | JE        |     1100000 | PA      | $1091771.23   | 0.09%             | 2038-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                             | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      195000 | PA      | $197554.01    | 0.02%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.292000 17-SEP-2028 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   182100000 | OU      | $486.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4843000 | PA      | $4928698.39   | 0.40%             | 2029-10-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                                            | Civitas Resources Inc                                                            | CUSIP: 17888HAA1<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |       46000 | PA      | $45192.30     | 0.00%             | 2028-07-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $275.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 610 Funding 2 CLO Ltd                                                            | 610 Funding CLO 2 Ltd                                                            | CUSIP: 83004LAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $997134.40    | 0.08%             | 2034-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: SEK 2.680160 17-SEP-2030 3M                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    15300000 | OU      | $25940.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                                                   | Starbucks Corp                                                                   | CUSIP: 855244BF5<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |      275000 | PA      | $271231.36    | 0.02%             | 2033-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                                          | Southwestern Electric Power Co                                                   | CUSIP: 845437BU5<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9954.93      | 0.00%             | 2033-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Commonwealth Financing Authority                                                 | CMWLTH FING AUTH PA                                                              | CUSIP: 20281PKT8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       50000 | PA      | $45509.45     | 0.00%             | 2038-06-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                            | MidAmerican Energy Co                                                            | CUSIP: 595620AZ8<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |       45000 | PA      | $41952.08     | 0.00%             | 2055-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                      | Gartner Inc                                                                      | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |      839000 | PA      | $786866.97    | 0.06%             | 2029-06-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-442.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.527490 18-JUN-2055 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1190000 | OU      | $-46736.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA4                                          | CUSIP: 35564KXA2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |     1000000 | PA      | $1067500.00   | 0.09%             | 2042-05-25      | Floating      | 9.60%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | SE        |           1 | NC      | $4759.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                         | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1126000 | PA      | $744768.75    | 0.06%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                                          | Mexican Bonos                                                                    | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      770000 | PA      | $39028.80     | 0.00%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404119CV9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      265000 | PA      | $251966.15    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      370000 | PA      | $366694.83    | 0.03%             | 2034-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        6000 | PA      | $5429.76      | 0.00%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      315000 | PA      | $242995.64    | 0.02%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                              | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      795000 | PA      | $802429.27    | 0.07%             | 2036-01-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                        | CUSIP: 072024NV0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |      190000 | PA      | $218884.71    | 0.02%             | 2050-04-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      650000 | PA      | $487906.25    | 0.04%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO III Ltd                                                             | Whitebox CLO III Ltd                                                             | CUSIP: 96467HAS5<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $247229.28    | 0.02%             | 2035-10-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED COP / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CO        |           1 | NC      | $1181.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT Corp                                                                         | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      837000 | PA      | $836782.66    | 0.07%             | 2034-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DV6R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      874176 | PA      | $700663.23    | 0.06%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3131YBEH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      228998 | PA      | $202358.17    | 0.02%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | NZ        |           1 | NC      | $5424.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | NO        |           1 | NC      | $12021.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                                | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       80000 | PA      | $68174.94     | 0.01%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                                              | SG Residential Mortgage Trust 2022-2                                             | CUSIP: 78434KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50000 | PA      | $48756.23     | 0.00%             | 2062-08-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.644660 18-JUN-2027 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    13100000 | OU      | $-93763.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.910460 15-APR-2035 CPT                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      510000 | OU      | $-1412.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                                                                   | ACHV ABS TRUST 2024-1PL                                                          | CUSIP: 00092BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      253053 | PA      | $255795.02    | 0.02%             | 2031-04-25      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | SWP: OIS 9.810000 10-MAY-2025 IBR                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |   355022648 | OU      | $280.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.296170 18-JUN-2028 CAD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4920000 | OU      | $-1075.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                       | CUSIP: 92343VBE3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       45000 | PA      | $39918.62     | 0.00%             | 2041-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-278.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1919000 | PA      | $1778673.13   | 0.14%             | 2044-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                                               | 10Y RTP 4.007500 14-APR-2027                                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |      240967 | OU      | $8809.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      200000 | PA      | $197160.10    | 0.02%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fortuna Consumer Loan ABS                                                        | Fortuna Consumer Loan Abs 2024-2 DAC                                             | CUSIP: 000000000<br>LEI: 635400WJJIABFKEPEL72 | Long             | ABS-O            | CORP              | IE        |      100000 | PA      | $114692.39    | 0.01%             | 2034-10-18      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-219.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                                             | BlueMountain CLO 2018-3 Ltd                                                      | CUSIP: 09630AAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249449.98    | 0.02%             | 2030-10-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |           1 | NC      | $-154.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pennsylvania State University/The                                                | PENNSYLVANIA ST UNIV                                                             | CUSIP: 709235T70<br>LEI: 549300QDK4O4XCJ47X56 | Long             | DBT              | MUN               | US        |       50000 | PA      | $36858.56     | 0.00%             | 2043-09-01      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.554670 18-JUN-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2325000 | OU      | $54473.