# EDGAR Filing Document

**Accession Number:** 0001166729
**File Stem:** 0001752724-23-047091
**Filing Date:** 2023-2
**Character Count:** 360126
**Document Hash:** 04edf0fb5ea936e3e4a742d41838114f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-047091.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-047091

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BERNSTEIN SANFORD C FUND II INC
- **CENTRAL INDEX KEY:** 0001166729
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21034
- **FILM NUMBER:** 23683861

**BUSINESS ADDRESS:**
- **STREET 1:** ALLIANCEBERNSTEIN LP
- **STREET 2:** 1345 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10105
- **BUSINESS PHONE:** 2129691000

**MAIL ADDRESS:**
- **STREET 1:** ALLIANCEBERNSTEIN LP
- **STREET 2:** 1345 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10105

## Series and Classes Contracts Data

### Bernstein Intermediate Duration Institutional Portfolio (Series ID: S000011063)

| Class ID   | Class Name                                              | Ticker Symbol   |
|:---|:---|:---|
| C000030507 | Bernstein Intermediate Duration Institutional Portfolio |  |

## Nport-Ex

**Sanford C. Bernstein Fund II, Inc.** 

**Schedule of Investments** 

**Intermediate Duration Institutional Portfolio** 

**December 31, 2022 (unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **GOVERNMENTS - TREASURIES – 35.8%** | **GOVERNMENTS - TREASURIES – 35.8%** | **GOVERNMENTS - TREASURIES – 35.8%** | **GOVERNMENTS - TREASURIES – 35.8%** |
|  **United States – 35.8%** | **United States – 35.8%** | **United States – 35.8%** | **United States – 35.8%** |
|  U.S. Treasury Bonds<br>1.75%, 08/15/2041 | U.S.$| 1998 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1377752 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 02/15/2051 |  | 1883 | 1207447 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 11/15/2041 |  | 4278 | 3078011 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 08/15/2051 |  | 9349 | 6176447 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 08/15/2046 |  | 2377 | 1695770 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 08/15/2049 |  | 15570 | 11040103 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 02/15/2052 |  | 1672 | 1174108 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.375%, 02/15/2042 |  | 1736 | 1334550 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.375%, 11/15/2049 |  | 4905 | 3580650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/15/2046 |  | 932 | 701913 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 05/15/2046 |  | 5327 | 4004481 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 08/15/2042 |  | 190 | 153841 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 05/15/2043 |  | 165 | 135558 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 08/15/2045 |  | 51 | 41666 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 11/15/2046 |  | 387 | 312261 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 05/15/2052 |  | 2950 | 2385271 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/15/2042 |  | 843 | 713125 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/15/2044 |  | 200 | 165938 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/15/2045 |  | 129 | 106535 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/15/2045 |  | 363 | 300744 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/15/2047<sup>(a)</sup> |  | 1447 | 1192645 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/15/2048 |  | 5490 | 4532681 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 02/15/2043 |  | 280 | 240275 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 08/15/2044 |  | 50 | 42477 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/15/2042 |  | 7885 | 6958512 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 08/15/2042 |  | 6591 | 5930200 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 05/15/2044 |  | 646 | 572365 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/15/2039 |  | 8105 | 7656692 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 08/15/2043 |  | 1943 | 1798252 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 02/15/2044 |  | 38 | 35097 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/15/2043 |  | 295 | 278038 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/2042 |  | 2436 | 2401645 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/2052 |  | 4367 | 4414183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 02/15/2038 |  | 899 | 946584 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 11/15/2039 |  | 10740 | 11258541 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/15/2036 |  | 1074 | 1149637 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/15/2037 |  | 1525 | 1672258 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 02/15/2031 |  | 3646 | 4006502 |
|  U.S. Treasury Notes<br>1.50%, 02/15/2030<sup>(b)</sup> |  | 10851 | 9267432 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.625%, 04/30/2023 |  | 5514 | 5462306 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.625%, 05/15/2026<sup>(b)</sup> |  | 43357 | 39949042 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 11/15/2029 |  | 1386 | 1211234 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.625%, 02/15/2029 |  | 8921 | 8265864 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 11/15/2023 |  | 160 | 157250 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 07/31/2027 |  | 8724 | 8264248 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 07/31/2024 |  | 10991 | 10719367 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 11/30/2027 |  | 34871 | 34729337 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 12/31/2027 |  | 2692 | 2680765 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 09/30/2027 |  | 4748 | 4771639 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 10/31/2027 |  | 3016 | 3031281 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 11/15/2032 |  | 1644 | 1683609 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 10/31/2024 |  | 14510 | 14473226 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/30/2024 |  | 2776 | 2777935 |
|  Total Governments - Treasuries <br>(cost $273,825,421) | Total Governments - Treasuries <br>(cost $273,825,421) | Total Governments - Treasuries <br>(cost $273,825,421) | 242217290 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **CORPORATES - INVESTMENT GRADE – 22.2%** | **CORPORATES - INVESTMENT GRADE – 22.2%** | **CORPORATES - INVESTMENT GRADE – 22.2%** | **CORPORATES - INVESTMENT GRADE – 22.2%** |
|  **Industrial – 12.0%** | **Industrial – 12.0%** | **Industrial – 12.0%** | **Industrial – 12.0%** |
|  **Basic – 0.8%** | **Basic – 0.8%** | **Basic – 0.8%** | **Basic – 0.8%** |
|  Anglo American Capital PLC <br>3.875%, 03/16/2029<sup>(c)</sup> | U.S.$| 403 | $362448 |
|  Braskem Netherlands Finance BV <br>4.50%, 01/31/2030<sup>(c)</sup> |  | 500 | 422500 |
|  Celanese US Holdings LLC <br>5.90%, 07/05/2024 |  | 1494 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1493208 |
|  Freeport Indonesia PT <br>4.763%, 04/14/2027<sup>(c)</sup> |  | 324 | 310671 |
|  LYB International Finance BV <br>4.00%, 07/15/2023 |  | 187 | 185596 |
|  LyondellBasell Industries NV <br>5.75%, 04/15/2024 |  | 568 | 569176 |
|  Suzano Austria GmbH <br>3.75%, 01/15/2031 |  | 343 | 286362 |
|  WRKCo., Inc. <br>4.00%, 03/15/2028 |  | 1732 | 1615592 |
|  |  |  | 5245553 |
|  **Capital Goods – 0.6%** |  |  |  |
|  CNH Industrial Capital LLC <br>3.95%, 05/23/2025 |  | 1191 | 1154520 |
|  Flowserve Corp. <br>2.80%, 01/15/2032 |  | 1227 | 916876 |
|  Parker-Hannifin Corp. <br>3.25%, 06/14/2029 |  | 743 | 664190 |
|  Westinghouse Air Brake Technologies Corp.<br>3.20%, 06/15/2025 |  | 270 | 253975 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 03/15/2024 |  | 1145 | 1126268 |
|  |  |  | 4115829 |
|  **Communications - Media – 1.2%** |  |  |  |
|  Charter Communications Operating LLC/Charter Communications Operating Capital <br>5.125%, 07/01/2049 |  | 467 | 356354 |
|  Discovery Communications LLC <br>5.20%, 09/20/2047 |  | 509 | 380289 |
|  Fox Corp. <br>4.709%, 01/25/2029 |  | 700 | 677565 |
|  Interpublic Group of Cos., Inc. (The) <br>4.65%, 10/01/2028 |  | 519 | 496802 |
|  Prosus NV<br>3.257%, 01/19/2027<sup>(c)</sup><br>|  | 489 | 438878 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.68%, 01/21/2030<sup>(c)</sup> |  | 639 | 529691 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.027%, 08/03/2050<sup>(c)</sup> |  | 485 | 307611 |
|  Tencent Holdings Ltd. <br>3.24%, 06/03/2050<sup>(c)</sup> |  | 1022 | 641816 |
|  Time Warner Cable LLC <br>4.50%, 09/15/2042 |  | 505 | 371180 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Warnermedia Holdings, Inc. <br>4.279%, 03/15/2032<sup>(c)</sup> | U.S.$| 1826 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1505574 |
|  Weibo Corp. <br>3.375%, 07/08/2030 |  | 3313 | 2524713 |
|  |  |  | 8230473 |
|  **Consumer Cyclical - Automotive – 0.3%** |  |  |  |
|  General Motors Co. <br>6.125%, 10/01/2025 |  | 278 | 283410 |
|  General Motors Financial Co., Inc. <br>4.30%, 04/06/2029 |  | 171 | 153500 |
|  Harley-Davidson Financial Services, Inc. <br>3.05%, 02/14/2027<sup>(c)</sup> |  | 1664 | 1487017 |
|  |  |  | 1923927 |
|  **Consumer Cyclical - Other – 0.4%** |  |  |  |
|  Las Vegas Sands Corp. <br>3.90%, 08/08/2029 |  | 2303 | 1950204 |
|  MDC Holdings, Inc. <br>6.00%, 01/15/2043 |  | 968 | 792085 |
|  |  |  | 2742289 |
|  **Consumer Cyclical - Retailers – 0.4%** |  |  |  |
|  Lowe's Cos., Inc. <br>5.80%, 09/15/2062 |  | 1126 | 1085745 |
|  Ross Stores, Inc. <br>4.70%, 04/15/2027 |  | 1925 | 1894181 |
|  |  |  | 2979926 |
|  **Consumer Non-Cyclical – 1.4%** |  |  |  |
|  Altria Group, Inc. <br>3.40%, 05/06/2030 |  | 1745 | 1489602 |
|  BAT Capital Corp.<br>2.259%, 03/25/2028 |  | 2706 | 2252177 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.906%, 04/02/2030 |  | 917 | 840449 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 10/19/2032 |  | 158 | 170013 |
|  Cargill, Inc. <br>5.125%, 10/11/2032<sup>(c)</sup> |  | 835 | 837296 |
|  Cigna Corp. <br>4.375%, 10/15/2028 |  | 740 | 713819 |
|  CVS Health Corp. <br>4.30%, 03/25/2028 |  | 87 | 84151 |
|  Ochsner LSU Health System of North Louisiana <br>Series 2021 <br>2.51%, 05/15/2031 |  | 1480 | 1069433 |
|  Takeda Pharmaceutical Co., Ltd. <br>4.40%, 11/26/2023 |  | 460 | 456283 |
|  Zoetis, Inc. <br>5.40%, 11/14/2025 |  | 1182 | 1205711 |
|  |  |  | 9118934 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **Energy – 2.9%** |  |  |  |
|  BP Capital Markets America, Inc. <br>2.939%, 06/04/2051 | U.S.$| 2985 | $1970787 |
|  Continental Resources, Inc./OK<br>2.875%, 04/01/2032<sup>(c)</sup> |  | 1353 | 1004616 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 01/15/2031<sup>(c)</sup> |  | 1006 | 937351 |
|  Diamondback Energy, Inc. <br>6.25%, 03/15/2033 |  | 745 | 756622 |
|  Enbridge Energy Partners LP <br>7.375%, 10/15/2045 |  | 1337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1495622 |
|  Energy Transfer LP <br>3.60%, 02/01/2023 |  | 100 | 99781 |
|  Marathon Oil Corp. <br>6.80%, 03/15/2032 |  | 1800 | 1853190 |
|  Marathon Petroleum Corp. <br>6.50%, 03/01/2041 |  | 415 | 428189 |
|  MPLX LP <br>5.20%, 03/01/2047 |  | 2687 | 2284192 |
|  Oleoducto Central SA <br>4.00%, 07/14/2027<sup>(c)</sup> |  | 491 | 431098 |
|  ONEOK Partners LP <br>6.125%, 02/01/2041 |  | 73 | 69286 |
|  ONEOK, Inc.<br>4.00%, 07/13/2027 |  | 1720 | 1620120 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 03/15/2029 |  | 1012 | 938428 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.35%, 01/15/2031 |  | 263 | 268015 |
|  Plains All American Pipeline LP/PAA Finance Corp.<br>3.55%, 12/15/2029 |  | 1059 | 920366 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/15/2026 |  | 683 | 656670 |
|  Suncor Energy, Inc. <br>6.80%, 05/15/2038 |  | 1377 | 1445285 |
|  Tengizchevroil Finance Co. International Ltd. <br>3.25%, 08/15/2030<sup>(c)</sup> |  | 415 | 294339 |
|  Var Energi ASA<br>7.50%, 01/15/2028<sup>(c)</sup> |  | 1132 | 1151753 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 11/15/2032<sup>(c)</sup> |  | 1108 | 1142237 |
|  |  |  | 19767947 |
|  **Other Industrial – 0.1%** |  |  |  |
|  Alfa SAB de CV <br>5.25%, 03/25/2024<sup>(c)</sup> |  | 915 | 906879 |
|  **Services – 0.5%** |  |  |  |
|  Booking Holdings, Inc. <br>4.50%, 11/15/2031 | EUR | 789 | 852220 |
|  Expedia Group, Inc. <br>6.25%, 05/01/2025<sup>(c)</sup> | U.S.$| 49 | 49354 |
|  Global Payments, Inc.<br>2.90%, 11/15/2031 |  | 275 | 217335 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 08/15/2029 |  | 845 | 721300 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 08/15/2032 |  | 944 | 899991 |
|  S&P Global, Inc.<br>4.25%, 05/01/2029<sup>(c)</sup> |  | 411 | 392230 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 08/01/2028<sup>(c)</sup> |  | 83 | 82046 |
|  |  |  | 3214476 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **Technology – 3.2%** |  |  |  |
|  Apple, Inc. <br>4.10%, 08/08/2062 | U.S.$| 1148 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;969211 |
|  Broadcom, Inc.<br>4.00%, 04/15/2029<sup>(c)</sup> |  | 169 | 153793 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 11/15/2030 |  | 371 | 332372 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 04/15/2032<sup>(c)</sup> |  | 601 | 528285 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.926%, 05/15/2037<sup>(c)</sup> |  | 1079 | 943078 |
|  Entegris Escrow Corp. <br>4.75%, 04/15/2029<sup>(c)</sup> |  | 1270 | 1161593 |
|  Fiserv, Inc. <br>3.50%, 07/01/2029 |  | 2539 | 2287969 |
|  Honeywell International, Inc. <br>4.125%, 11/02/2034 | EUR | 1241 | 1300411 |
|  HP, Inc. <br>5.50%, 01/15/2033 | U.S.$| 1907 | 1793781 |
|  Infor, Inc. <br>1.75%, 07/15/2025<sup>(c)</sup> |  | 649 | 585515 |
|  Intel Corp. <br>5.05%, 08/05/2062 |  | 1536 | 1355351 |
|  International Business Machines Corp. <br>4.90%, 07/27/2052 |  | 1499 | 1370641 |
|  Kyndryl Holdings, Inc. <br>2.05%, 10/15/2026 |  | 2545 | 2104231 |
|  Micron Technology, Inc. <br>6.75%, 11/01/2029 |  | 1924 | 1957689 |
|  NXP BV/NXP Funding LLC <br>5.55%, 12/01/2028 |  | 1300 | 1302184 |
|  NXP BV/NXP Funding LLC/NXP USA, Inc. <br>3.40%, 05/01/2030 |  | 875 | 755090 |
|  Oracle Corp. <br>5.375%, 07/15/2040 |  | 270 | 247895 |
|  SK Hynix, Inc. <br>2.375%, 01/19/2031<sup>(c)</sup> |  | 532 | 390122 |
|  TSMC Arizona Corp. <br>3.875%, 04/22/2027 |  | 685 | 654732 |
|  Western Digital Corp.<br>2.85%, 02/01/2029 |  | 161 | 124517 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 02/01/2032 |  | 1284 | 923299 |
|  |  |  | 21241759 |
|  **Transportation - Airlines – 0.1%** |  |  |  |
|  Delta Air Lines, Inc./SkyMiles IP Ltd. <br>4.50%, 10/20/2025<sup>(c)</sup> |  | 819 | 798107 |
|  **Transportation - Railroads – 0.1%** |  |  |  |
|  Lima Metro Line 2 Finance Ltd.<br>4.35%, 04/05/2036<sup>(c)</sup> |  | 242 | 214607 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 07/05/2034<sup>(c)</sup> |  | 393 | 380356 |
|  |  |  | 594963 |
|  **Transportation - Services – 0.0%** |  |  |  |
|  ENA Master Trust <br>4.00%, 05/19/2048<sup>(c)</sup> |  | 380 | 254837 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;81135899 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **Financial Institutions – 9.8%** |  |  |  |
|  **Banking – 7.0%** |  |  |  |
|  AIB Group PLC <br>7.583%, 10/14/2026<sup>(c)</sup> | U.S.$| 2855 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2905305 |
|  Banco de Credito del Peru S.A. <br>3.125%, 07/01/2030<sup>(c)</sup> |  | 1447 | 1317494 |
|  Banco Santander SA<br>3.80%, 02/23/2028 |  | 200 | 181504 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.175%, 03/24/2028 |  | 800 | 741432 |
|  Bank of America Corp. <br>4.376%, 04/27/2028 |  | 1652 | 1579461 |
|  Bank of Ireland Group PLC <br>6.253%, 09/16/2026<sup>(c)</sup> |  | 571 | 568522 |
|  Barclays PLC <br>7.385%, 11/02/2028 |  | 1678 | 1745355 |
|  BNP Paribas SA<br>2.591%, 01/20/2028<sup>(c)</sup> |  | 751 | 660805 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 02/25/2031<sup>(c) (d)</sup> |  | 1307 | 1011997 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 08/16/2029<sup>(c) (d)</sup> |  | 385 | 379610 |
|  Citigroup, Inc.<br>5.95%, 01/30/2023<sup>(d)</sup> |  | 313 | 310753 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series W<br>4.00%, 12/10/2025<sup>(d)</sup> |  | 788 | 687349 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series Y<br>4.15%, 11/15/2026<sup>(d)</sup> |  | 139 | 114415 |
|  Credit Suisse Group AG<br>3.091%, 05/14/2032<sup>(c)</sup> |  | 1865 | 1294981 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.194%, 04/01/2031<sup>(c)</sup> |  | 799 | 623260 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.373%, 07/15/2026<sup>(c)</sup> |  | 1346 | 1263759 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 12/11/2023<sup>(c) (d)</sup> |  | 553 | 483444 |
|  Danske Bank A/S <br>3.875%, 09/12/2023<sup>(c)</sup> |  | 1744 | 1720526 |
|  Deutsche Bank AG/New York NY<br>2.129%, 11/24/2026 |  | 958 | 845061 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.961%, 11/26/2025 |  | 385 | 368118 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.119%, 07/14/2026 |  | 914 | 909293 |
|  Discover Bank <br>4.682%, 08/09/2028 |  | 386 | 371517 |
|  Federation des Caisses Desjardins du Quebec <br>4.55%, 08/23/2027<sup>(c)</sup> |  | 1523 | 1461410 |
|  Goldman Sachs Group, Inc. (The) <br>Series V <br>4.125%, 11/10/2026<sup>(d)</sup> |  | 764 | 635663 |
|  HSBC Holdings PLC<br>4.60%, 12/17/2030<sup>(d)</sup> |  | 1410 | 1106483 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.762%, 03/29/2033 |  | 715 | 618704 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.402%, 08/11/2033 |  | 581 | 539708 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.375%, 03/30/2025<sup>(d)</sup> |  | 1407 | 1365648 |
|  Intesa Sanpaolo SpA<br>5.017%, 06/26/2024<sup>(c)</sup> |  | 757 | 730944 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 11/21/2025<sup>(c)</sup> |  | 320 | 326838 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** | **U.S. $ Value** |
|  JPMorgan Chase & Co.<br>4.851%, 07/25/2028 | U.S.$| 1570 | $| 1532760 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.546%, 12/15/2025 |  | 2074 |  | 2074124 |
|  Lloyds Banking Group PLC<br>4.05%, 08/16/2023 |  | 250 |  | 248278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.953%, 11/15/2033 |  | 887 |  | 940043 |
|  Mizuho Financial Group, Inc. <br>5.414%, 09/13/2028 |  | 1480 |  | 1478786 |
|  Morgan Stanley<br>0.406%, 10/29/2027 | EUR | 796 |  | 735113 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.772%, 01/24/2029 | U.S.$| 1502 |  | 1374690 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.21%, 04/20/2028 |  | 1110 |  | 1054322 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.296%, 10/18/2028 |  | 717 |  | 739084 |
|  Nationwide Building Society <br>2.972%, 02/16/2028<sup>(c)</sup> |  | 1238 |  | 1090121 |
|  NatWest Group PLC <br>7.472%, 11/10/2026 |  | 688 |  | 716401 |
|  Santander UK Group Holdings PLC <br>3.373%, 01/05/2024 |  | 1150 |  | 1150000 |
|  Societe Generale SA <br>2.797%, 01/19/2028<sup>(c)</sup> |  | 2339 |  | 2043187 |
|  Standard Chartered PLC<br>3.971%, 03/30/2026<sup>(c)</sup> |  | 885 |  | 841458 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.925% (LIBOR 3 Month + 1.51%), 01/30/2027<sup>(c) (d) (e)</sup> |  | 400 |  | 308304 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 04/02/2023<sup>(c) (d)</sup> |  | 200 |  | 199218 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.776%, 11/16/2025<sup>(c)</sup> |  | 895 |  | 923210 |
|  Swedbank AB <br>Series NC5 <br>5.625%, 09/17/2024<sup>(c) (d)</sup> |  | 600 |  | 574620 |
|  UBS Group AG <br>7.00%, 02/19/2025<sup>(c) (d)</sup> |  | 200 |  | 197740 |
|  UniCredit SpA <br>2.569%, 09/22/2026<sup>(c)</sup> |  | 459 |  | 406265 |
|  US Bancorp <br>Series J <br>5.30%, 04/15/2027<sup>(d)</sup> |  | 723 |  | 630109 |
|  Wells Fargo & Co.<br>3.584%, 05/22/2028 |  | 559 |  | 517802 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series BB<br>3.90%, 03/15/2026<sup>(d)</sup> |  | 635 |  | 556673 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47201667 |
|  **Brokerage – 0.2%** | **Brokerage – 0.2%** | **Brokerage – 0.2%** | **Brokerage – 0.2%** | **Brokerage – 0.2%** |
|  Charles Schwab Corp. (The) <br>Series I <br>4.00%, 06/01/2026<sup>(d)</sup> |  | 1949 |  | 1690075 |
|  **Finance – 1.4%** | **Finance – 1.4%** | **Finance – 1.4%** | **Finance – 1.4%** | **Finance – 1.4%** |
|  Air Lease Corp.<br>2.875%, 01/15/2026 |  | 175 |  | 162038 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 04/01/2027 |  | 76 |  | 69307 |
|  Aircastle Ltd.<br>2.85%, 01/26/2028<sup>(c)</sup> |  | 2065 |  | 1689748 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 05/01/2024 |  | 359 |  | 346995 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/15/2026 | U.S.$| 128 | $| 120509 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 08/11/2025<sup>(c)</sup> |  | 906 |  | 872306 |
|  Aviation Capital Group LLC<br>1.95%, 01/30/2026<sup>(c)</sup> |  | 1131 |  | 985282 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 09/20/2026<sup>(c)</sup> |  | 390 |  | 329585 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/01/2027<sup>(c)</sup> |  | 318 |  | 278260 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 08/01/2025<sup>(c)</sup> |  | 10 |  | 9293 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 01/30/2024<sup>(c)</sup> |  | 312 |  | 304481 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 10/01/2025<sup>(c)</sup> |  | 350 |  | 329721 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/15/2024<sup>(c)</sup> |  | 879 |  | 862352 |
|  CDBL Funding 1 <br>3.50%, 10/24/2027<sup>(c)</sup> |  | 1460 |  | 1335929 |
|  Synchrony Financial<br>2.875%, 10/28/2031 |  | 1255 |  | 935276 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 12/01/2027 |  | 200 |  | 178534 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 07/23/2025 |  | 193 |  | 185483 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 06/13/2025 |  | 188 |  | 183405 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9178504 |
|  **Insurance – 0.7%** | **Insurance – 0.7%** | **Insurance – 0.7%** | **Insurance – 0.7%** | **Insurance – 0.7%** |