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                                            | Palmer Square CLO 2019-1 Ltd                                                     | CUSIP: 69700GAJ1<br>LEI: 549300Y43K78UTRMTN21 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249687.50    | 0.02%             | 2034-11-14      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                                             | ACE Securities Corp Home Equity Loan Trust Series 2005-AG1                       | CUSIP: 004427CD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      202520 | PA      | $163817.29    | 0.01%             | 2035-08-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DNHX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      212654 | PA      | $200344.53    | 0.02%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                                                             | FS Rialto 2025-FL10 Issuer LLC                                                   | CUSIP: 30340KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      780000 | PA      | $770963.62    | 0.06%             | 2042-08-19      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                         | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCM0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $192964.78    | 0.02%             | 2027-01-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | Citigroup Inc                                                                    | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24384.96     | 0.00%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                         | Toyota Motor Credit Corp                                                         | CUSIP: 89236TKF1<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |       95000 | PA      | $94796.41     | 0.01%             | 2025-08-18      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-AIR2                                           | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      143877 | PA      | $143877.02    | 0.01%             | 2041-10-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-747.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                          | Entergy Mississippi LLC                                                          | CUSIP: 29366WAG1<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |       44000 | PA      | $43041.97     | 0.00%             | 2055-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                   | Long Beach Mortgage Loan Trust 2006-2                                            | CUSIP: 542514TQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      113339 | PA      | $86831.08     | 0.01%             | 2046-03-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                                       | CAN 10YR BOND FUT JUN25                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         128 | NC      | $55794.86     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.049750 18-JUN-2035 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1870000 | OU      | $22640.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |           1 | NC      | $-862.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORL TRUST                                                                        | ORL Trust 2024-GLKS                                                              | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99375.00     | 0.01%             | 2039-12-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co                                                         | Florida Power & Light Co                                                         | CUSIP: 341081FB8<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |       25000 | PA      | $26487.39     | 0.00%             | 2039-04-01      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: HKD 2.921000 17-SEP-2030 HKD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7000000 | OU      | $-687.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132E0BN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      463712 | PA      | $427563.29    | 0.03%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                                         | Cheniere Corpus Christi Holdings LLC                                             | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |      251000 | PA      | $253789.67    | 0.02%             | 2027-06-30      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| TURNING POINT BRANDS INC                                                         | Turning Point Brands Inc                                                         | CUSIP: 90041LAG0<br>LEI: 549300IYG00QF0VVP302 | Long             | DBT              | CORP              | US        |      105000 | PA      | $109112.12    | 0.01%             | 2032-03-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: —       |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                  | CUSIP: 3136BDZA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      150000 | PA      | $128970.29    | 0.01%             | 2031-02-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Southern Copper Corp                                                             | Southern Copper Corp                                                             | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |      350000 | PA      | $317317.00    | 0.03%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                      | GSAMP Trust 2006-HE4                                                             | CUSIP: 362439AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $82655.58     | 0.01%             | 2036-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | CA        |           1 | NC      | $1178.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TUCSON ELECTRIC POWER CO                                                         | Tucson Electric Power Co                                                         | CUSIP: 898813AV2<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9413.67      | 0.00%             | 2053-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                 | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      315000 | PA      | $317424.05    | 0.03%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2414000 | PA      | $2425127.04   | 0.20%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2887829 | PA      | $2303189.83   | 0.19%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133USKU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1715515 | PA      | $1432074.37   | 0.12%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 7.745000 11-SEP-2030 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    31000000 | OU      | $4077.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $1603.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                      | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      385000 | PA      | $257630.67    | 0.02%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                      | Wayfair LLC                                                                      | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |       57000 | PA      | $52063.58     | 0.00%             | 2029-10-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| CDW LLC/CDW FINANCE                                                              | CDW LLC / CDW Finance Corp                                                       | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      370000 | PA      | $333079.70    | 0.03%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                                                  | DTE Electric Co                                                                  | CUSIP: 23338VAV8<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |       75000 | PA      | $75898.75     | 0.01%             | 2034-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD HUF                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-2957.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                                            | Panama Government International Bonds                                            | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      270000 | PA      | $165780.00    | 0.01%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                            | Republic Services Inc                                                            | CUSIP: 760759AV2<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45493.88     | 0.00%             | 2030-03-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Empire State Development Corp                                                    | NEW YORK ST URBAN DEV CORP REVENUE                                               | CUSIP: 650035TD0<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |       40000 | PA      | $41219.64     | 0.00%             | 2039-03-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.492710 18-JUN-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    11216000 | OU      | $88017.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                       | CUSIP: 92343VGB4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      610000 | PA      | $430519.81    | 0.03%             | 2051-03-22      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF PENNSYLVAN                                                         | Trustees of the University of Pennsylvania/The                                   | CUSIP: 91481CAC4<br>LEI: 549300FG60YK9HZ7DS75 | Long             | DBT              | CORP              | US        |      350000 | PA      | $222435.31    | 0.02%             | 2119-02-15      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | SWP: OIS 13.148000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |      272500 | OU      | $-428.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-2990.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                                                | GEO Group Inc/The                                                                | CUSIP: 36162JAH9<br>LEI: 54930024XOXET7NQVZ63 | Long             | DBT              | CORP              | US        |      180000 | PA      | $196675.74    | 0.02%             | 2031-04-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | Apple Inc                                                                        | CUSIP: 037833EW6<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37675.79     | 0.00%             | 2053-05-10      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      787000 | PA      | $691815.73    | 0.06%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NO        |           1 | NC      | $15189.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                                                   | ARES1 2024-IND2                                                                  | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      270000 | PA      | $269831.25    | 0.02%             | 2034-10-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2100000 | PA      | $2107792.97   | 0.17%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H022655<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |      -87000 | PA      | $-74133.42    | -0.01%            | 2055-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.648170 18-JUN-2035 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1480000 | OU      | $-31990.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                                                           | Westinghouse Air Brake Technologies Corp                                         | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |      210000 | PA      | $210640.96    | 0.02%             | 2028-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |           1 | NC      | $1139.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                                                         | Hackensack Meridian Health Inc                                                   | CUSIP: 404530AC1<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |       50000 | PA      | $34256.83     | 0.00%             | 2041-09-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3247717 | PA      | $2578928.01   | 0.21%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400FF5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |       33000 | PA      | $31812.54     | 0.00%             | 2037-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                                            | Rio Tinto Finance USA PLC                                                        | CUSIP: 76720AAD8<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |      150000 | PA      | $134593.92    | 0.01%             | 2042-03-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                    | CUSIP: 571903BN2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      250000 | PA      | $258292.54    | 0.02%             | 2028-10-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5119282 | PA      | $5203094.66   | 0.42%             | 2029-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                                 | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99562.50     | 0.01%             | 2037-05-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                              | Cheniere Energy Inc                                                              | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9904.60      | 0.00%             | 2028-10-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                    | CUSIP: 571903BS1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      500000 | PA      | $491734.60    | 0.04%             | 2035-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 2YR NOTE (CBT) JUN25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         722 | NC      | $477310.34    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.177000 17-SEP-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3000000 | OU      | $6588.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                             | Pilgrim's Pride Corp                                                             | CUSIP: 72147KAK4<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |      640000 | PA      | $666566.40    | 0.05%             | 2033-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                                        | College Avenue Student Loans LLC                                                 | CUSIP: 19425MAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       76352 | PA      | $80280.91     | 0.01%             | 2054-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: PLN 4.845000 17-SEP-2030 WIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    10530000 | OU      | $-122215.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-530.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |       75000 | PA      | $73834.29     | 0.01%             | 2029-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      583000 | PA      | $576896.72    | 0.05%             | 2055-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                   | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      247000 | PA      | $213256.90    | 0.02%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       22000 | PA      | $22904.92     | 0.00%             | 2031-05-31      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |           1 | NC      | $267.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL                                               | 10Y RTR 3.930000 29-MAR-2027                                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |     1507800 | OU      | $74668.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                               | CUSIP: 437076CS9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       80000 | PA      | $79591.73     | 0.01%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                            | Uber Technologies Inc                                                            | CUSIP: 90353TAQ3<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |       65000 | PA      | $59531.69     | 0.00%             | 2054-09-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      181000 | PA      | $159927.81    | 0.01%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PacifiCorp                                                                       | CUSIP: 695114DC9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |       60000 | PA      | $61622.75     | 0.01%             | 2031-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      980000 | PA      | $949585.19    | 0.08%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                   | TRSWAP: IBOXHY INDEX                                                             | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              |  | US        |      280000 | OU      | $10708.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                         | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      225000 | PA      | $141444.29    | 0.01%             | 2051-12-04      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3012490 | PA      | $2405231.99   | 0.20%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-6.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                              | Coinbase Global Inc                                                              | CUSIP: 19260QAC1<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |      180000 | PA      | $165670.20    | 0.01%             | 2028-10-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       55000 | PA      | $54313.55     | 0.00%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                      | NVIDIA Corp                                                                      | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |       42000 | PA      | $30826.10     | 0.00%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                                   | Merck & Co Inc                                                                   | CUSIP: 58933YBN4<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      270000 | PA      | $245998.59    | 0.02%             | 2063-05-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1306378 | PA      | $1113519.25   | 0.09%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DOLLAR GENERAL CORP                                                              | Dollar General Corp                                                              | CUSIP: 256677AN5<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |      245000 | PA      | $248941.48    | 0.02%             | 2028-07-05      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DIEBOLD NIXDORF INC                                                              | Diebold Nixdorf Inc                                                              | CUSIP: 253651AK9<br>LEI: 549300XZK6EWDBAZSY16 | Long             | DBT              | CORP              | US        |       15000 | PA      | $15616.79     | 0.00%             | 2030-03-31      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                          | Southern Co Gas Capital Corp                                                     | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25787.22     | 0.00%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XND4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      560354 | PA      | $523086.05    | 0.04%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      558000 | PA      | $559931.96    | 0.05%             | 2035-06-11      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |           1 | NC      | $-149.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HP INC                                                                           | HP Inc                                                                           | CUSIP: 40434LAB1<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |       75000 | PA      | $72643.19     | 0.01%             | 2027-06-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-1106.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.700000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     1000000 | OU      | $-18166.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| S&P Global Inc                                                                   | S&P Global Inc                                                                   | CUSIP: 78409V104<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | EC               | CORP              | US        |          76 | NS      | $38003.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                     | CUSIP: 11135FBB6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       75000 | PA      | $74415.16     | 0.01%             | 2025-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                                                      | Netflix Inc                                                                      | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |       75000 | PA      | $79109.94     | 0.01%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| State Street Corp                                                                | State Street Corp                                                                | CUSIP: 857477BD4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |      125000 | PA      | $124011.26    | 0.01%             | 2029-12-03      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $908.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | PL        |           1 | NC      | $-401.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                                             | SoFi Professional Loan Program 2017-D LLC                                        | CUSIP: 78471CAC3<br>LEI: 549300RC6OGKQI1MHM67 | Long             | ABS-O            | CORP              | US        |      321000 | PA      | $308629.43    | 0.03%             | 2040-09-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-2949.