|  Elevance Health, Inc. <br>3.30%, 01/15/2023 |  | 33 |  | 32983 |
|  Guardian Life Insurance Co. of America (The) <br>4.85%, 01/24/2077<sup>(c)</sup> |  | 868 |  | 714355 |
|  Massachusetts Mutual Life Insurance Co. <br>3.729%, 10/15/2070<sup>(c)</sup> |  | 11 |  | 7298 |
|  MetLife Capital Trust IV <br>7.875%, 12/15/2037<sup>(c)</sup> |  | 970 |  | 1050054 |
|  MetLife, Inc. <br>10.75%, 08/01/2039 |  | 25 |  | 33403 |
|  Prudential Financial, Inc.<br>5.20%, 03/15/2044 |  | 462 |  | 444287 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 05/15/2045 |  | 139 |  | 134553 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 06/15/2043 |  | 289 |  | 284665 |
|  Swiss Re Finance Luxembourg SA <br>5.00%, 04/02/2049<sup>(c)</sup> |  | 1400 |  | 1294356 |
|  Voya Financial, Inc. <br>5.65%, 05/15/2053 |  | 742 |  | 728844 |
|  |  |  |  | 4724798 |
|  **REITs – 0.5%** | **REITs – 0.5%** | **REITs – 0.5%** | **REITs – 0.5%** | **REITs – 0.5%** |
|  American Tower Corp. <br>3.65%, 03/15/2027 |  | 845 |  | 790346 |
|  GLP Capital LP/GLP Financing II, Inc. <br>3.25%, 01/15/2032 |  | 1181 |  | 945036 |
|  Vornado Realty LP <br>3.40%, 06/01/2031 |  | 2003 |  | 1486226 |
|  |  |  |  | 3221608 |
|  |  |  |  | 66016652 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **Utility – 0.4%** | **Utility – 0.4%** | **Utility – 0.4%** | **Utility – 0.4%** |
|  **Electric – 0.3%** | **Electric – 0.3%** | **Electric – 0.3%** | **Electric – 0.3%** |
|  AES Panama Generation Holdings SRL <br>4.375%, 05/31/2030<sup>(c)</sup> | U.S.$| 487 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;419977 |
|  Chile Electricity Pec SpA <br>Zero Coupon, 01/25/2028<sup>(c)</sup> |  | 1040 | 743795 |
|  Duke Energy Carolinas NC Storm Funding LLC <br>Series A-2 <br>2.617%, 07/01/2041 |  | 920 | 672152 |
|  Engie Energia Chile SA <br>3.40%, 01/28/2030<sup>(c)</sup> |  | 981 | 796633 |
|  |  |  | 2632557 |
|  **Other Utility – 0.1%** | **Other Utility – 0.1%** | **Other Utility – 0.1%** | **Other Utility – 0.1%** |
|  American Water Capital Corp. <br>3.45%, 06/01/2029 |  | 438 | 399570 |
|  |  |  | 3032127 |
|  Total Corporates - Investment Grade <br>(cost $170,162,445) | Total Corporates - Investment Grade <br>(cost $170,162,445) | Total Corporates - Investment Grade <br>(cost $170,162,445) | 150184678 |
|  **MORTGAGE PASS-THROUGHS – 17.6%** |  |  |  |
|  **Agency Fixed Rate 30-Year – 17.0%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp.<br> Series 2019<br>3.50%, 10/01/2049 |  | 462 | 428514 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/01/2049 |  | 616 | 571398 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020<br>3.50%, 01/01/2050 |  | 1409 | 1309072 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022<br>2.00%, 03/01/2052 |  | 6433 | 5276181 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/01/2052 |  | 7548 | 6436126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/2052 |  | 4150 | 3672219 |
|  Federal Home Loan Mortgage Corp. Gold<br>Series 2005<br>5.50%, 01/01/2035 |  | 18 | 18646 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007<br>5.50%, 07/01/2035 |  | 138 | 141628 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016<br>4.00%, 02/01/2046 |  | 1018 | 986108 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017<br>4.00%, 07/01/2044 |  | 658 | 637013 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018<br>4.50%, 03/01/2048 |  | 327 | 321347 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/01/2048 |  | 641 | 631008 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/01/2048 |  | 975 | 960093 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/01/2048 |  | 354 | 357370 |
|  Federal National Mortgage Association<br>Series 2003<br>5.50%, 04/01/2033 |  | 112 | 114095 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 07/01/2033 |  | 211 | 215272 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2004<br>5.50%, 02/01/2034 |  | 2 | 2262 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/01/2034 |  | 52 | 52855 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 05/01/2034 |  | 43 | 43864 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 11/01/2034 |  | 197 | 201995 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005<br>5.50%, 02/01/2035 | U.S.$| 308 |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;315224 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006<br>5.50%, 04/01/2036 |  | 60 |  | 61721 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007<br>5.50%, 05/01/2036 |  | 3 |  | 2964 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 09/01/2036 |  | 2 |  | 1765 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 08/01/2037 |  | 76 |  | 78339 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2008<br>5.50%, 08/01/2037 |  | 0 | \*\* | 440 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2009<br>5.00%, 12/01/2039 |  | 11 |  | 11085 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2010<br>4.00%, 12/01/2040 |  | 413 |  | 400038 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 06/01/2040 |  | 10 |  | 10549 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2012<br>3.50%, 02/01/2042 |  | 366 |  | 342752 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/01/2042 |  | 3788 |  | 3544680 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/01/2043 |  | 637 |  | 596225 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013<br>3.50%, 04/01/2043 |  | 2187 |  | 2048361 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/01/2043 |  | 1445 |  | 1397035 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015<br>3.00%, 05/01/2045 |  | 530 |  | 479104 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 08/01/2045 |  | 809 |  | 730171 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018<br>4.50%, 09/01/2048 |  | 1387 |  | 1364305 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019<br>3.50%, 08/01/2049 |  | 1774 |  | 1645000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/01/2049 |  | 679 |  | 629487 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/01/2049 |  | 1273 |  | 1180654 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020<br>3.50%, 01/01/2050 |  | 1299 |  | 1204508 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021<br>2.00%, 07/01/2051 |  | 6680 |  | 5472558 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/01/2052 |  | 2111 |  | 1801574 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022<br>2.50%, 03/01/2052 |  | 4614 |  | 3923438 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/01/2052 |  | 4917 |  | 4187914 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 05/01/2052 |  | 6271 |  | 5341075 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/01/2052 |  | 5117 |  | 4528037 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/2052 |  | 6448 |  | 5706468 |
|  Government National Mortgage Association<br>4.00%, 01/01/2053, TBA |  | 3275 |  | 3100333 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/01/2053, TBA |  | 7442 |  | 7221132 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016<br>3.00%, 04/20/2046 |  | 173 |  | 156998 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/20/2046 |  | 501 |  | 454243 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023<br>3.00%, 01/01/2053, TBA |  | 1480 |  | 1318311 |
|  Uniform Mortgage-Backed Security<br>Series 2023<br>2.00%, 01/01/2053, TBA |  | 13171 |  | 10750418 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/01/2053, TBA |  | 16798 |  | 14241628 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/01/2053, TBA |  | 3449 |  | 3029909 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/01/2053, TBA |  | 5776 |  | 5421979 |
|  |  |  |  | 115077488 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | | **U.S. $ Value** |
|  **Agency Fixed Rate 15-Year – 0.6%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association<br> Series 2016<br>2.50%, 10/01/2031 | U.S.$ | 46 |  | $43318 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 11/01/2031 |  | 2529 |  | 2367574 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 12/01/2031 |  | 12 |  | 11489 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017<br>2.50%, 01/01/2032 |  | 687 |  | 642954 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/01/2032 |  | 616 |  | 576436 |
|  |  |  |  | 3641771 |
|  **Other Agency Fixed Rate Programs – 0.0%** |  |  |  |  |
|  Federal National Mortgage Association <br>Series 2005 <br>5.50%, 03/01/2025 |  | 17 |  | 17178 |
|  **Agency ARMs – 0.0%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. Gold<br> Series 2006 4.595%<br>(LIBOR 12 Month + 2.18%), 12/01/2036<sup>(e)</sup> |  | 0 | \*\*  | 122 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007<br>2.60% (LIBOR 12 Month + 2.10%), 03/01/2037<sup>(e)</sup> |  | 0 | \*\* | 360 |
|  Federal National Mortgage Association |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007<br>1.835% (LIBOR 12 Month + 1.46%), 02/01/2037<sup>(e)</sup> |  | 1 |  | 984 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.52% (LIBOR 12 Month + 1.80%), 03/01/2037<sup>(e)</sup> |  | 0 | \*\* | 446 |
|  |  |  |  | 1912 |
|  Total Mortgage Pass-Throughs <br>(cost $126,858,328) |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;118738349 |
|  **COLLATERALIZED MORTGAGE OBLIGATIONS – 7.9%** |  |  |  |  |
|  **Risk Share Floating Rate – 6.8%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Bellemeade Re Ltd.<br> Series 2019-1A, Class M1B<br>6.139% (LIBOR 1 Month + 1.75%), 03/25/2029<sup>(c) (e)</sup> |  | 115 |  | 114596 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class M1B<br>5.989% (LIBOR 1 Month + 1.60%), 07/25/2029<sup>(c) (e)</sup> |  | 119 |  | 119115 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class M1C<br>6.339% (LIBOR 1 Month + 1.95%), 07/25/2029<sup>(c) (e)</sup> |  | 300 |  | 297259 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class M1C<br>6.878% (SOFR + 2.95%), 03/25/2031<sup>(c) (e)</sup> |  | 1036 |  | 990143 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class M1B<br>5.428% (SOFR + 1.50%), 06/25/2031<sup>(c) (e)</sup> |  | 1892 |  | 1816824 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class A2<br>4.928% (SOFR + 1.00%), 09/25/2031<sup>(c) (e)</sup> | U.S.$| 1894 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1794648 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class M1B<br>6.078% (SOFR + 2.15%), 01/26/2032<sup>(c) (e)</sup> |  | 1000 | 952191 |
|  Connecticut Avenue Securities Trust<br>Series 2022-R06, Class 1M1<br>6.678% (SOFR + 2.75%), 05/25/2042<sup>(c) (e)</sup> |  | 1464 | 1482735 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R07, Class 1M1<br>6.894% (SOFR + 2.95%), 06/25/2042<sup>(c) (e)</sup> |  | 1975 | 1992265 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R03, Class 1M1<br>4.778% (SOFR + 0.85%), 12/25/2041<sup>(c) (e)</sup> |  | 1843 | 1807761 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R01, Class 1M2<br>5.828% (SOFR + 1.90%), 12/25/2041<sup>(c) (e)</sup> |  | 2306 | 2189626 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R02, Class 2M1<br>5.128% (SOFR + 1.20%), 01/25/2042<sup>(c) (e)</sup> |  | 1739 | 1700394 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R03, Class 1M2<br>7.428% (SOFR + 3.50%), 03/25/2042<sup>(c) (e)</sup> |  | 1545 | 1563855 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R05, Class 2M2<br>6.928% (SOFR + 3.00%), 04/25/2042<sup>(c) (e)</sup> |  | 1206 | 1167843 |
|  Eagle Re Ltd.<br>Series 2018-1, Class M2<br>7.389% (LIBOR 1 Month + 3.00%), 11/25/2028<sup>(c) (e)</sup> |  | 217 | 217587 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class M1B<br>5.978% (SOFR + 2.05%), 04/25/2034<sup>(c) (e)</sup> |  | 650 | 632938 |
|  Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes<br>Series 2022-DNA4, Class M1B<br>7.278% (SOFR + 3.35%), 05/25/2042<sup>(c) (e)</sup> |  | 1358 | 1365018 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-DNA1, Class M3<br>7.689% (LIBOR 1 Month + 3.30%), 10/25/2027<sup>(e)</sup> |  | 272 | 274954 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DNA5, Class M2<br>6.728% (SOFR + 2.80%), 10/25/2050<sup>(c) (e)</sup> |  | 595 | 599682 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA3, Class M2<br>6.028% (SOFR + 2.10%), 10/25/2033<sup>(c) (e)</sup> |  | 779 | 763427 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA5, Class M2<br>5.578% (SOFR + 1.65%), 01/25/2034<sup>(c) (e)</sup> |  | 609 | 601046 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA6, Class M2<br>5.428% (SOFR + 1.50%), 10/25/2041<sup>(c) (e)</sup> | U.S.$| 2513 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2387550 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA7, Class M2<br>5.728% (SOFR + 1.80%), 11/25/2041<sup>(c) (e)</sup> |  | 2412 | 2264865 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA4, Class M2<br>6.278% (SOFR + 2.35%), 12/25/2041<sup>(c) (e)</sup> |  | 1530 | 1350245 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA1, Class M1A<br>4.928% (SOFR + 1.00%), 01/25/2042<sup>(c) (e)</sup> |  | 904 | 880660 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA1, Class M1B<br>5.778% (SOFR + 1.85%), 01/25/2042<sup>(c) (e)</sup> |  | 1223 | 1160696 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA2, Class M1B<br>6.328% (SOFR + 2.40%), 02/25/2042<sup>(c) (e)</sup> |  | 1717 | 1669678 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA3, Class M1B<br>6.828% (SOFR + 2.90%), 04/25/2042<sup>(c) (e)</sup> |  | 711 | 702857 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA5, Class M1B<br>8.428% (SOFR + 4.50%), 06/25/2042<sup>(c) (e)</sup> |  | 2274 | 2377282 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA6, Class M1A<br>6.078% (SOFR + 2.15%), 09/25/2042<sup>(c) (e)</sup> |  | 748 | 748138 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA7, Class M1A<br>6.428% (SOFR + 2.50%), 03/25/2052<sup>(c) (e)</sup> |  | 2005 | 2011645 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HQA1, Class M1B<br>7.428% (SOFR + 3.50%), 03/25/2042<sup>(c) (e)</sup> |  | 399 | 395612 |
|  Federal National Mortgage Association Connecticut Avenue Securities<br>Series 2015-C04, Class 1M2<br>10.089% (LIBOR 1 Month + 5.70%), 04/25/2028<sup>(e)</sup> |  | 117 | 123027 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R02, Class 2M2<br>5.928% (SOFR + 2.00%), 11/25/2041<sup>(c) (e)</sup> |  | 1071 | 995744 |
|  Home Re Ltd. <br>Series 2021-2, Class M1B <br>5.528% (SOFR + 1.60%), 01/25/2034<sup>(c) (e)</sup> |  | 1162 | 1133965 |
|  JPMorgan Madison Avenue Securities Trust <br>Series 2014-CH1, Class M2 <br>8.639% (LIBOR 1 Month + 4.25%), 11/25/2024<sup>(e) (f)</sup> |  | 45 | 43358 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** | **U.S. $ Value** |
|  Oaktown Re VII Ltd. <br>Series 2021-2, Class M1A <br>5.528% (SOFR + 1.60%), 04/25/2034<sup>(c) (e)</sup> | U.S.$| 1767 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1704671 |
|  PMT Credit Risk Transfer Trust<br>Series 2019-2R, Class A<br>7.137% (LIBOR 1 Month + 2.75%), 05/27/2023<sup>(c) (e)</sup> |  | 720 |  | 688791 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3R, Class A<br>8.087% (LIBOR 1 Month + 3.70%), 11/27/2031<sup>(c) (e)</sup> |  | 60 |  | 57210 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1R, Class A<br>6.737% (LIBOR 1 Month + 2.35%), 02/27/2023<sup>(e) (f)</sup> |  | 233 |  | 220564 |
|  Radnor Re Ltd.<br>Series 2019-1, Class M1B<br>6.339% (LIBOR 1 Month + 1.95%), 02/25/2029<sup>(c) (e)</sup> |  | 909 |  | 898442 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class M1B<br>6.139% (LIBOR 1 Month + 1.75%), 06/25/2029<sup>(c) (e)</sup> |  | 116 |  | 115824 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class M1A<br>5.339% (LIBOR 1 Month + 0.95%), 01/25/2030<sup>(c) (e)</sup> |  | 96 |  | 95732 |
|  Traingle Re Ltd. <br>Series 2021-3, Class M1A <br>5.828% (SOFR + 1.90%), 02/25/2034<sup>(c) (e)</sup> |  | 1076 |  | 1070714 |
|  Wells Fargo Credit Risk Transfer Securities Trust<br>Series 2015-WF1, Class 1M2<br>9.639% (LIBOR 1 Month + 5.25%), 11/25/2025<sup>(e) (f)</sup> |  | 182 |  | 168439 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-WF1, Class 2M2<br>9.889% (LIBOR 1 Month + 5.50%), 11/25/2025<sup>(e) (f)</sup> |  | 46 |  | 43154 |
|  |  |  |  | 45752770 |
|  **Agency Fixed Rate – 0.6%** | **Agency Fixed Rate – 0.6%** | **Agency Fixed Rate – 0.6%** | **Agency Fixed Rate – 0.6%** | **Agency Fixed Rate – 0.6%** |
|  Federal Home Loan Mortgage Corp. REMICs<br>Series 4973, Class BI<br>4.50%, 05/25/2050<sup>(g)</sup> |  | 5227 |  | 1097998 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5015, Class BI<br>4.00%, 09/25/2050<sup>(g)</sup> |  | 3157 |  | 589991 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5034, Class BI<br>4.50%, 11/25/2050<sup>(g)</sup> |  | 4332 |  | 948004 |
|  Federal National Mortgage Association Grantor Trust <br>Series 2004-T5, Class AB4 <br>4.32%, 05/28/2035 |  | 283 |  | 256630 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** | **U.S. $ Value** |
|  Federal National Mortgage Association REMICs <br>Series 2020-89, Class KI <br>4.00%, 12/25/2050<sup>(g)</sup> | U.S.$| 6802 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1270387 |
|  |  |  |  | 4163010 |
|  **Agency Floating Rate – 0.3%** | **Agency Floating Rate – 0.3%** | **Agency Floating Rate – 0.3%** | **Agency Floating Rate – 0.3%** | **Agency Floating Rate – 0.3%** |
|  Federal Home Loan Mortgage Corp. REMICs<br>Series 4416, Class BS<br>1.782% (6.10% - LIBOR 1 Month), 12/15/2044<sup>(e) (h)</sup> |  | 1335 |  | 124188 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4693, Class SL<br>1.832% (6.15% - LIBOR 1 Month), 06/15/2047<sup>(e) (h)</sup> |  | 1464 |  | 155531 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4954, Class SL<br>1.661% (6.05% - LIBOR 1 Month), 02/25/2050<sup>(e) (h)</sup> |  | 2046 |  | 208850 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4981, Class HS<br>1.711% (6.10% - LIBOR 1 Month), 06/25/2050<sup>(e) (h)</sup> |  | 4480 |  | 432233 |
|  Federal National Mortgage Association REMICs<br>Series 2011-131, Class ST<br>2.151% (6.54% - LIBOR 1 Month), 12/25/2041<sup>(e) (h)</sup> |  | 780 |  | 99068 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-106, Class ES<br>1.611% (6.00% - LIBOR 1 Month), 01/25/2047<sup>(e) (h)</sup> |  | 1352 |  | 135638 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-73, Class SA<br>1.761% (6.15% - LIBOR 1 Month), 09/25/2047<sup>(e) (h)</sup> |  | 1711 |  | 201451 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-97, Class LS<br>1.811% (6.20% - LIBOR 1 Month), 12/25/2047<sup>(e) (h)</sup> |  | 1362 |  | 149734 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-97, Class SW<br>1.811% (6.20% - LIBOR 1 Month), 12/25/2047<sup>(e) (h)</sup> |  | 1242 |  | 129514 |
|  Government National Mortgage Association<br>Series 2017-43, Class ST<br>1.747% (6.10% - LIBOR 1 Month), 03/20/2047<sup>(e) (h)</sup> |  | 1741 |  | 183125 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-65, Class ST<br>1.797% (6.15% - LIBOR 1 Month), 04/20/2047<sup>(e) (h)</sup> |  | 1550 |  | 178591 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-134, Class SE<br>1.847% (6.20% - LIBOR 1 Month), 09/20/2047<sup>(e) (h)</sup> |  | 852 |  | 79100 |
|  |  |  |  | 2077023 |
|  **Non-Agency Floating Rate – 0.1%** | **Non-Agency Floating Rate – 0.1%** | **Non-Agency Floating Rate – 0.1%** | **Non-Agency Floating Rate – 0.1%** | **Non-Agency Floating Rate – 0.1%** |
|  Deutsche Alt-A Securities Mortgage Loan Trust<br>Series 2006-AR4, Class A2 <br>4.769% (LIBOR 1 MONTH + 0.38%), 12/25/2036<sup>(e)</sup> |  | 850 |  | 300827 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** | **U.S. $ Value** |
|  HomeBanc Mortgage Trust <br>Series 2005-1, Class A1 <br>4.889% (LIBOR 1 Month + 0.50%), 03/25/2035<sup>(e)</sup> | U.S.$| 150 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;124320 |
|  JPMorgan Chase Bank, NA <br>Series 2019-CL1, Class M3 <br>6.489% (LIBOR 1 Month + 2.10%), 04/25/2047<sup>(c) (e)</sup> |  | 189 |  | 181230 |
|  |  |  |  | 606377 |
|  **Non-Agency Fixed Rate – 0.1%** | **Non-Agency Fixed Rate – 0.1%** | **Non-Agency Fixed Rate – 0.1%** | **Non-Agency Fixed Rate – 0.1%** | **Non-Agency Fixed Rate – 0.1%** |
|  Alternative Loan Trust<br>Series 2005-20CB, Class 3A6<br>5.50%, 07/25/2035 |  | 63 |  | 44664 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-24CB, Class A16<br>5.75%, 08/25/2036 |  | 373 |  | 210400 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-28CB, Class A14<br>6.25%, 10/25/2036 |  | 288 |  | 158799 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-J1, Class 1A13<br>5.50%, 02/25/2036 |  | 164 |  | 116775 |
|  CHL Mortgage Pass-Through Trust <br>Series 2006-13, Class 1A19 <br>6.25%, 09/25/2036 |  | 73 |  | 30688 |
|  |  |  |  | 561326 |
|  Total Collateralized Mortgage Obligations <br>(cost $54,688,906) |  |  |  | 53160506 |
|  **ASSET-BACKED SECURITIES – 5.1%** | **ASSET-BACKED SECURITIES – 5.1%** | **ASSET-BACKED SECURITIES – 5.1%** | **ASSET-BACKED SECURITIES – 5.1%** | **ASSET-BACKED SECURITIES – 5.1%** |
|  **Other ABS - Fixed Rate – 2.7%** | **Other ABS - Fixed Rate – 2.7%** | **Other ABS - Fixed Rate – 2.7%** | **Other ABS - Fixed Rate – 2.7%** | **Other ABS - Fixed Rate – 2.7%** |
|  AB Issuer LLC <br>Series 2021-1, Class A2 <br>3.734%, 07/30/2051<sup>(c)</sup> |  | 2090 |  | 1666951 |
| &nbsp;&nbsp;&nbsp;&nbsp; Affirm Asset Securitization Trust<br>Series 2021-Z1, Class A<br>1.07%, 08/15/2025<sup>(c)</sup> |  | 338 |  | 328189 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-Z2, Class A<br>1.17%, 11/16/2026<sup>(c)</sup> |  | 368 |  | 352479 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-X1, Class A<br>1.75%, 02/15/2027<sup>(c)</sup> |  | 836 |  | 812507 |
|  Atalaya Equipment Leasing Trust <br>Series 2021-1A, Class B <br>2.08%, 02/15/2027<sup>(c)</sup> |  | 509 |  | 477180 |
|  BHG Securitization Trust <br>Series 2022-A, Class A <br>1.71%, 02/20/2035<sup>(c)</sup> |  | 239 |  | 223021 |
|  Cajun Global LLC <br>Series 2021-1, Class A2 <br>3.931%, 11/20/2051<sup>(c)</sup> |  | 438 |  | 371224 |
|  College Ave Student Loans LLC <br>Series 2021-C, Class B <br>2.72%, 07/26/2055<sup>(c)</sup> |  | 637 |  | 519505 |
|  Conn's Receivables Funding LLC <br>Series 2021-A, Class A <br>1.05%, 05/15/2026<sup>(c)</sup> |  | 2 |  | 2227 |

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------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Dext ABS LLC <br>Series 2021-1, Class B <br>1.76%, 02/15/2028<sup>(c)</sup> | U.S.$| 186 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;170140 |
|  Diamond Infrastructure Funding LLC <br>Series 2021-1A, Class B <br>2.355%, 04/15/2049<sup>(c)</sup> |  | 935 | 763014 |
|  Diamond Issuer <br>Series 2021-1A, Class A <br>2.305%, 11/20/2051<sup>(c)</sup> |  | 1941 | 1608626 |
|  Domino's Pizza Master Issuer LLC <br>Series 2021-1A, Class A2I <br>2.662%, 04/25/2051<sup>(c)</sup> |  | 1052 | 874913 |
|  FREED ABS Trust <br>Series 2021-2, Class C <br>1.94%, 06/19/2028<sup>(c)</sup> |  | 1760 | 1708526 |
|  GCI Funding I LLC <br>Series 2021-1, Class A <br>2.38%, 06/18/2046<sup>(c)</sup> |  | 631 | 535588 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hardee's Funding LLC<br> Series 2018-1A, Class A23<br>5.71%, 06/20/2048<sup>(c)</sup> |  | 780 | 717898 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A2<br>3.981%, 12/20/2050<sup>(c)</sup> |  | 480 | 410892 |
|  MVW LLC <br>Series 2021-2A, Class B <br>1.83%, 05/20/2039<sup>(c)</sup> |  | 826 | 740472 |
|  Neighborly Issuer <br>Series 2022-1A, Class A2 <br>3.695%, 01/30/2052<sup>(c)</sup> |  | 1998 | 1583609 |
|  Neighborly Issuer LLC <br>Series 2021-1A, Class A2 <br>3.584%, 04/30/2051<sup>(c)</sup> |  | 767 | 613959 |
| &nbsp;&nbsp;&nbsp;&nbsp; Nelnet Student Loan Trust<br> Series 2021-BA, Class B<br>2.68%, 04/20/2062<sup>(c)</sup> |  | 620 | 492541 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CA, Class B<br>2.53%, 04/20/2062<sup>(c)</sup> |  | 907 | 706272 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DA, Class B<br>2.90%, 04/20/2062<sup>(c)</sup> |  | 798 | 635828 |
|  NMEF Funding LLC <br>Series 2022-B, Class A2 <br>6.07%, 06/15/2029<sup>(c)</sup> |  | 639 | 637963 |
|  Upstart Securitization Trust <br>Series 2021-3, Class B <br>1.66%, 07/20/2031<sup>(c)</sup> |  | 1360 | 1264657 |
|  |  |  | 18218181 |
|  **Autos - Fixed Rate – 1.9%** |  |  |  |
|  ACM Auto Trust <br>Series 2022-1A, Class A <br>3.23%, 04/20/2029<sup>(c)</sup> |  | 496 | 494474 |
| &nbsp;&nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC<br> Series 2017-2A, Class D<br>4.56%, 03/20/2024<sup>(c)</sup> |  | 764 | 760966 |