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                    | CUSIP: 00108WAP5<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      105000 | PA      | $101899.26    | 0.01%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CLP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $1398.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                        | CUSIP: 682680BF9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      130000 | PA      | $136334.72    | 0.01%             | 2051-01-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.759000 17-SEP-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     7000000 | OU      | $-145896.86   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | Commonwealth Edison Co                                                           | CUSIP: 202795KA7<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |      135000 | PA      | $131366.87    | 0.01%             | 2054-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| KEY BANK NA                                                                      | KeyBank NA/Cleveland OH                                                          | CUSIP: 49327M3H5<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |      463000 | PA      | $445860.50    | 0.04%             | 2033-01-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                                | General Mills Inc                                                                | CUSIP: 370334CT9<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24851.35     | 0.00%             | 2033-03-29      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                         | RTX Corp                                                                         | CUSIP: 913017CX5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       50000 | PA      | $42258.76     | 0.00%             | 2048-11-16      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Dupont De Nemours Inc                                                            | DuPont de Nemours Inc                                                            | CUSIP: 26078JAF7<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19527.28     | 0.00%             | 2048-11-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133BMN27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14771 | PA      | $14573.26     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                                                         | Constellation Brands Inc                                                         | CUSIP: 21036PAQ1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98829.31     | 0.01%             | 2026-12-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2250000 | PA      | $2277427.50   | 0.18%             | 2041-12-25      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      155000 | PA      | $152857.20    | 0.01%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                                            | Evergy Kansas Central Inc                                                        | CUSIP: 30036FAC5<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |       20000 | PA      | $21063.15     | 0.00%             | 2033-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                                                | Johnson & Johnson                                                                | CUSIP: 478160CL6<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |      125000 | PA      | $106877.95    | 0.01%             | 2038-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: EUR 2.428700 19-JUN-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      168000 | OU      | $-1769.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                                   | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      283000 | PA      | $270618.83    | 0.02%             | 2034-09-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| MEMORIAL SLOAN-KETTERING                                                         | Memorial Sloan-Kettering Cancer Center                                           | CUSIP: 586054AD0<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |       50000 | PA      | $32509.76     | 0.00%             | 2050-01-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co                                                                   | Eli Lilly & Co                                                                   | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |          45 | NS      | $40452.75     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BLUE OWL CREDIT INCOME                                                           | Blue Owl Credit Income Corp                                                      | CUSIP: 69120VAW1<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |       75000 | PA      | $78805.47     | 0.01%             | 2029-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                      | TRSWAP: GSISDRV5 INDEX                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               |  | US        |      859606 | OU      | $-24124.23    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-29050.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |           1 | NC      | $-2354.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                           | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19286.32     | 0.00%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| Barclays Bank PLC                                                                | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | KR        |           1 | NC      | $2988.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM CORP                                                                         | SLM Corp                                                                         | CUSIP: 78442PGF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       80000 | PA      | $82582.80     | 0.01%             | 2030-01-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42933 | PA      | $41101.80     | 0.00%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $196761.22    | 0.02%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-540.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                         | Western Midstream Operating LP                                                   | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      170000 | PA      | $135886.69    | 0.01%             | 2050-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GJM2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      271000 | PA      | $165286.32    | 0.01%             | 2051-10-24      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |           1 | NC      | $1368.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8248300 | PA      | $7475666.23   | 0.61%             | 2053-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.330000 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   171745236 | OU      | $565.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.500740 18-JUN-2055 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1060000 | OU      | $-35331.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1005000 | PA      | $1022587.50   | 0.08%             | 2041-11-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |        1465 | NS      | $358368.30    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.391610 18-JUN-2028 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6180000 | OU      | $90067.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                 | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     1403000 | PA      | $1353764.66   | 0.11%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PBT2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      330000 | PA      | $323557.88    | 0.03%             | 2026-11-19      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                   | CUSIP: 927804GD0<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      226000 | PA      | $124391.23    | 0.01%             | 2050-12-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                                                   | Amazon.com Inc                                                                   | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |         190 | NS      | $35039.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.759450 18-JUN-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     7850000 | OU      | $155945.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED HUF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | HU        |           1 | NC      | $15065.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lennar Corp                                                                      | Lennar Corp                                                                      | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |       10000 | PA      | $10036.26     | 0.00%             | 2027-11-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140X8FV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41892 | PA      | $38135.02     | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWCG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      156265 | PA      | $117705.40    | 0.01%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      160000 | PA      | $161487.03    | 0.01%             | 2039-11-09      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                       | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       45000 | PA      | $39623.79     | 0.00%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $3190.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-6705.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400FA6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19143.00     | 0.00%             | 2035-07-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QF6K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73021 | PA      | $63006.84     | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                                                             | SCG Commercial Mortgage Trust 2025-DLFN                                          | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      109000 | PA      | $100814.52    | 0.01%             | 2035-03-15      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-733.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CKN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        8000 | PA      | $8330.31      | 0.00%             | 2031-04-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 9.450000 03-JAN-2035 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     1663000 | OU      | $-7593.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                                             | FirstKey Homes 2022-SFR3 Trust                                                   | CUSIP: 33768EAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      633000 | PA      | $612837.94    | 0.05%             | 2038-07-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                               | CUSIP: 74456QCQ7<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |       65000 | PA      | $66377.60     | 0.01%             | 2034-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CH        |           1 | NC      | $5951.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-487.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |           1 | NC      | $540.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                   | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      167000 | PA      | $163982.74    | 0.01%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                                                    | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |           1 | NC      | $-940.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDEX CORP                                                                       | FedEx Corp                                                                       | CUSIP: 31428XCD6<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |       80000 | PA      | $69971.60     | 0.01%             | 2031-05-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                          | Shell International Finance BV                                                   | CUSIP: 822582CL4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      140000 | PA      | $88366.50     | 0.01%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                         | AT&T Inc                                                                         | CUSIP: 00206RDS8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      172000 | PA      | $159428.29    | 0.01%             | 2047-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                  | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      190000 | PA      | $145266.21    | 0.01%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                   | BR AIS                                                                           | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              |  | US        |      514000 | OU      | $27102.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                                         | Mill City Mortgage Loan Trust 2023-NQM1                                          | CUSIP: 59980DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      117073 | PA      | $117105.88    | 0.01%             | 2067-10-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                           | Arizona Public Service Co                                                        | CUSIP: 040555DD3<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |       45000 | PA      | $38067.35     | 0.00%             | 2031-12-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41000 | PA      | $41071.27     | 0.00%             | 2039-11-09      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132D6AZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       89489 | PA      | $83273.86     | 0.01%             | 2036-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                              | Homeward Opportunities Fund I Trust 2020-2                                       | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      570000 | PA      | $578703.50    | 0.05%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                               | CUSIP: 29273RAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19201.16     | 0.00%             | 2041-06-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| New York City Municipal Water Finance Authority                                  | NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE                         | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |       60000 | PA      | $61297.32     | 0.00%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Los Angeles Department of Water & Power                                          | LOS ANGELES CA DEPT WTR & PWR REVENUE                                            | CUSIP: 544495WA8<br>LEI: 549300S8NXV6YU61GG95 | Long             | DBT              | MUN               | US        |      100000 | PA      | $105600.93    | 0.01%             | 2050-07-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754GAF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1000000 | PA      | $1002497.60   | 0.08%             | 2044-02-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CA        |           1 | NC      | $133.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NZ        |           1 | NC      | $7354.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                                   | CFMT 2023-H11 LLC                                                                | CUSIP: 12530KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $95875.32     | 0.01%             | 2037-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                 | CUSIP: 05526DBS3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |       25000 | PA      | $22237.48     | 0.00%             | 2031-03-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                   | CUSIP: 303901BR2<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |      140000 | PA      | $140271.23    | 0.01%             | 2054-03-22      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-552.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                         | Madison Park Funding LXII Ltd                                                    | CUSIP: 55817HAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250534.10    | 0.02%             | 2036-07-17      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                                                            | Northrop Grumman Corp                                                            | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |       45000 | PA      | $35263.61     | 0.00%             | 2047-10-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| OKLAHOMA G&E CO                                                                  | Oklahoma Gas and Electric Co                                                     | CUSIP: 678858BY6<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |       40000 | PA      | $38478.98     | 0.00%             | 2053-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                      | CUSIP: 68389XCF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       85000 | PA      | $85573.11     | 0.01%             | 2025-11-10      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Prudential Financial Inc                                                         | Prudential Financial Inc                                                         | CUSIP: 744320AV4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19985.27     | 0.00%             | 2045-05-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | CommonSpirit Health                                                              | CUSIP: 20268JAM5<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |       35000 | PA      | $36652.83     | 0.00%             | 2052-11-01      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                      | Equinor ASA                                                                      | CUSIP: 29446MAH5<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |       55000 | PA      | $40443.24     | 0.00%             | 2050-04-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3133BNTK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19447 | PA      | $19929.49     | 0.00%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                                         | FactSet Research Systems Inc                                                     | CUSIP: 303075AB1<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |      407000 | PA      | $363636.01    | 0.03%             | 2032-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.428100 17-SEP-2030 THO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    31000000 | OU      | $644.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                       | Humana Inc                                                                       | CUSIP: 444859BN1<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       50000 | PA      | $49955.48     | 0.00%             | 2030-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 8.300000 11-SEP-2030 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    19000000 | OU      | $24334.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TASEKO MINES LTD                                                                 | Taseko Mines Ltd                                                                 | CUSIP: 876511AG1<br>LEI: 549300XKUO1JSLU7KX54 | Long             | DBT              | CORP              | CA        |       35000 | PA      | $35339.71     | 0.00%             | 2030-05-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                               | Royalty Pharma PLC                                                               | CUSIP: 78081BAK9<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $173518.03    | 0.01%             | 2030-09-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DSWD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      205916 | PA      | $210995.35    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                          | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      110000 | PA      | $116879.76    | 0.01%             | 2034-08-24      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.578310 17-SEP-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4000000 | OU      | $94245.