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| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A<br>3.70%, 09/20/2024<sup>(c)</sup> | U.S.$| 1700 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1683157 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A<br>4.00%, 03/20/2025<sup>(c)</sup> |  | 1680 | 1651636 |
|  Carvana Auto Receivables Trust<br>Series 2021-N3, Class C<br>1.02%, 06/12/2028 |  | 775 | 749324 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-N4, Class D<br>2.30%, 09/11/2028 |  | 793 | 720011 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-P4, Class D<br>2.61%, 09/11/2028 |  | 989 | 780155 |
|  CPS Auto Receivables Trust<br>Series 2021-C, Class D<br>1.69%, 06/15/2027<sup>(c)</sup> |  | 1350 | 1236634 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class C<br>2.17%, 04/16/2029<sup>(c)</sup> |  | 1373 | 1281844 |
|  FHF Trust <br>Series 2021-2A, Class A <br>0.83%, 12/15/2026<sup>(c)</sup> |  | 508 | 483005 |
|  Ford Credit Auto Owner Trust <br>Series 2021-1, Class D <br>2.31%, 10/17/2033<sup>(c)</sup> |  | 1390 | 1208298 |
|  LAD Auto Receivables Trust <br>Series 2021-1A, Class A <br>1.30%, 08/17/2026<sup>(c)</sup> |  | 690 | 670886 |
|  Santander Bank Auto Credit-Linked Notes <br>Series 2022-A, Class B <br>5.281%, 05/15/2032<sup>(c)</sup> |  | 1271 | 1241237 |
|  |  |  | 12961627 |
|  **Credit Cards - Fixed Rate – 0.5%** |  |  |  |
|  Brex Commercial Charge Card Master Trust<br>Series 2021-1, Class A<br>2.09%, 07/15/2024<sup>(c)</sup> |  | 1021 | 1009923 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A<br>4.63%, 07/15/2025<sup>(c)</sup> |  | 1888 | 1828052 |
|  Mission Lane Credit Card Master Trust <br>Series 2021-A, Class B <br>2.24%, 09/15/2026<sup>(c)</sup> |  | 400 | 387324 |
|  |  |  | 3225299 |
|  **Home Equity Loans - Floating Rate – 0.0%** |  |  |  |
|  Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates <br>Series 2004-1, Class 1A <br>4.989% (LIBOR 1 Month + 0.60%), 04/25/2034<sup>(e)</sup> |  | 38 | 36322 |
|  Total Asset-Backed Securities <br>(cost $38,324,078) |  |  | 34441429 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **COMMERCIAL MORTGAGE-BACKED SECURITIES – 3.6%** |  |  |  |
|  **Non-Agency Floating Rate CMBS – 2.0%** |  |  |  |
|  AREIT Trust <br>Series 2022-CRE6, Class A <br>5.076% (SOFR + 1.25%), 01/16/2037<sup>(c) (e)</sup> | U.S.$| 3030 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2893801 |
|  Ashford Hospitality Trust <br>Series 2018-KEYS, Class A <br>5.318% (LIBOR 1 Month + 1.00%), 06/15/2035<sup>(c) (e)</sup> |  | 792 | 762427 |
|  BAMLL Commercial Mortgage Securities Trust <br>Series 2017-SCH, Class AF <br>5.318% (LIBOR 1 Month + 1.00%), 11/15/2033<sup>(c) (e)</sup> |  | 2435 | 2293635 |
|  BBCMS Mortgage Trust <br>Series 2020-BID, Class A <br>6.458% (LIBOR 1 Month + 2.14%), 10/15/2037<sup>(c) (e)</sup> |  | 1998 | 1928265 |
|  BFLD Trust <br>Series 2021-FPM, Class A <br>5.918% (LIBOR 1 Month + 1.60%), 06/15/2038<sup>(c) (e)</sup> |  | 2976 | 2838516 |
|  BX Commercial Mortgage Trust<br>Series 2019-IMC, Class D<br>6.218% (LIBOR 1 Month + 1.90%), 04/15/2034<sup>(c) (e)</sup> |  | 207 | 193948 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-IMC, Class E<br>6.468% (LIBOR 1 Month + 2.15%), 04/15/2034<sup>(c) (e)</sup> |  | 839 | 784785 |
|  CLNY Trust <br>Series 2019-IKPR, Class D <br>6.343% (LIBOR 1 Month + 2.02%), 11/15/2038<sup>(c) (e)</sup> |  | 1450 | 1340959 |
|  Federal Home Loan Mortgage Corp. Multifamily Structured Credit Risk <br>Series 2021-MN1, Class M1 <br>5.928% (SOFR + 2.00%), 01/25/2051<sup>(c) (e)</sup> |  | 182 | 170536 |
|  Natixis Commercial Mortgage Securities Trust <br>Series 2019-MILE, Class A <br>5.818% (LIBOR 1 MONTH + 1.5%), 07/15/2036<sup>(c) (e)</sup> |  | 666 | 637117 |
|  |  |  | 13843989 |
|  **Non-Agency Fixed Rate CMBS – 1.6%** |  |  |  |
|  BAMLL Commercial Mortgage Securities Trust <br>Series 2013-WBRK, Class D <br>3.534%, 03/10/2037<sup>(c)</sup> |  | 740 | 460886 |
|  Banc of America Commercial Mortgage Trust <br>Series 2015-UBS7, Class AS <br>3.989%, 09/15/2048 |  | 211 | 195600 |

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------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Citigroup Commercial Mortgage Trust <br>Series 2013-GC11, Class B <br>3.732%, 04/10/2046 | U.S.$| 1140 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1131545 |
| &nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage Trust<br> Series 2012-CR3, Class E<br>4.727%, 10/15/2045<sup>(c)</sup> |  | 889 | 523107 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-SFS, Class A1<br>1.873%, 04/12/2035<sup>(c)</sup> |  | 49 | 48776 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-LC21, Class XA<br>0.655%, 07/10/2048<sup>(g)</sup> |  | 2081 | 26497 |
| &nbsp;&nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust<br> Series 2011-GC5, Class D<br>5.154%, 08/10/2044<sup>(c)</sup> |  | 28 | 11399 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-G1, Class A2<br>3.557%, 04/10/2031<sup>(c)</sup> |  | 785 | 780105 |
| &nbsp;&nbsp;&nbsp;&nbsp; GSF<br> Series 2021-1, Class A1<br>1.433%, 08/15/2026<sup>(f) (i)</sup> |  | 1185 | 1100656 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A2<br>2.435%, 08/15/2026<sup>(f) (i)</sup> |  | 1801 | 1694509 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class AS<br>2.638%, 08/15/2026<sup>(f) (i)</sup> |  | 59 | 53530 |
|  HFX Funding Issuer <br>Series 2017-1A, Class A3 <br>3.647%, 03/15/2035<sup>(f)</sup> |  | 1690 | 1566360 |
|  JPMBB Commercial Mortgage Securities Trust<br>Series 2013-C14, Class D<br>4.548%, 08/15/2046<sup>(c)</sup> |  | 472 | 244398 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C22, Class XA<br>0.799%, 09/15/2047<sup>(g)</sup> |  | 5103 | 47875 |
|  JPMorgan Chase Commercial Mortgage Securities Trust <br>Series 2012-C6, Class E <br>4.964%, 05/15/2045<sup>(c)</sup> |  | 712 | 576504 |
|  LB-UBS Commercial Mortgage Trust <br>Series 2006-C6, Class AJ <br>5.452%, 09/15/2039 |  | 147 | 64475 |
|  LSTAR Commercial Mortgage Trust <br>Series 2016-4, Class A2 <br>2.579%, 03/10/2049<sup>(c)</sup> |  | 310 | 309903 |
| &nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley Bank of America Merrill Lynch Trust<br> Series 2014-C19, Class D<br>3.25%, 12/15/2047<sup>(c)</sup> |  | 603 | 510992 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C25, Class XA<br>1.044%, 10/15/2048<sup>(g)</sup> |  | 1912 | 37291 |
|  Wells Fargo Commercial Mortgage Trust <br>Series 2016-NXS6, Class C <br>4.386%, 11/15/2049 |  | 1030 | 896752 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  WF-RBS Commercial Mortgage Trust <br>Series 2014-C24, Class AS <br>3.931%, 11/15/2047 | U.S.$| 356 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;338967 |
|  |  |  | 10620127 |
|  Total Commercial Mortgage-Backed Securities <br>(cost $26,895,264) |  |  | 24464116 |
|  **COLLATERALIZED LOAN OBLIGATIONS – 3.1%** |  |  |  |
|  **CLO - Floating Rate – 3.1%** |  |  |  |
|  Balboa Bay Loan Funding Ltd. <br>Series 2021-1A, Class A <br>5.443% (LIBOR 3 Month + 1.20%), 07/20/2034<sup>(c) (e)</sup> |  | 1472 | 1435475 |
|  Dryden 78 CLO Ltd. <br>Series 2020-78A, Class C <br>6.029% (LIBOR 3 Month + 1.95%), 04/17/2033<sup>(c) (e)</sup> |  | 1260 | 1186163 |
|  Elevation CLO Ltd. <br>Series 2020-11A, Class C <br>6.279% (LIBOR 3 Month + 2.20%), 04/15/2033<sup>(c) (e)</sup> |  | 1080 | 983523 |
|  Elmwood CLO IX Ltd. <br>Series 2021-2A, Class A <br>5.373% (LIBOR 3 Month + 1.13%), 07/20/2034<sup>(c) (e)</sup> |  | 1500 | 1463590 |
|  Flatiron CLO 21 Ltd. <br>Series 2021-1A, Class A1 <br>5.337% (LIBOR 3 Month + 1.11%), 07/19/2034<sup>(c) (e)</sup> |  | 1130 | 1102368 |
|  Goldentree Loan Management US CLO 7 Ltd. <br>Series 2020-7A, Class AR <br>5.313% (LIBOR 3 Month + 1.07%), 04/20/2034<sup>(c) (e)</sup> |  | 1491 | 1448025 |
|  Neuberger Berman Loan Advisers CLO 43 Ltd. <br>Series 2021-43A, Class A <br>5.209% (LIBOR 3 Month + 1.13%), 07/17/2035<sup>(c) (e)</sup> |  | 1729 | 1689993 |
|  New Mountain CLO 3 Ltd. <br>Series CLO-3A, Class D <br>7.593% (LIBOR 3 Month + 3.35%), 10/20/2034<sup>(c) (e)</sup> |  | 250 | 230391 |
|  OCP CLO Ltd. <br>Series 2020-18A, Class AR <br>5.333% (LIBOR 3 Month + 1.09%), 07/20/2032<sup>(c) (e)</sup> |  | 1954 | 1910686 |
|  Pikes Peak CLO 8 <br>Series 2021-8A, Class A <br>5.413% (LIBOR 3 Month + 1.17%), 07/20/2034<sup>(c) (e)</sup> |  | 1907 | 1862647 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Rad CLO 7 Ltd. <br>Series 2020-7A, Class C <br>6.079% (LIBOR 3 Month + 2.00%), 04/17/2033<sup>(c) (e)</sup> | U.S.$| 570 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;540781 |
|  Rad CLO 11 Ltd. <br>Series 2021-11A, Class D <br>6.979% (LIBOR 3 Month + 2.90%), 04/15/2034<sup>(c) (e)</sup> |  | 950 | 887995 |
|  Regatta XX Funding Ltd. <br>Series 2021-2A, Class A <br>5.239% (LIBOR 3 Month + 1.16%), 10/15/2034<sup>(c) (e)</sup> |  | 2924 | 2842471 |
|  Rockford Tower CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class D<br>7.243% (LIBOR 3 Month + 3.00%), 07/20/2034<sup>(c) (e)</sup> |  | 1883 | 1732647 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A1<br>5.403% (LIBOR 3 Month + 1.16%), 07/20/2034<sup>(c) (e)</sup> |  | 1310 | 1272182 |
|  Voya CLO Ltd. <br>Series 2019-1A, Class DR <br>6.929% (LIBOR 3 Month + 2.85%), 04/15/2031<sup>(c) (e)</sup> |  | 480 | 416422 |
|  Total Collateralized Loan Obligations <br>(cost $21,888,048) |  |  | 21005359 |
|  **U.S. TREASURY BILLS – 2.5%** |  |  |  |
|  **United States – 2.5%** |  |  |  |
|  U.S. Treasury Bill <br>Zero Coupon, 05/18/2023 <br>(cost $16,932,212) |  | 17223 | 16929708 |
|  **CORPORATES - NON-INVESTMENT GRADE – 1.8%** |  |  |  |
|  **Industrial – 1.4%** |  |  |  |
|  **Capital Goods – 0.1%** |  |  |  |
|  TK Elevator Midco GmbH <br>4.375%, 07/15/2027<sup>(c)</sup> | EUR | 331 | 314082 |
|  **Communications - Media – 0.5%** |  |  |  |
|  Altice Financing SA <br>3.00%, 01/15/2028<sup>(c)</sup> |  | 540 | 455740 |
| &nbsp;&nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp.<br> 4.50%, 08/15/2030<sup>(c)</sup> | U.S.$ | 348 | 288151 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/01/2033<sup>(c)</sup> |  | 1243 | 957209 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/01/2032<sup>(c)</sup> |  | 260 | 210785 |
|  DISH DBS Corp. <br>5.75%, 12/01/2028<sup>(c)</sup> |  | 996 | 795575 |
|  Summer BC Holdco B SARL <br>5.75%, 10/31/2026<sup>(c)</sup> | EUR | 540 | 493059 |
|  VZ Vendor Financing II BV <br>2.875%, 01/15/2029<sup>(c)</sup> |  | 540 | 444850 |
|  |  |  | 3645369 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **Communications - Telecommunications – 0.1%** |  |  |  |
|  Altice France SA/France <br>3.375%, 01/15/2028<sup>(c)</sup> | EUR | 259 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;208667 |
|  Lorca Telecom Bondco SA <br>4.00%, 09/18/2027<sup>(c)</sup> |  | 540 | 516695 |
|  |  |  | 725362 |
|  **Consumer Cyclical - Automotive – 0.2%** |  |  |  |
|  Ford Motor Co. <br>6.10%, 08/19/2032 | U.S.$| 759 | 703183 |
|  Ford Motor Credit Co. LLC <br>7.35%, 11/04/2027 |  | 330 | 338151 |
|  |  |  | 1041334 |
|  **Consumer Cyclical - Entertainment – 0.3%** |  |  |  |
|  Carnival Corp. <br>4.00%, 08/01/2028<sup>(c)</sup> |  | 1545 | 1258696 |
|  Royal Caribbean Cruises Ltd. <br>8.25%, 01/15/2029<sup>(c)</sup> |  | 993 | 998660 |
|  |  |  | 2257356 |
|  **Consumer Cyclical - Other – 0.0%** |  |  |  |
|  NH Hotel Group SA <br>4.00%, 07/02/2026<sup>(c)</sup> | EUR | 190 | 186767 |
|  **Consumer Non-Cyclical – 0.1%** |  |  |  |
|  IQVIA, Inc. <br>2.25%, 03/15/2029<sup>(c)</sup> |  | 310 | 278905 |
|  Organon & Co./Organon Foreign Debt Co-Issuer BV <br>2.875%, 04/30/2028<sup>(c)</sup> |  | 320 | 299383 |
|  |  |  | 578288 |
|  **Services – 0.1%** |  |  |  |
|  APCOA Parking Holdings GmbH <br>4.625%, 01/15/2027<sup>(c)</sup> |  | 540 | 495729 |
|  **Technology – 0.0%** |  |  |  |
|  Playtech PLC <br>4.25%, 03/07/2026<sup>(c)</sup> |  | 310 | 312165 |
|  |  |  | 9556452 |
|  **Financial Institutions – 0.3%** |  |  |  |
|  **Banking – 0.3%** |  |  |  |
|  Credit Suisse Group AG<br>6.375%, 08/21/2026<sup>(c) (d)</sup> | U.S.$ | 355 | 255667 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 07/17/2023<sup>(c) (d)</sup> |  | 2366 | 1904725 |
|  |  |  | 2160392 |
|  **Utility – 0.1%** |  |  |  |
|  **Electric – 0.1%** |  |  |  |
|  Vistra Corp. <br>7.00%, 12/15/2026<sup>(c) (d)</sup> |  | 648 | 590724 |
|  Total Corporates - Non-Investment Grade <br>(cost $14,855,450) |  |  | 12307568 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 1.0%** |  |  |  |
|  **United States – 1.0%** |  |  |  |
|  Port Authority of New York & New Jersey<br>Series 2020-A<br>1.086%, 07/01/2023 | U.S.$ | 1000 | $982241 |
|  State Board of Administration Finance Corp.<br>Series 2020-A<br>1.705%, 07/01/2027 |  | 1634 | 1422671 |
|  State of California<br>Series 2010<br>7.625%, 03/01/2040 |  | 2040 | 2576277 |
|  Tobacco Settlement Finance Authority/WV<br>Series 2020<br>3.00%, 06/01/2035 |  | 529 | 474364 |
|  University of California<br>Series 2021-B<br>3.071%, 05/15/2051 |  | 2070 | 1384936 |
|  Total Local Governments - US Municipal Bonds <br>(cost $7,340,500) |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6840489 |
|  **EMERGING MARKETS - CORPORATE BONDS – 0.5%** |  |  |  |
|  **Industrial – 0.5%** |  |  |  |
|  **Basic – 0.1%** |  |  |  |
|  CSN Resources SA <br>4.625%, 06/10/2031<sup>(c)</sup> |  | 293 | 231342 |
|  Volcan Cia Minera SAA <br>4.375%, 02/11/2026<sup>(c)</sup> |  | 189 | 162516 |
|  |  |  | 393858 |
|  **Capital Goods – 0.1%** |  |  |  |
|  Embraer Netherlands Finance BV<br>5.40%, 02/01/2027 |  | 1025 | 981629 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 01/17/2028<sup>(c)</sup> |  | 537 | 535087 |
|  Odebrecht Holdco Finance Ltd. <br>Zero Coupon, 09/10/2058<sup>(c)</sup> |  | 417 | 500 |
|  |  |  | 1517216 |
|  **Communications - Media – 0.1%** |  |  |  |
|  Globo Comunicacao e Participacoes SA <br>4.875%, 01/22/2030<sup>(c)</sup> |  | 645 | 537890 |
|  **Consumer Cyclical - Other – 0.1%** |  |  |  |
|  Wynn Macau Ltd. <br>5.625%, 08/26/2028<sup>(c)</sup> |  | 730 | 616770 |
|  **Consumer Non-Cyclical – 0.1%** |  |  |  |
|  Natura & Co. Luxembourg Holdings SARL <br>6.00%, 04/19/2029<sup>(c)</sup> |  | 564 | 492196 |
|  |  |  | 3557930 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **Utility – 0.0%** |  |  |  |
|  **Electric – 0.0%** |  |  |  |
|  Terraform Global Operating LP <br>6.125%, 03/01/2026<sup>(f)</sup> | U.S.$| 117 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;108944 |
|  **Financial Institutions – 0.0%** |  |  |  |
|  **Other Finance – 0.0%** |  |  |  |
|  OEC Finance Ltd. <br>5.25%, 12/27/2033<sup>(c) (j)</sup> |  | 396 | 7908 |
|  Total Emerging Markets - Corporate Bonds <br>(cost $4,842,847) |  |  | 3674782 |
|  | **Shares** | **Shares** |  |
|  **COMMON STOCKS – 0.4%** |  |  |  |
|  **Financials – 0.4%** |  |  |  |
|  **Insurance – 0.4%** |  |  |  |
|  Mt. Logan Re Ltd. <br>(Preference Shares)<sup>(i) (k) (l)</sup> |  | 2267 | 2025520 |
|  Mt. Logan Re Ltd. <br>(Special Investment)<sup>(i) (k) (l)</sup> |  | 717 | 608423 |
|  Total Common Stocks <br>(cost $2,266,850) |  |  | 2633943 |
|  | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** |  |
|  **EMERGING MARKETS - SOVEREIGNS – 0.4%** |  |  |  |
|  **Dominican Republic – 0.3%** |  |  |  |
|  Dominican Republic International Bond <br>4.875%, 09/23/2032<sup>(c)</sup> | U.S.$| 1919 | 1586533 |
|  **Egypt – 0.1%** |  |  |  |
|  Egypt Government International Bond <br>5.875%, 02/16/2031<sup>(c)</sup> |  | 1070 | 739838 |
|  Total Emerging Markets - Sovereigns <br>(cost $2,951,031) |  |  | 2326371 |
|  **QUASI-SOVEREIGNS – 0.3%** |  |  |  |
|  **Quasi-Sovereign Bonds – 0.3%** |  |  |  |
|  **Indonesia – 0.1%** |  |  |  |
|  Perusahaan Perseroan Persero PT Perusahaan Listrik Negara <br>5.45%, 05/21/2028<sup>(c)</sup> |  | 447 | 438982 |
|  **Mexico – 0.2%** |  |  |  |
|  Comision Federal de Electricidad<br>3.348%, 02/09/2031<sup>(c)</sup> |  | 1685 | 1312510 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.688%, 05/15/2029<sup>(c)</sup> |  | 478 | 420580 |
|  |  |  | 1733090 |
|  Total Quasi-Sovereigns <br>(cost $2,608,883) |  |  | 2172072 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **AGENCIES – 0.3%** |  |  |  |
|  **Agency Debentures – 0.3%** |  |  |  |
|  Federal Home Loan Banks <br>2.50%, 02/13/2024 | U.S.$| 1465 | $1428712 |
|  Federal National Mortgage Association<br>6.25%, 05/15/2029 |  | 355 | 397686 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.625%, 11/15/2030 |  | 260 | 304893 |
|  Total Agencies <br>(cost $2,224,771) |  |  | 2131291 |
|  **GOVERNMENTS - SOVEREIGN BONDS – 0.1%** |  |  |  |
|  **Colombia – 0.1%** |  |  |  |
|  Colombia Government International Bond <br>3.125%, 04/15/2031 <br>(cost $693,998) |  | 696 | 515823 |
|  **SHORT-TERM INVESTMENTS – 4.2%** |  |  |  |
|  **U.S. Treasury Bills – 3.0%** |  |  |  |
|  U.S. Treasury Bill <br>Zero Coupon, 11/02/2023 <br>(cost $20,375,763) |  | 21167 | 20364915 |
|  | **Shares** | **Shares** |  |
|  **Investment Companies – 1.2%** |  |  |  |
|  AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 4.12%<sup>(m) (n) (o)</sup> <br>(cost $7,758,995) |  | 7758995 | 7758995 |
|  Total Short-Term Investments <br>(cost $28,134,758) |  |  | 28123910 |
|  **Total Investments – 106.8%** <br>(cost $795,493,790)<sup>(p)</sup> |  |  | 721867684 |
|  Other assets less liabilities – (6.8)% |  |  | (45699466) |
|  **Net Assets – 100.0%** |  |  | $**676168218** |

---

**FUTURES** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Number<br>of<br>Contracts** | **Expiration<br>Month** | **Current<br>Notional** | **Value and<br>Unrealized<br>Appreciation<br>(Depreciation)** |
| **Purchased Contracts** |  |  |  |  |
|  U.S. Long Bond (CBT) Futures | &nbsp;&nbsp;&nbsp;&nbsp;45 | March 2023 | $5640469 | $(95979) |
|  U.S. T-Note 2 Yr (CBT) Futures | 156 | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31992187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37643 |
|  U.S. T-Note 5 Yr (CBT) Futures | &nbsp;&nbsp;&nbsp;&nbsp;92 | March 2023 | 9929531 | (61791) |
| **Sold Contracts** | **Sold Contracts** | **Sold Contracts** | **Sold Contracts** | **Sold Contracts** |
| 10 Yr Japan Bond (OSE) Futures | &nbsp;&nbsp;&nbsp;&nbsp;21 | March 2023 | 23275373 | 459290 |
|  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;339163 |

---

------

**FORWARD CURRENCY EXCHANGE CONTRACTS** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Contracts to<br>Deliver<br>(000)** | **Contracts to<br>Deliver<br>(000)** | **In Exchange<br>For<br>(000)** | **In Exchange<br>For<br>(000)** | **Settlement<br>Date** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| State Street Bank & Trust Co. | JPY | 445 | USD | 3 | 02/09/2023 | $(188) |
| UBS AG | EUR | 6562 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6927 | 02/27/2023 | (122985) |
|  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(123173) |

---

**CENTRALLY CLEARED CREDIT DEFAULT SWAPS** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **<br>Description** | **Fixed<br>Rate<br>(Pay)<br>Receive** | **Payment<br>Frequency** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<br>(000)** | **Notional<br>Amount<br>(000)** | **Market<br>Value** | **Upfront<br>Premiums**<br> **Paid/**<br> **(Received)** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| **Buy Contracts** | **Buy Contracts** | **Buy Contracts** | **Buy Contracts** | **Buy Contracts** | **Buy Contracts** | **Buy Contracts** | **Buy Contracts** | **Buy Contracts** |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-NAHY Series 39, 5 Year Index, 12/20/2027\* | 5.00% | Quarterly | 4.85% | USD | 18053 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(133188) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;510475 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(643663) |

---

*\** *Termination date* 

**CENTRALLY CLEARED INTEREST RATE SWAPS** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | **Rate Type** | **Rate Type** | | | | |
| **Notional**<br> **Amount**<br> **(000)** | **Notional**<br> **Amount**<br> **(000)** | <br>**Termination<br>Date** | **Payments<br>made<br>by the<br>Fund** | **Payments<br>received<br>by the<br>Fund** | <br>**Payment<br>Frequency<br>Paid/<br>Received** |<br>**Market<br>Value** |<br>**Upfront<br>Premiums<br>Paid/<br>(Received)** |<br>**Unrealized<br>Appreciation<br>(Depreciation)** |
| USD | 4950 | 12/13/2029 | 1.764% | 3 Month LIBOR | Semi-Annual/<br>Quarterly | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;652186 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;652186 |

---

------

**CREDIT DEFAULT SWAPS** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Swap Counterparty & <br>Referenced Obligation** | **Fixed<br>Rate<br>(Pay)<br>Receive** | **Payment<br>Frequency** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<br>(000)** | **Notional<br>Amount<br>(000)** | **Market<br>Value** | **Upfront<br>Premiums<br>Paid/<br>(Received)** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| **Sale Contracts** | **Sale Contracts** | **Sale Contracts** | **Sale Contracts** | **Sale Contracts** | **Sale Contracts** | **Sale Contracts** | **Sale Contracts** | **Sale Contracts** |
| Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00% | Monthly | &nbsp;&nbsp;&nbsp;&nbsp;7.50% | USD | 4 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1085) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(664) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(421) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 6 | (1550) | (759) | (791) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 16 | (3874) | (1498) | (2376) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 22 | (5425) | (2487) | (2938) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 27 | (6509) | (3360) | (3149) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 31 | (7595) | (4303) | (3292) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 28 | (6819) | (3438) | (3381) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 27 | (6664) | (3214) | (3450) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 32 | (7750) | (3861) | (3889) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 32 | (7750) | (3738) | (4012) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 73 | (17979) | (8242) | (9737) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 322 | (78888) | (37195) | (41693) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 403 | (98572) | (29678) | (68894) |
| Credit Suisse International | Credit Suisse International | Credit Suisse International | Credit Suisse International | Credit Suisse International | Credit Suisse International | Credit Suisse International | Credit Suisse International | Credit Suisse International |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 3 | (775) | (368) | (407) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 159 | (38902) | (11993) | (26909) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 205 | (50216) | (15810) | (34406) |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Swap Counterparty & <br>Referenced Obligation** | **Fixed<br>Rate<br>(Pay)<br>Receive** | **Payment<br>Frequency** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<br>(000)** | **Notional<br>Amount<br>(000)** | **Market<br>Value** | **Upfront<br>Premiums<br>Paid/<br>(Received)** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00% | Monthly | &nbsp;&nbsp;&nbsp;&nbsp;7.50% | USD | 246 | $(60135) | $(13615) | $(46520) |
| Goldman Sachs International | Goldman Sachs International | Goldman Sachs International | Goldman Sachs International | Goldman Sachs International | Goldman Sachs International | Goldman Sachs International | Goldman Sachs International | Goldman Sachs International |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 18 | (4340) | (2506) | (1834) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 20 | (4804) | (2342) | (2462) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 29 | (6974) | (3108) | (3866) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 29 | (6975) | (2619) | (4356) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 29 | (6974) | (2420) | (4554) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 176 | (43087) | (20640) | (22447) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 170 | (41537) | (13645) | (27892) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 386 | (94542) | (41110) | (53432) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 386 | (94542) | (41094) | (53448) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 602 | (147237) | (42790) | (104447) |
| JPMorgan Securities, LLC | JPMorgan Securities, LLC | JPMorgan Securities, LLC | JPMorgan Securities, LLC | JPMorgan Securities, LLC | JPMorgan Securities, LLC | JPMorgan Securities, LLC | JPMorgan Securities, LLC | JPMorgan Securities, LLC |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 37 | (9144) | (3392) | (5752) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 87 | (21389) | (10376) | (11013) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 214 | (52385) | (24638) | (27747) |
| Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00% | Monthly | 7.50% | USD | 234 | (57190) | (15331) | (41859) |
|  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;(991608) | $&nbsp;&nbsp;&nbsp;&nbsp;(370234) | $&nbsp;&nbsp;&nbsp;&nbsp;(621374) |