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                         | Duke Energy Progress LLC                                                         | CUSIP: 26442UAV6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      120000 | PA      | $115918.57    | 0.01%             | 2055-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| EZCORP INC                                                                       | EZCORP Inc                                                                       | CUSIP: 302301AJ5<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |       35000 | PA      | $36641.15     | 0.00%             | 2032-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                      | Equinix Inc                                                                      | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |      523000 | PA      | $489520.73    | 0.04%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Port of Beaumont Navigation District                                             | PORT BEAUMONT TX NAV DIST DOCK& WHARF FAC REVENUE                                | CUSIP: 73360CAS3<br>LEI: 549300G8PKBXALUKJY33 | Long             | DBT              | MUN               | US        |      200000 | PA      | $205652.68    | 0.02%             | 2026-07-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                                       | Philippines Government International Bonds                                       | CUSIP: 718286CC9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      910000 | PA      | $877012.50    | 0.07%             | 2028-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                                                                 | RELX Capital Inc                                                                 | CUSIP: 74949LAG7<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |       85000 | PA      | $85819.59     | 0.01%             | 2035-03-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | Province of Quebec Canada                                                        | CUSIP: 748148SC8<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |       25000 | PA      | $24777.10     | 0.00%             | 2025-07-23      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | SWP: OIS 10.970000 04-JAN-2027 BZD                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |      743000 | OU      | $6953.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CH        |           1 | NC      | $9105.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US BOND FUTR OPTN JUN25P 114                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           1 | NC      | $578.13       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1326000 | PA      | $1315847.81   | 0.11%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                    | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      562000 | PA      | $516574.73    | 0.04%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      433100 | PA      | $423355.25    | 0.03%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                                                                       | Phinia Inc                                                                       | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |      118000 | PA      | $115785.57    | 0.01%             | 2032-10-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      538000 | PA      | $541593.61    | 0.04%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                         | Santander UK Group Holdings PLC                                                  | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $208362.21    | 0.02%             | 2029-01-10      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                          | CUSIP: 55336VBN9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       25000 | PA      | $24851.94     | 0.00%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | Enbridge Inc                                                                     | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |      100000 | PA      | $102063.72    | 0.01%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                        | GoodLeap Home Improvement Solutions Trust 2024-1                                 | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      317526 | PA      | $319813.03    | 0.03%             | 2046-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                           | Reperforming Loan REMIC Trust 2005-R1                                            | CUSIP: 12669GWN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25065 | PA      | $23988.51     | 0.00%             | 2035-03-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                                               | Steel Dynamics Inc                                                               | CUSIP: 858119BP4<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |      140000 | PA      | $90335.22     | 0.01%             | 2050-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        9600 | PA      | $9555.37      | 0.00%             | 2030-03-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                                         | Burlington Northern Santa Fe LLC                                                 | CUSIP: 12189LBK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      460000 | PA      | $430443.71    | 0.03%             | 2054-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                             | CUSIP: 78016HZV5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      125000 | PA      | $127582.23    | 0.01%             | 2029-02-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                                                         | Kaiser Foundation Hospitals                                                      | CUSIP: 48305QAB9<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45907.46     | 0.00%             | 2042-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CNY 1.434300 17-SEP-2030 CNR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     9000000 | OU      | $-2701.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                              | CUSIP: 46647PEL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      752000 | PA      | $760767.82    | 0.06%             | 2028-07-22      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                      | Walmart Inc                                                                      | CUSIP: 931142EZ2<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |      110000 | PA      | $95671.27     | 0.01%             | 2052-09-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                   | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      300000 | PA      | $294700.98    | 0.02%             | 2027-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $525.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1926500 | PA      | $1946367.03   | 0.16%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                   | Amazon.com Inc                                                                   | CUSIP: 023135CH7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      120000 | PA      | $113822.92    | 0.01%             | 2032-04-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-853.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      510200 | PA      | $374060.30    | 0.03%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                                       | CUSIP: 337738BL1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      610000 | PA      | $612208.76    | 0.05%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3783000 | PA      | $3883781.47   | 0.32%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Inc                                                            | Texas Instruments Inc                                                            | CUSIP: 882508BD5<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |       50000 | PA      | $40678.28     | 0.00%             | 2048-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                                   | CUSIP: 594918CD4<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      260000 | PA      | $153490.33    | 0.01%             | 2060-06-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-14600.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Invitation Homes Inc                                                             | Invitation Homes Inc                                                             | CUSIP: 46187W107<br>LEI: N/A                  | Long             | EC               |  | US        |        3137 | NS      | $107254.03    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SA                                                                   | SWP: OIS 9.785000 04-JAN-2027 BZD                                                | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DIR              |  | US        |      606000 | OU      | $-9494.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ally Financial Inc                                                               | Ally Financial Inc                                                               | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      315000 | PA      | $348831.23    | 0.03%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                          | Exxon Mobil Corp                                                                 | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      125000 | PA      | $87420.36     | 0.01%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-9794.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 35 LTD                                               | OCTAGON INVESTMENT PARTNERS 35 LTD                                               | CUSIP: 67591TAA8<br>LEI: 549300EBYXJ9QVMC7X31 | Long             | ABS-CBDO         | CORP              | KY        |       69080 | PA      | $69086.39     | 0.01%             | 2031-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED CLP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CL        |           1 | NC      | $-18628.