---

*\** *Termination date* 

------

*\*\** *Principal amount less than 500.* 

*(a)* *Position, or a portion thereof, has been segregated to collateralize margin requirements for open centrally cleared swaps.* 

*(b)* *Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.* 

*(c)* *Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At December 31, 2022, the aggregate market value of these securities amounted to $185,882,566 or 27.5% of net assets.* 

*(d)* *Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.* 

*(e)* *Floating Rate Security. Stated interest/floor/ceiling rate was in effect at December 31, 2022.* 

*(f)* *Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.74% of net assets as of December 31, 2022, are considered illiquid and restricted. Additional information regarding such securities follows:* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **144A/Restricted & Illiquid Securities** | **Acquisition<br>Date** | **Cost** | | **Market<br>Value** | | **Percentage<br>of<br>Net Assets** |
|  *GSF<br>Series 2021-1, Class A1 <br>1.433%, 08/15/2026* | *02/25/2021* | $*1150410* | | $*1100656* | | *0.16%* |
|  *GSF<br>Series 2021-1, Class A2 <br>2.435%, 08/15/2026* | *02/25/2021* | *1844184* | | *1694509* | | *0.25%* |
|  *GSF<br>Series 2021-1, Class AS <br>2.638%, 08/15/2026* | *02/25/2021* | *60198* | | *53530* | | *0.01%* |
|  *HFX Funding Issuer<br>Series 2017-1A, Class A3 <br>3.647%, 03/15/2035* | *11/19/2020* | *1798409* | | *1566360* | | *0.23%* |
|  *JPMorgan Madison Avenue Securities Trust<br>Series 2014-CH1, Class M2 <br>8.639%, 11/25/2024* | *11/06/2015* | *44796* | | *43358* | | *0.01%* |
|  *PMT Credit Risk Transfer Trust<br>Series 2020-1R, Class A <br>6.737%, 02/27/2023* | *02/11/2020* | *233180* | | *220564* | | *0.03%* |
|  *Terraform Global Operating LP <br>6.125%, 03/01/2026* | *02/08/2018* | *117000* | | *108944* | | *0.02%* |
|  *Wells Fargo Credit Risk Transfer Securities Trust<br>Series 2015-WF1, Class 1M2 <br>9.639%, 11/25/2025* | *09/28/2015* | *182113* | | *168439* | | *0.02%* |
|  *Wells Fargo Credit Risk Transfer Securities Trust<br>Series 2015-WF1, Class 2M2 <br>9.889%, 11/25/2025* | *09/28/2015* | *45476* | | *43154* | | *0.01%* |

---

------

*(g)* *IO - Interest Only.* 

*(h)* *Inverse interest only security.* 

*(i)* *Security in which significant unobservable inputs (Level 3) were used in determining fair value.* 

*(j)* *Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at December 31, 2022.* 

*(k)* *Fair valued by the Adviser.* 

*(l)* *Non-income producing security.* 

*(m)* *Affiliated investments.* 

*(n)* *To obtain a copy of the fund's shareholder report, please go to the Securities and Exchange Commission's website at www.sec.gov, or call AB at (800) 227-4618.* 

*(o)* *The rate shown represents the 7-day yield as of period end.* 

*(p)* *As of December 31, 2022, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $3,698,218 and gross unrealized depreciation of investments was $(77,721,185), resulting in net unrealized depreciation of $(74,022,967).* 

*Currency Abbreviations:* 

*EUR – Euro* 

*JPY – Japanese Yen* 

*USD – United States Dollar* 

*Glossary:* 

*ABS – Asset-Backed Securities* 

*ARMs – Adjustable Rate Mortgages* 

*CBT – Chicago Board of Trade* 

*CDX-CMBX.NA – North American Commercial Mortgage-Backed Index* 

*CDX-NAHY – North American High Yield Credit Default Swap Index* 

*CLO – Collateralized Loan Obligations* 

*CMBS – Commercial Mortgage-Backed Securities* 

*LIBOR – London Interbank Offered Rate* 

*OSE – Osaka Securities Exchange* 

*REIT – Real Estate Investment Trust* 

*REMICs – Real Estate Mortgage Investment Conduits* 

*SOFR – Secured Overnight Financing Rate* 

*TBA – To Be Announced* 

------

**Sanford C. Bernstein Fund II, Inc.** 

**Intermediate Duration Institutional Portfolio** 

**December 31, 2022 (unaudited)** 

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio's own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 - quoted prices in active markets for identical investments

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates,
prepayment speeds, credit risk, etc.)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 - significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value
of investments)

The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.

Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

------

Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.

The following table summarizes the valuation of the Portfolio's investments by the above fair value hierarchy levels as of December 31, 2022:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities:** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Assets:** | **Assets:** | **Assets:** | **Assets:** | **Assets:** |
| Governments - Treasuries | $— | $242217290 | $— | $242217290 |
| Corporates - Investment Grade |  | 150184678 |  | 150184678 |
| Mortgage Pass-Throughs |  | 118738349 |  | 118738349 |
| Collateralized Mortgage Obligations |  | 53160506 |  | 53160506 |
| Asset-Backed Securities |  | 34441429 |  | 34441429 |
| Commercial Mortgage-Backed Securities |  | 21615421 | 2848695 | 24464116 |
| Collateralized Loan Obligations |  | 21005359 |  | 21005359 |
| U.S. Treasury Bills |  | 16929708 |  | 16929708 |
| Corporates - Non-Investment Grade |  | 12307568 |  | 12307568 |
| Local Governments - US Municipal Bonds |  | 6840489 |  | 6840489 |
| Emerging Markets - Corporate Bonds |  | 3674782 |  | 3674782 |
| Common Stocks |  |  | 2633943 | 2633943 |
| Emerging Markets - Sovereigns |  | 2326371 |  | 2326371 |
| Quasi-Sovereigns |  | 2172072 |  | 2172072 |
| Agencies |  | 2131291 |  | 2131291 |
| Governments - Sovereign Bonds |  | 515823 |  | 515823 |
| Short-Term Investments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 20364915 |  | 20364915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | 7758995 |  |  | 7758995 |
| Total Investments in Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7758995 | 708626051 | 5482638 | 721867684 |
| **Other Financial Instruments<sup>(a)</sup>:** |  |  |  |  |
| **Assets:** | **Assets:** | **Assets:** | **Assets:** | **Assets:** |
| Futures | 496933 |  |  | 496933 |
| Centrally Cleared Interest Rate Swaps |  | 652186 |  | 652186 |
| **Liabilities:** | **Liabilities:** | **Liabilities:** | **Liabilities:** | **Liabilities:** |
| Futures | (157770) |  |  | (157770) |
| Forward Currency Exchange Contracts |  | (123173) |  | (123173) |
| Centrally Cleared Credit Default Swaps |  | (133188) |  | (133188) |
| Credit Default Swaps |  | (991608) |  | (991608) |
| **Total** | $**8098158** | $**708030268** | $**5482638** | $**721611064** |

---

*<sup>(a)</sup>* *Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value.* 

------

A summary of the Portfolio's transactions in AB mutual funds for the three months ended December 31, 2022 is as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Portfolio** | **Market Value<br>09/30/2022<br>(000)** | **Purchases<br>at Cost<br>(000)** | **Sales<br>Proceeds<br>(000)** | **Market Value<br>12/31/2022<br>(000)** | **Dividend<br>Income<br>(000)** |
| Government Money Market Portfolio | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7114 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50804 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50159 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7759 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45 |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BERNSTEIN SANFORD C FUND II INC

- **b. Investment Company Act file number:** 811-21034

- **c. CIK number of Registrant:** 0001166729

- **d. LEI of Registrant:** 549300XBDNFQ7T12YS53

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

  - **Street Address 1:** ALLIANCEBERNSTEIN LP

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10105

  - **Telephone number:** 212-969-1000

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

- **a. Name of Series:** Bernstein Intermediate Duration Institutional Portfolio

- **b. EDGAR series identifier (if any):** S000011063

- **c. LEI of Series:** 549300XBDNFQ7T12YS53

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

- **a. Date of fiscal year-end:** 2023-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $723490896.49

**Total Liabilities:** $48027352.23

**Net Assets:** $675463544.26

**Cash Not Reported:** $72231.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1909.32000000 | **1-Year:** -2060.52000000 | **5-Year:** -8823.80000000 | **10-Year:** -4622.61000000 | **30-Year:** -9553.39000000

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

- **3-Month:** -32148.29000000 | **1-Year:** -33183.97000000 | **5-Year:** -80844.46000000 | **10-Year:** -59012.99000000 | **30-Year:** -77468.18000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030507 | -1.58%               | 3.47%                | 0.08%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-9202981.59             | $-1905797.64                               |
| Month 2  | $-8810180.26             | $30443750.24                               |
| Month 3  | $330465.07               | $-2799130.94                               |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU:IND