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FedEx Corp                                                                       | FedEx Corp                                                                       | CUSIP: 31428XBP0<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19294.72     | 0.00%             | 2028-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| REGIONS FINANCIAL CORP                                                           | Regions Financial Corp                                                           | CUSIP: 7591EPAQ3<br>LEI: CW05CS5KW59QTC0DG824 | Long             | DBT              | CORP              | US        |       75000 | PA      | $74955.97     | 0.01%             | 2025-05-18      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                  | Xcel Energy Inc                                                                  | CUSIP: 98389BBB5<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |      100000 | PA      | $100209.67    | 0.01%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                           | Velocity Commercial Capital Loan Trust 2025-1                                    | CUSIP: 922955AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       99872 | PA      | $99980.31     | 0.01%             | 2055-02-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5735316 | PA      | $4555983.48   | 0.37%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                                           | Banc of America Alternative Loan Trust 2003-8                                    | CUSIP: 05948XTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       53338 | PA      | $53404.13     | 0.00%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Southern Copper Corp                                                             | Southern Copper Corp                                                             | CUSIP: 84265VAJ4<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |      520000 | PA      | $497900.00    | 0.04%             | 2045-04-23      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                                            | RIO TINTO FIN USA PLC                                                            | CUSIP: 76720AAU0<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |      545000 | PA      | $547049.77    | 0.04%             | 2035-03-14      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 3618N5EX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       46491 | PA      | $47616.26     | 0.00%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust, LLC                                                | Wachovia Mortgage Loan Trust Series 2006-AMN1                                    | CUSIP: 92978EAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      993526 | PA      | $323054.68    | 0.03%             | 2036-08-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      110000 | PA      | $106347.64    | 0.01%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140XPSB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      343076 | PA      | $350485.92    | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                                               | Ohio Power Co                                                                    | CUSIP: 677415CS8<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      255000 | PA      | $232125.35    | 0.02%             | 2030-04-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Asset-Backed Certificates Trust 2006-12                                    | CUSIP: 23242EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       59259 | PA      | $58246.53     | 0.00%             | 2037-01-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                                                  | Benefit Street Partners CLO XX Ltd                                               | CUSIP: 08182FAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249571.55    | 0.02%             | 2034-07-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      350000 | PA      | $351526.84    | 0.03%             | 2041-12-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                  | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      215000 | PA      | $225333.22    | 0.02%             | 2029-11-17      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                    | CUSIP: 842400FC2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |       78000 | PA      | $76515.73     | 0.01%             | 2036-02-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.522000 17-SEP-2030 THO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     8630000 | OU      | $-1350.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HONDA MOTOR CO LTD                                                               | Honda Motor Co Ltd                                                               | CUSIP: 438127AB8<br>LEI: 549300P7ZYCQJ36CCS16 | Long             | DBT              | CORP              | JP        |       50000 | PA      | $48457.54     | 0.00%             | 2027-03-10      | Fixed         | 2.53%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: OIS 4.083880 17-JUN-2036 SON                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1290000 | OU      | $-5852.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                       | Capital One Financial Corp                                                       | CUSIP: 14040H105<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | EC               | CORP              | US        |         225 | NS      | $40558.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: PLN 3.867500 17-SEP-2030 WIB                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3000000 | OU      | $794.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                                | Expedia Group Inc                                                                | CUSIP: 30212PBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       60000 | PA      | $60076.60     | 0.00%             | 2027-08-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2022-6                                    | CUSIP: 802918AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       27236 | PA      | $27234.33     | 0.00%             | 2027-06-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                                   | Sabre GLBL Inc                                                                   | CUSIP: 78573NAJ1<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |       68000 | PA      | $65110.00     | 0.01%             | 2027-06-01      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                           | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              |  | US        |      158000 | PA      | $155485.62    | 0.01%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-1812.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140J9VC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81249 | PA      | $79484.67     | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |           1 | NC      | $718.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                   | CUSIP: 548661DH7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |       60000 | PA      | $59721.23     | 0.00%             | 2025-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418E2C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      613655 | PA      | $601507.07    | 0.05%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                             | Shell Finance US Inc                                                             | CUSIP: 822905AE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       75000 | PA      | $59262.36     | 0.00%             | 2046-05-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: EUR 2.184300 07-NOV-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      115000 | OU      | $-7161.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TH        |           1 | NC      | $120.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                                                 | Symphony CLO 38 Ltd                                                              | CUSIP: 87169NAC7<br>LEI: 254900T60KIPND298026 | Long             | ABS-CBDO         | CORP              | BM        |      250000 | PA      | $250000.00    | 0.02%             | 2036-04-24      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | SWP: OIS 3.399520 02-MAY-2030 SOF                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      683379 | OU      | $1773.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | SWP: OIS 14.360000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |     2000000 | OU      | $-11233.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                                             | Colombian TES                                                                    | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   535300000 | PA      | $113617.14    | 0.01%             | 2028-04-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                         | JP Morgan Mortgage Trust 2025-VIS1                                               | CUSIP: 46659BAF9<br>LEI: 529900CBDGTUOOQONB64 | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $150196.58    | 0.01%             | 2055-08-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                          | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      555000 | PA      | $525124.84    | 0.04%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1800000 | PA      | $1495687.50   | 0.12%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17835000 | PA      | $14823930.68  | 1.20%             | 2054-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      292809 | PA      | $284064.95    | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                                             | YPF SA                                                                           | CUSIP: 984245AX8<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |       19000 | PA      | $19655.50     | 0.00%             | 2031-01-17      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                                            | Panama Government International Bonds                                            | CUSIP: 698299BF0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      580000 | PA      | $554190.00    | 0.04%             | 2028-03-17      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 3140QEYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      523235 | PA      | $445256.36    | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-153.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.579000 17-SEP-2030 KRW                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   828940000 | OU      | $9620.