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LOAN BANK                            | Federal Home Loan Banks                                                                                                        | CUSIP: 3130AFW94<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1465000 | PA      | $1428711.95   | 0.21%             | 2024-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                           | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1652000 | PA      | $1579460.68   | 0.23%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140XGCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4613989 | PA      | $3923437.86   | 0.58%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                            | CCO Holdings LLC / CCO Holdings Capital Corp                                                                                   | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1243000 | PA      | $957209.44    | 0.14%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Alliance Bernstein                                | AB Fixed Income Shares, Inc. - Government Money Market Portfolio                                                               | CUSIP: 018616748<br>LEI: 5493006YWHO7MNK2U579 | Long             | STIV             | RF                | US        |   7758996 | NS      | $7758995.50   | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2022-R02                                                                                   | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1738642 | PA      | $1700394.01   | 0.25%             | 2042-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4367100 | PA      | $4414182.80   | 0.65%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                 | Expedia Group Inc                                                                                                              | CUSIP: 30212PAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     49000 | PA      | $49353.78     | 0.01%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912828R36<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43356600 | PA      | $39949042.22  | 5.91%             | 2026-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140K3BF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1298781 | PA      | $1204507.93   | 0.18%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31412EJ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       988 | PA      | $983.89       | 0.00%             | 2037-02-01      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                            | Mizuho Financial Group Inc                                                                                                     | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1480000 | PA      | $1478786.40   | 0.22%             | 2028-09-13      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                    | Long: IS1IFA6   CDS USD R F  3.00000 IS1IFA6 CMBX / Short: IS1IFA6   CDS USD P V 01MEVENT IS1IFB7 CMBX                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |      4435 | OU      | $-1084.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LB-UBS Commercial Mortgage Trust                  | LB-UBS Commercial Mortgage Trust 2006-C6                                                                                       | CUSIP: 50179MAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147437 | PA      | $64475.02     | 0.01%             | 2039-09-15      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2021-B                                                                                               | CUSIP: 64034QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    620000 | PA      | $492540.59    | 0.07%             | 2062-04-20      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     51400 | PA      | $41666.13     | 0.01%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                          | Brex Commercial Charge Card Master Trust                                                                                       | CUSIP: 05601DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1888000 | PA      | $1828052.04   | 0.27%             | 2025-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912828YS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1386000 | PA      | $1211234.06   | 0.18%             | 2029-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8921000 | PA      | $8265864.06   | 1.22%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140QLGX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6680367 | PA      | $5472558.34   | 0.81%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 3133B93N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3385370 | PA      | $2882138.21   | 0.43%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| L Street Securities                               | JP Morgan Madison Avenue Securities Trust Series 2014-1                                                                        | CUSIP: 46643HAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44975 | PA      | $43358.28     | 0.01%             | 2024-11-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-20CB                                                                                               | CUSIP: 12667GQL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62757 | PA      | $44664.18     | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY LP                                 | Vornado Realty LP                                                                                                              | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              |  | US        |   2003000 | PA      | $1486226.00   | 0.22%             | 2031-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132Y3ZC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354431 | PA      | $357370.07    | 0.05%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38376MJL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1740880 | PA      | $183125.22    | 0.03%             | 2047-03-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AL2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    355000 | PA      | $255667.45    | 0.04%             | 2026-08-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Dext ABS                                          | Dext ABS 2021-1 LLC                                                                                                            | CUSIP: 23345CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186000 | PA      | $170139.56    | 0.03%             | 2028-02-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | Long: IS19123   CDS USD R F  3.00000 IS19123 CMBX-BBB--394233 / Short: IS19123   CDS USD P V 00MEVENT IS19134 CMBX-BBB--394233 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    601912 | OU      | $-147237.72   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                               | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    559000 | PA      | $517801.70    | 0.08%             | 2028-05-22      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| VOLCAN CIA MINERA SAA-CM                          | Volcan Cia Minera SAA                                                                                                          | CUSIP: 92863UAB2<br>LEI: 549300XKJ91C4SZLG750 | Long             | DBT              | CORP              | PE        |    189000 | PA      | $162516.38    | 0.02%             | 2026-02-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                              | Colombia Government International Bond                                                                                         | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    696000 | PA      | $515823.00    | 0.08%             | 2031-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140E6KV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51161 | PA      | $46182.18     | 0.01%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Federal National Mortgage Association                                                                                          | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    260000 | PA      | $304892.89    | 0.05%             | 2030-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                     | CUSIP: 05369AAL5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    390000 | PA      | $329585.10    | 0.05%             | 2026-09-20      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Discover Bank                                     | Discover Bank                                                                                                                  | CUSIP: 25466AAN1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    386000 | PA      | $371517.28    | 0.06%             | 2028-08-09      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                                                                        | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   2687000 | PA      | $2284191.83   | 0.34%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 31346YA29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461897 | PA      | $428513.76    | 0.06%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                       | Balboa Bay Loan Funding 2021-1 Ltd                                                                                             | CUSIP: 05765XAA9<br>LEI: 549300G0EX8VHFWPJW18 | Long             | ABS-CBDO         | CORP              | KY        |   1472447 | PA      | $1435475.33   | 0.21%             | 2034-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    749000 | PA      | $602974.96    | 0.09%             | 2023-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38380B6Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1550064 | PA      | $178591.03    | 0.03%             | 2047-04-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| WEIBO CORP                                        | Weibo Corp                                                                                                                     | CUSIP: 948596AE1<br>LEI: 549300Q9ID4640FE0422 | Long             | DBT              | CORP              | KY        |   3313000 | PA      | $2524713.06   | 0.37%             | 2030-07-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LORCA TELECOM BONDCO                              | Lorca Telecom Bondco SA                                                                                                        | CUSIP: 000000000<br>LEI: 9598004HFBAS82YM7X35 | Long             | DBT              | CORP              | ES        |    540000 | PA      | $516695.05    | 0.08%             | 2027-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                                                                         | CUSIP: 853254CL2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    895000 | PA      | $923210.40    | 0.14%             | 2025-11-16      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140JXTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1273489 | PA      | $1180653.80   | 0.17%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                  | Bellemeade Re 2019-3 Ltd                                                                                                       | CUSIP: 07877GAB5<br>LEI: 254900SCWI9IDKK5LV64 | Long             | ABS-MBS          | CORP              | BM        |    119174 | PA      | $119114.75    | 0.02%             | 2029-07-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1998100 | PA      | $1377752.39   | 0.20%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                              | Parker-Hannifin Corp                                                                                                           | CUSIP: 701094AN4<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    743000 | PA      | $664189.99    | 0.10%             | 2029-06-14      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2021-R03                                                                                   | CUSIP: 20754AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1843069 | PA      | $1807761.07   | 0.27%             | 2041-12-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                 | HSBC Holdings PLC                                                                                                              | CUSIP: 404280AT6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1407000 | PA      | $1365648.27   | 0.20%             | 2025-03-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                            | Egypt Government International Bond                                                                                            | CUSIP: 03846JAB6<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   1070000 | PA      | $739838.13    | 0.11%             | 2031-02-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                  | NMEF Funding 2022-B LLC                                                                                                        | CUSIP: 62890MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    639000 | PA      | $637963.48    | 0.09%             | 2029-06-15      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-DNA6                                                                                        | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2513292 | PA      | $2387549.99   | 0.35%             | 2041-10-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                       | Vistra Corp                                                                                                                    | CUSIP: 92840MAC6<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |    648000 | PA      | $590723.28    | 0.09%             | 2026-12-15      | Fixed         | 7.00%                 | 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        |   1181000 | PA      | $945036.20    | 0.14%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                | Dominican Republic International Bond                                                                                          | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   1919000 | PA      | $1586533.25   | 0.23%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| University of California                          | UNIV OF CALIFORNIA CA REVENUES                                                                                                 | CUSIP: 91412HKE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2070000 | PA      | $1384936.19   | 0.21%             | 2051-05-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                  | Altria Group Inc                                                                                                               | CUSIP: 02209SBJ1<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1745000 | PA      | $1489601.80   | 0.22%             | 2030-05-06      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2013-C14                                                                            | CUSIP: 46640LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    472496 | PA      | $244398.04    | 0.04%             | 2046-08-15      | Variable      | 4.55%                 | 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      | $-188.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                                                                            | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    275000 | PA      | $217335.25    | 0.03%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GSF 2021 1 ISSUER LLC                             | GSF 2021 1 ISSUER LLC                                                                                                          | CUSIP: 36261CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1801000 | PA      | $1694508.67   | 0.25%             | 2026-08-15      | Variable      | 2.44%                 | No            |                  3 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE6 Trust                                                                                                          | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   3030312 | PA      | $2893800.78   | 0.43%             | 2037-01-16      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                     | CUSIP: 05367AAH6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    350000 | PA      | $329721.00    | 0.05%             | 2025-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2022-R06                                                                                   | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1464494 | PA      | $1482734.65   | 0.22%             | 2042-05-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                                                      | CUSIP: 3128NHRW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       121 | PA      | $122.03       | 0.00%             | 2036-12-01      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                            | General Motors Financial Co Inc                                                                                                | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    171000 | PA      | $153499.86    | 0.02%             | 2029-04-06      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                                                                    | CUSIP: 38141GYU2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    764000 | PA      | $635663.28    | 0.09%             | 2026-11-10      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-28CB                                                                                               | CUSIP: 02147TAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287759 | PA      | $158798.60    | 0.02%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2021-D                                                                                               | CUSIP: 64034YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    798000 | PA      | $635828.37    | 0.09%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31417EJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636509 | PA      | $596225.35    | 0.09%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31410KA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       428 | PA      | $440.43       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                    | Long: IS1D6Z3   CDS USD R F  3.00000 IS1D6Z3 CMBX-BBB--413146 / Short: IS1D6Z3   CDS USD P V 00MEVENT IS1D705 CMBX-BBB--413146 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     27878 | OU      | $-6819.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                                                                            | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2339000 | PA      | $2043186.67   | 0.30%             | 2028-01-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31402QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65418 | PA      | $67134.45     | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8105000 | PA      | $7656692.19   | 1.13%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | Long: IS1CJQ2   CDS USD R F  3.00000 IS1CJQ2 CMBX-BBB--410410 / Short: IS1CJQ2   CDS USD P V 00MEVENT IS1CJR3 CMBX-BBB--410410 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |    386491 | OU      | $-94542.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                                                                | CUSIP: 95000KBH7<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |   1030000 | PA      | $896751.89    | 0.13%             | 2049-11-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                             | Time Warner Cable LLC                                                                                                          | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    505000 | PA      | $371180.05    | 0.05%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond - WI Reopening                                                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1934200 | PA      | $1907000.31   | 0.28%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810FP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3645900 | PA      | $4006502.30   | 0.59%             | 2031-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA7                                                                                        | CUSIP: 35564KL31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2004945 | PA      | $2011644.74   | 0.30%             | 2052-03-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132XXD22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326882 | PA      | $321346.49    | 0.05%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENA MASTER TRUST                                  | ENA Master Trust                                                                                                               | CUSIP: 29249BAA3<br>LEI: 549300CBCHB6Q73VG753 | Long             | DBT              | CORP              | PA        |    380000 | PA      | $254837.50    | 0.04%             | 2048-05-19      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2014-C22                                                                            | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5103190 | PA      | $47875.58     | 0.01%             | 2047-09-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31371L6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17246 | PA      | $17177.85     | 0.00%             | 2025-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                         | IQVIA Inc                                                                                                                      | CUSIP: 000000000<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    310000 | PA      | $278904.33    | 0.04%             | 2029-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                        | Cigna Corp                                                                                                                     | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    740000 | PA      | $713818.80    | 0.11%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | Long: IS1IYH6   CDS USD R F  3.00000 IS1IYH6 CMBX / Short: IS1IYH6   CDS USD P V 01MEVENT IS1IYI7 CMBX                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     17741 | OU      | $-4339.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                          | American Water Capital Corp                                                                                                    | CUSIP: 03040WAU9<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    438000 | PA      | $399569.88    | 0.06%             | 2029-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2019-IMC                                                                                          | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206696 | PA      | $193947.61    | 0.03%             | 2034-04-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                  | Altice France SA/France                                                                                                        | CUSIP: 000000000<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    259000 | PA      | $208666.74    | 0.03%             | 2028-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                     | AIB Group PLC                                                                                                                  | CUSIP: 00135TAC8<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   2855000 | PA      | $2905305.10   | 0.43%             | 2026-10-14      | Fixed         | 7.58%                 | No            |                  2 | On Loan: No      |
| MetLife Capital Trust IV                          | MetLife Capital Trust IV                                                                                                       | CUSIP: 591560AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    970000 | PA      | $1050054.10   | 0.16%             | 2037-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    387000 | PA      | $312260.63    | 0.05%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2021-3                                                                                            | CUSIP: 91679LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1360000 | PA      | $1264657.06   | 0.19%             | 2031-07-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                   | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1079000 | PA      | $943078.37    | 0.14%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA2                                                                                        | CUSIP: 35564KRF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1716861 | PA      | $1669677.88   | 0.25%             | 2042-02-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                    | Long: IS1XIP7   CDS USD R F  3.00000 IS1XIP7 CMBX / Short: IS1XIP7   CDS USD P V 01MEVENT IS1XIQ8 CMBX                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |    402964 | OU      | $-98571.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                                                                | CUSIP: 80281LAH8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1150000 | PA      | $1150000.00   | 0.17%             | 2024-01-05      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                  | Bellemeade Re 2022-1 Ltd                                                                                                       | CUSIP: 078774AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1000000 | PA      | $952191.00    | 0.14%             | 2032-01-26      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                  | Bellemeade Re Ltd                                                                                                              | CUSIP: 07876MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1036483 | PA      | $990142.88    | 0.15%             | 2031-03-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                    | ACM Auto Trust 2022-1                                                                                                          | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495746 | PA      | $494473.54    | 0.07%             | 2029-04-20      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                   | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    371000 | PA      | $332371.48    | 0.05%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | Long: IS1CJM8   CDS USD R F  3.00000 IS1CJM8 CMBX-BBB--410332 / Short: IS1CJM8   CDS USD P V 00MEVENT IS1CJN9 CMBX-BBB--410332 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |    386491 | OU      | $-94542.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                          | Celanese US Holdings LLC                                                                                                       | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   1494000 | PA      | $1493208.18   | 0.22%             | 2024-07-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                               | Synchrony Financial                                                                                                            | CUSIP: 87165BAS2<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    188000 | PA      | $183405.28    | 0.03%             | 2025-06-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust             | Mission Lane Credit Card Master Trust                                                                                          | CUSIP: 60510MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $387324.60    | 0.06%             | 2026-09-15      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                         | ONEOK Inc                                                                                                                      | CUSIP: 682680AW3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1012000 | PA      | $938427.60    | 0.14%             | 2029-03-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                         | ONEOK Inc                                                                                                                      | CUSIP: 682680AS2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1720000 | PA      | $1620119.60   | 0.24%             | 2027-07-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                        | LAD Auto Receivables Trust 2021-1                                                                                              | CUSIP: 501683AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    690351 | PA      | $670886.37    | 0.10%             | 2026-08-17      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                     | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    318000 | PA      | $278259.54    | 0.04%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HP INC                                            | HP Inc                                                                                                                         | CUSIP: 40434LAN5<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |   1907000 | PA      | $1793781.41   | 0.27%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Neighborly Issuer LLC                             | Neighborly Issuer LLC                                                                                                          | CUSIP: 64016NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    767296 | PA      | $613959.03    | 0.09%             | 2051-04-30      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138WJGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1130054 | PA      | $1057892.17   | 0.16%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2376900 | PA      | $1695769.59   | 0.25%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                  | WFRBS Commercial Mortgage Trust 2014-C24                                                                                       | CUSIP: 92939KAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355700 | PA      | $338966.84    | 0.05%             | 2047-11-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 3137FTV38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4480045 | PA      | $432232.50    | 0.06%             | 2050-06-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit          | Ford Credit Auto Owner Trust 2021-REV1                                                                                         | CUSIP: 345340AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1390000 | PA      | $1208297.53   | 0.18%             | 2033-10-17      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 30711XBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116630 | PA      | $123027.23    | 0.02%             | 2028-04-25      | Floating      | 10.09%                | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1865000 | PA      | $1294981.40   | 0.19%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                  | Bellemeade RE 2021-3 Ltd                                                                                                       | CUSIP: 078777AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1893917 | PA      | $1794648.29   | 0.27%             | 2031-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138EHUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366240 | PA      | $342751.70    | 0.05%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6                                                                   | CUSIP: 46634SAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    712127 | PA      | $576503.69    | 0.09%             | 2045-05-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                    | Long: IS1S4L0   CDS USD R F  3.00000 IS1S4L0 CMBX / Short: IS1S4L0   CDS USD P V 01MEVENT IS1S4M1 CMBX                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     22176 | OU      | $-5424.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    190000 | PA      | $153840.63    | 0.02%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHF Trust 2021-2                                  | FHF Trust 2021-2                                                                                                               | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    508091 | PA      | $483005.17    | 0.07%             | 2026-12-15      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                          | Delta Air Lines Inc / SkyMiles IP Ltd                                                                                          | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    818806 | PA      | $798106.58    | 0.12%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                    | Long: IS1P7W3   CDS USD R F  3.00000 IS1P7W3 CMBX / Short: IS1P7W3   CDS USD P V 01MEVENT IS1P7X4 CMBX                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     31680 | OU      | $-7749.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes           | Santander Bank Auto Credit-Linked Notes Series 2022-A                                                                          | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1271408 | PA      | $1241237.18   | 0.18%             | 2032-05-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-N4                                                                                         | CUSIP: 14687HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    793000 | PA      | $720010.61    | 0.11%             | 2028-09-11      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT HOLDCO FIN LTD                          | Odebrecht Holdco Finance Ltd                                                                                                   | CUSIP: 67577TAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    416511 | PA      | $499.81       | 0.00%             | 2058-09-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                    | Long: IS1PAM4   CDS USD R F  3.00000 IS1PAM4 CMBX / Short: IS1PAM4   CDS USD P V 01MEVENT IS1PAN5 CMBX                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |      6336 | OU      | $-1549.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2022-R03                                                                                   | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1544519 | PA      | $1563854.99   | 0.23%             | 2042-03-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31385XJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210621 | PA      | $215272.10    | 0.03%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                          | Embraer Netherlands Finance BV                                                                                                 | CUSIP: 29082HAB8<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |   1025000 | PA      | $981629.69    | 0.15%             | 2027-02-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500951 | PA      | $454243.36    | 0.07%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                            | NXP BV / NXP Funding LLC / NXP USA Inc                                                                                         | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    875000 | PA      | $755090.00    | 0.11%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                     | DISH DBS Corp                                                                                                                  | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    996000 | PA      | $795574.92    | 0.12%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1882500 | PA      | $1207447.27   | 0.18%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                     | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   1131000 | PA      | $985281.96    | 0.15%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5775746 | PA      | $5421978.67   | 0.80%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Corporation           | Triangle Re 2021-3 Ltd                                                                                                         | CUSIP: 89600HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1075662 | PA      | $1070714.14   | 0.16%             | 2034-02-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3016200 | PA      | $3031281.00   | 0.45%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1070622 | PA      | $995743.55    | 0.15%             | 2041-11-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| MT LOGAN RE LTD                                   | MT LOGAN RE LTD                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | BM        |      2267 | NS      | $2025520.11   | 0.30%             |  |  |  | Yes           |                  3 | On Loan: No      |
| HFX FUNDING ISSUER                                | HFX FUNDING ISSUER                                                                                                             | CUSIP: 40422GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1690000 | PA      | $1566359.60   | 0.23%             | 2035-03-15      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS NC                          | Duke Energy Carolinas NC Storm Funding LLC                                                                                     | CUSIP: 26443KAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    920000 | PA      | $672152.00    | 0.10%             | 2041-07-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                          | Fox Corp                                                                                                                       | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    700000 | PA      | $677565.00    | 0.10%             | 2029-01-25      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 3136A2N58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780430 | PA      | $99068.36     | 0.01%             | 2041-12-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1943400 | PA      | $1798252.31   | 0.27%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132Y3ZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    974880 | PA      | $960093.16    | 0.14%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SUMMER BC HOLDCO B SARL                           | Summer BC Holdco B SARL                                                                                                        | CUSIP: 000000000<br>LEI: 984500NRF59D5DB9B654 | Long             | DBT              | CORP              | LU        |    540000 | PA      | $493058.88    | 0.07%             | 2026-10-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PDM5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2074000 | PA      | $2074124.44   | 0.31%             | 2025-12-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31417VPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10963 | PA      | $11084.76     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-N3                                                                                         | CUSIP: 14687GAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    775250 | PA      | $749324.06    | 0.11%             | 2028-06-12      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140FPL72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291922 | PA      | $273280.62    | 0.04%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -176 | NC      | $444911.61    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                                                                                    | CUSIP: 912796W47<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  17222600 | PA      | $16929708.16  | 2.51%             | 2023-05-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| L Street Securities                               | Wells Fargo Credit Risk Transfer Securities Trust 2015                                                                         | CUSIP: 949771AC3<br>LEI: 549300T6W1U156OOG754 | Long             | ABS-MBS          | CORP              | US        |    181524 | PA      | $168439.38    | 0.02%             | 2025-11-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                      | Eagle RE 2021-2 Ltd                                                                                                            | CUSIP: 26982AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    649959 | PA      | $632938.26    | 0.09%             | 2034-04-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                     | Carnival Corp                                                                                                                  | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   1545000 | PA      | $1258696.05   | 0.19%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-HQA4                                                                                        | CUSIP: 35564KNS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1530017 | PA      | $1350244.90   | 0.20%             | 2041-12-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                            | Anglo American Capital PLC                                                                                                     | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    403000 | PA      | $362448.13    | 0.05%             | 2029-03-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | Long: IS1BZK5   CDS USD R F  3.00000 IS1BZK5 CMBX-BBB--408197 / Short: IS1BZK5   CDS USD P V 00MEVENT IS1BZL6 CMBX-BBB--408197 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     28512 | OU      | $-6974.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | Long: BS1YET6   IRS USD R V 03MLIBOR IS1YEU7 CCPVANILLA / Short: BS1YET6   IRS USD P F  1.76350 IS1YET6 CCPVANILLA             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   4950000 | OU      | $652186.10    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2021-Z1                                                                                      | CUSIP: 00834CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    337701 | PA      | $328188.65    | 0.05%             | 2025-08-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31371K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111653 | PA      | $114094.94    | 0.02%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                                                                       | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1826000 | PA      | $1505573.52   | 0.22%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 3136AUZQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1352024 | PA      | $135638.06    | 0.02%             | 2047-01-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                  | Bellemeade Re Ltd                                                                                                              | CUSIP: 07876AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1891912 | PA      | $1816823.53   | 0.27%             | 2031-06-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                     | UniCredit SpA                                                                                                                  | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    459000 | PA      | $406265.49    | 0.06%             | 2026-09-22      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| FLOWSERVE CORPORATION                             | Flowserve Corp                                                                                                                 | CUSIP: 34355JAB4<br>LEI: 6Y0GK87T6V7NJKZJVM41 | Long             | DBT              | CORP              | US        |   1227000 | PA      | $916875.75    | 0.14%             | 2032-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                                      | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    263000 | PA      | $268015.41    | 0.04%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                                                                 | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    751000 | PA      | $660804.90    | 0.10%             | 2028-01-20      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                    | Long: IS1P9K5   CDS USD R F  3.00000 IS1P9K5 CMBX / Short: IS1P9K5   CDS USD P V 01MEVENT IS1P9L6 CMBX                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     31680 | OU      | $-7749.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                       | Rad CLO 11 Ltd                                                                                                                 | CUSIP: 48662NAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $887995.40    | 0.13%             | 2034-04-15      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    553000 | PA      | $483443.66    | 0.07%             | 2023-12-11      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 3136AXZN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1710766 | PA      | $201450.75    | 0.03%             | 2047-09-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2019-1 Ltd                                                                                                            | CUSIP: 92917NAS7<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |    480000 | PA      | $416422.08    | 0.06%             | 2031-04-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2776200 | PA      | $2777935.13   | 0.41%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | Long: IS1BYG4   CDS USD R F  3.00000 IS1BYG4 CMBX-BBB--407892 / Short: IS1BYG4   CDS USD P V 00MEVENT IS1BYH5 CMBX-BBB--407892 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    169803 | OU      | $-41536.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GSF 2021 1 ISSUER LLC                             | GSF 2021 1 ISSUER LLC                                                                                                          | CUSIP: 36261CAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59000 | PA      | $53529.99     | 0.01%             | 2026-08-15      | Variable      | 2.64%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 3132DNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2126833 | PA      | $1819321.83   | 0.27%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                                                                         | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    745000 | PA      | $756622.00    | 0.11%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31411KKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       444 | PA      | $445.93       | 0.00%             | 2037-03-01      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                           | Long: IS1P8O2   CDS USD R F  3.00000 IS1P8O2 CMBX / Short: IS1P8O2   CDS USD P V 01MEVENT IS1P8P3 CMBX                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              |  | US        |     87436 | OU      | $-21388.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                                                                      | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    639000 | PA      | $529691.06    | 0.08%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                   | LSTAR Commercial Mortgage Trust 2016-4                                                                                         | CUSIP: 50219QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310376 | PA      | $309902.77    | 0.05%             | 2049-03-10      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Credit Suisse International                       | Long: IS178V5   CDS USD R F  3.00000 IS178V5 CMBX-BBB--369102 / Short: IS178V5   CDS USD P V 00MEVENT IS178W6 CMBX-BBB--369102 | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DCR              |  | US        |    245834 | OU      | $-60134.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                    | CPS Auto Receivables Trust 2022-A                                                                                              | CUSIP: 12659WAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1373000 | PA      | $1281844.33   | 0.19%             | 2029-04-16      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                                                                    | CUSIP: 61764PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    603432 | PA      | $510992.49    | 0.08%             | 2047-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                     | Citigroup Inc                                                                                                                  | CUSIP: 172967GD7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    313000 | PA      | $310752.66    | 0.05%             | 2023-01-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2017-SCH                                                                            | CUSIP: 054966AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2435000 | PA      | $2293634.86   | 0.34%             | 2033-11-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                     | Radnor RE 2019-1 Ltd                                                                                                           | CUSIP: 75049SAB9<br>LEI: 254900JBDDKUTX6TX151 | Long             | ABS-MBS          | CORP              | BM        |    908876 | PA      | $898441.95    | 0.13%             | 2029-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                        | US Bancorp                                                                                                                     | CUSIP: 902973AZ9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    723000 | PA      | $630108.96    | 0.09%             | 2027-04-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                       | Cargill Inc                                                                                                                    | CUSIP: 141781BZ6<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    835000 | PA      | $837296.25    | 0.12%             | 2032-10-11      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                                                   | CUSIP: 25160PAJ6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    914000 | PA      | $909292.90    | 0.13%             | 2026-07-14      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 30711XBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2025-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp                           | Marathon Petroleum Corp                                                                                                        | CUSIP: 56585AAF9<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |    415000 | PA      | $428188.70    | 0.06%             | 2041-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2020-DNA5                                                                                        | CUSIP: 35566AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    595004 | PA      | $599682.05    | 0.09%             | 2050-10-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                               | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    635000 | PA      | $556672.75    | 0.08%             | 2026-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1307000 | PA      | $1011997.03   | 0.15%             | 2031-02-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    363300 | PA      | $300744.28    | 0.04%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | JPMorgan Chase Bank NA - CHASE                                                                                                 | CUSIP: 46591HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189146 | PA      | $181230.28    | 0.03%             | 2047-04-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | Long: IS1C6B6   CDS USD R F  3.00000 IS1C6B6 CMBX-BBB--409425 / Short: IS1C6B6   CDS USD P V 00MEVENT IS1C6C7 CMBX-BBB--409425 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |    176138 | OU      | $-43086.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                 | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1054322.40   | 0.16%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 3137F6JL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4331659 | PA      | $948003.40    | 0.14%             | 2050-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 3133B93R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2036050 | PA      | $1734665.63   | 0.26%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140QN6A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3477769 | PA      | $2962975.88   | 0.44%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALFA S.A.                                         | Alfa SAB de CV                                                                                                                 | CUSIP: 015398AB6<br>LEI: 549300ZCGJ6T8YDJ4M34 | Long             | DBT              | CORP              | MX        |    915000 | PA      | $906879.38    | 0.13%             | 2024-03-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                    | S&P Global Inc                                                                                                                 | CUSIP: 78409VAY0<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     83000 | PA      | $82046.33     | 0.01%             | 2028-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-HQA1                                                                                        | CUSIP: 35564KTB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    398982 | PA      | $395612.40    | 0.06%             | 2042-03-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORG                                  | Organon & Co / Organon Foreign Debt Co-Issuer BV                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    320000 | PA      | $299383.31    | 0.04%             | 2028-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NATURA &CO LUX HLD SARL                           | Natura &Co Luxembourg Holdings Sarl                                                                                            | CUSIP: 63884WAA6<br>LEI: 54930074AZRQQPMINM11 | Long             | DBT              | CORP              | LU        |    564000 | PA      | $492195.75    | 0.07%             | 2029-04-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                   | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    169000 | PA      | $153793.38    | 0.02%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TENGIZCHEVROIL FIN CO IN                          | Tengizchevroil Finance Co International Ltd                                                                                    | CUSIP: 88034QAC1<br>LEI: 5493001VEV2XTJIBZH31 | Long             | DBT              | CORP              | BM        |    415000 | PA      | $294338.75    | 0.04%             | 2030-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-24CB                                                                                               | CUSIP: 02146TAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373220 | PA      | $210399.66    | 0.03%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CAJUN GLOBAL LLC                                  | Cajun Global LLC                                                                                                               | CUSIP: 12803VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    438325 | PA      | $371224.02    | 0.05%             | 2051-11-20      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                    | PMT Credit Risk Transfer Trust 2020-1R                                                                                         | CUSIP: 730151AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233180 | PA      | $220564.07    | 0.03%             | 2023-02-27      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140FHP35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435980 | PA      | $408139.33    | 0.06%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                    | Pikes Peak CLO 8                                                                                                               | CUSIP: 72133CAA0<br>LEI: 549300NJA5BS4BQQJL72 | Long             | ABS-CBDO         | CORP              | KY        |   1906547 | PA      | $1862646.85   | 0.28%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | Long: IS1C069   CDS USD R F  3.00000 IS1C069 CMBX-BBB--408481 / Short: IS1C069   CDS USD P V 00MEVENT IS1C070 CMBX-BBB--408481 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     28512 | OU      | $-6974.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10990700 | PA      | $10719367.09  | 1.59%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NH HOTEL GROUP SA                                 | NH Hotel Group SA                                                                                                              | CUSIP: 000000000<br>LEI: 959800LM1RW3PKJ4A296 | Long             | DBT              | CORP              | ES        |    190000 | PA      | $186766.78    | 0.03%             | 2026-07-02      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                               | Synchrony Financial                                                                                                            | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   1255000 | PA      | $935276.20    | 0.14%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                               | Intesa Sanpaolo SpA                                                                                                            | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    757000 | PA      | $730944.06    | 0.11%             | 2024-06-26      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4                                                                  | CUSIP: 25150PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850174 | PA      | $300826.62    | 0.04%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                                                                            | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    944000 | PA      | $899990.72    | 0.13%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138WENA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    530026 | PA      | $479103.48    | 0.07%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASS MUTUAL LIFE INS CO                           | Massachusetts Mutual Life Insurance Co                                                                                         | CUSIP: 575767AN8<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |     11000 | PA      | $7297.40      | 0.00%             | 2070-10-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    128500 | PA      | $106534.53    | 0.02%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                                                                            | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    845000 | PA      | $721300.45    | 0.11%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 3133B6UF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4149678 | PA      | $3672219.17   | 0.54%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                     | Aircastle Ltd                                                                                                                  | CUSIP: 00928QAS0<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    128000 | PA      | $120509.44    | 0.02%             | 2026-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6591400 | PA      | $5930200.19   | 0.88%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-J1                                                                                                 | CUSIP: 12668BKK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163607 | PA      | $116775.09    | 0.02%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 3136B0DZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1241539 | PA      | $129513.70    | 0.02%             | 2047-12-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                                                                             | CUSIP: 29273RAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99781.00     | 0.01%             | 2023-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                          | Comision Federal de Electricidad                                                                                               | CUSIP: 200447AL4<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    478000 | PA      | $420580.25    | 0.06%             | 2029-05-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                          | Discovery Communications LLC                                                                                                   | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    509000 | PA      | $380289.17    | 0.06%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey           | PORT AUTH OF NEW YORK & NEW JERSEY NY                                                                                          | CUSIP: 73358W4V3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   1000000 | PA      | $982240.40    | 0.15%             | 2023-07-01      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140FPWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12272 | PA      | $11488.45     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                              | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    688000 | PA      | $716400.64    | 0.11%             | 2026-11-10      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                          | Neuberger Berman Loan Advisers Clo 43 Ltd                                                                                      | CUSIP: 64134AAA0<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | KY        |   1729056 | PA      | $1689993.17   | 0.25%             | 2035-07-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Hardee's Funding LLC and Carls' Jr Funding LLC    | Hardee's Funding LLC                                                                                                           | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    479812 | PA      | $410891.74    | 0.06%             | 2050-12-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42857 | PA      | $43863.50     | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                             | Micron Technology Inc                                                                                                          | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   1924000 | PA      | $1957689.24   | 0.29%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140QN6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2793324 | PA      | $2378099.45   | 0.35%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS                               | Braskem Netherlands Finance BV                                                                                                 | CUSIP: 10554TAD7<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $422500.00    | 0.06%             | 2030-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PER                          | Banco de Credito del Peru S.A.                                                                                                 | CUSIP: 05971U2C0<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |   1447000 | PA      | $1317493.50   | 0.20%             | 2030-07-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10851000 | PA      | $9267432.19   | 1.37%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust         | Banc of America Commercial Mortgage Trust 2015-UBS7                                                                            | CUSIP: 06054ABB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211000 | PA      | $195600.35    | 0.03%             | 2048-09-15      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                       | OCP CLO 2020-18 Ltd                                                                                                            | CUSIP: 671078AN3<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |   1954000 | PA      | $1910685.68   | 0.28%             | 2032-07-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                     | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7442000 | PA      | $7221131.86   | 1.07%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse International                       | Long: IS17I04   CDS USD R F  3.00000 IS17I04 CMBX-BBB--380158 / Short: IS17I04   CDS USD P V 00MEVENT IS17I15 CMBX-BBB--380158 | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DCR              |  | US        |    205284 | OU      | $-50215.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AJ7<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1617000 | PA      | $1301749.68   | 0.19%             | 2023-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                              | Tencent Holdings Ltd                                                                                                           | CUSIP: 88032WAV8<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |   1022000 | PA      | $641816.00    | 0.10%             | 2050-06-03      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                  | Bellemeade Re 2019-1 Ltd                                                                                                       | CUSIP: 07876RAB2<br>LEI: 254900K56RF3Z7VQ3U81 | Long             | ABS-MBS          | CORP              | BM        |    114643 | PA      | $114595.72    | 0.02%             | 2029-03-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| MT LOGAN RE LTD                                   | MT LOGAN RE LTD                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |       717 | NS      | $608422.85    | 0.09%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138WJD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46273 | PA      | $43318.43     | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140FTUK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554457 | PA      | $519050.96    | 0.08%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Prudential Financial Inc                          | Prudential Financial Inc                                                                                                       | CUSIP: 744320AM4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    289000 | PA      | $284665.00    | 0.04%             | 2043-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CSN RESOURCES SA                                  | CSN Resources SA                                                                                                               | CUSIP: 12644VAD0<br>LEI: 222100ZEX458NMOXZP08 | Long             | DBT              | CORP              | LU        |    293000 | PA      | $231341.81    | 0.03%             | 2031-06-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                    | Long: IS1D987   CDS USD R F  3.00000 IS1D987 CMBX-BBB--413312 / Short: IS1D987   CDS USD P V 00MEVENT IS1D998 CMBX-BBB--413312 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     26611 | OU      | $-6509.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-P4                                                                                         | CUSIP: 14687KAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    989000 | PA      | $780155.14    | 0.12%             | 2028-09-11      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140FPL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127374 | PA      | $119240.28    | 0.02%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4747900 | PA      | $4771639.50   | 0.71%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                          | Brex Commercial Charge Card Master Trust                                                                                       | CUSIP: 05601DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1021000 | PA      | $1009922.76   | 0.15%             | 2024-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2012-CCRE3 Mortgage Trust                                                                                                 | CUSIP: 12624PAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    888738 | PA      | $523107.54    | 0.08%             | 2045-10-15      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 78 CLO Ltd                                                                                                              | CUSIP: 26253LAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1260000 | PA      | $1186162.74   | 0.18%             | 2033-04-17      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                            | Westinghouse Air Brake Technologies Corp                                                                                       | CUSIP: 960386AQ3<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    270000 | PA      | $253975.50    | 0.04%             | 2025-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 3136BCF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6802499 | PA      | $1270387.03   | 0.19%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                             | Continental Resources Inc/OK                                                                                                   | CUSIP: 212015AV3<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   1353000 | PA      | $1004616