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                   | CVR Energy Inc                                                                   | CUSIP: 12662PAF5<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |       75000 | PA      | $68917.17     | 0.01%             | 2029-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| CARRIER GLOBAL CORP                                                              | Carrier Global Corp                                                              | CUSIP: 14448CAL8<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |       20000 | PA      | $17982.50     | 0.00%             | 2031-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                             | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      340000 | PA      | $240946.69    | 0.02%             | 2041-06-19      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                                                | Tampa Electric Co                                                                | CUSIP: 875127BM3<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25408.03     | 0.00%             | 2029-03-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 9.305000 09-JAN-2026 TII                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      741000 | OU      | $-360.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      118000 | PA      | $116830.77    | 0.01%             | 2039-11-09      | Variable      | 8.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                       | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6389000 | PA      | $6266639.09   | 0.51%             | 2054-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | Edison International                                                             | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |       70000 | PA      | $70940.57     | 0.01%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Neuberger Berman CLO Ltd                                                         | Neuberger Berman Loan Advisers Clo 40 Ltd                                        | CUSIP: 64134JAA1<br>LEI: 549300Y2YE54ON4DJE28 | Long             | ABS-CBDO         | CORP              | KY        |      467990 | PA      | $467990.15    | 0.04%             | 2033-04-16      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                  | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      775091 | PA      | $704104.22    | 0.06%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                      | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      150000 | PA      | $146426.32    | 0.01%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-1111.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                              | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      908500 | PA      | $484308.58    | 0.04%             | 2050-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                   | CUSIP: 927804FZ2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      200000 | PA      | $197803.10    | 0.02%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| Bulgaria Government International Bonds                                          | Bulgaria Government International Bonds                                          | CUSIP: 000000000<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |        6000 | PA      | $5795.64      | 0.00%             | 2037-03-05      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                            | Truist Financial Corp                                                            | CUSIP: 05531FBE2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      125000 | PA      | $124863.17    | 0.01%             | 2025-06-05      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                                         | Microchip Technology Inc                                                         | CUSIP: 595017BE3<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |       25000 | PA      | $25040.38     | 0.00%             | 2029-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                         | BHP Billiton Finance USA Ltd                                                     | CUSIP: 055451BA5<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |       75000 | PA      | $74346.25     | 0.01%             | 2033-02-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERIPRISE FINANCIAL INC                                                         | Ameriprise Financial Inc                                                         | CUSIP: 03076CAN6<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |      350000 | PA      | $366527.96    | 0.03%             | 2028-12-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TW        |           1 | NC      | $136.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-2543.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | SWP: OIS 13.015000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |      376000 | OU      | $-957.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 0.683000 21-APR-2027 FTO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   616006038 | OU      | $1180.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                              | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      512000 | PA      | $518080.00    | 0.04%             | 2032-03-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |       86000 | PA      | $92346.11     | 0.01%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                          | CUSIP: 808513BF1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |       20000 | PA      | $19418.58     | 0.00%             | 2026-03-11      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                 | Georgia Power Co                                                                 | CUSIP: 373334JS1<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |       50000 | PA      | $45630.08     | 0.00%             | 2040-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.320050 18-JUN-2028 CAD                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3990000 | OU      | $1116.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                             | CUSIP: 87612GAE1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |       74000 | PA      | $77143.11     | 0.01%             | 2029-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| POLAND GOVERNMENT BOND                                                           | Republic of Poland Government Bond                                               | CUSIP: 000000000<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |       74598 | PA      | $17831.04     | 0.00%             | 2036-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.293650 18-JUN-2027 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    17275000 | OU      | $-166956.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                                           | Canyon CLO 2023-2 Ltd                                                            | CUSIP: 13887AAE8<br>LEI: 254900FXDN97BW4YMK55 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $249650.05    | 0.02%             | 2037-05-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                                          | Frontier Communications Holdings LLC                                             | CUSIP: 35908MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      139500 | PA      | $139569.89    | 0.01%             | 2029-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.421000 17-SEP-2030 EUR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3000000 | OU      | $45559.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                               | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      348925 | PA      | $326150.58    | 0.03%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust 2024-DPLO                                         | HLTN Commercial Mortgage Trust 2024-DPLO                                         | CUSIP: 40424UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37000 | PA      | $36768.75     | 0.00%             | 2041-06-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                                | SWP: OIS 14.453000 02-JAN-2029 BZD                                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |    19000000 | OU      | $-124833.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                                                          | CIT Mortgage Loan Trust 2007-1                                                   | CUSIP: 12559QAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      150000 | PA      | $142739.54    | 0.01%             | 2037-10-25      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| ROSS STORES INC                                                                  | Ross Stores Inc                                                                  | CUSIP: 778296AF0<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |       50000 | PA      | $48267.84     | 0.00%             | 2026-04-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.531250 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      393500 | OU      | $1461.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | PL        |           1 | NC      | $1546.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8A1<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |      640000 | PA      | $645171.88    | 0.05%             | 2028-01-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | Simon Property Group LP                                                          | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              |  | US        |       40000 | PA      | $26378.90     | 0.00%             | 2049-09-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1005728 | PA      | $986696.94    | 0.08%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 3.769010 18-JUN-2030 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    21620000 | OU      | $442853.92    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Colgate-Palmolive Co                                                             | Colgate-Palmolive Co                                                             | CUSIP: 19416QEK2<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |       60000 | PA      | $46461.94     | 0.00%             | 2047-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                                              | AUST 10Y BOND FUT JUN25                                                          | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         -36 | NC      | $-9562.27     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SA                                                                   | EUR C USD P @1.100000 EO                                                         | CUSIP: 000000000<br>LEI: QHSFEYI7HUOXXZ413E03 | N/A              | DFE              |  | US        |     -232000 | OU      | $-7714.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** BlackRock Funds III

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer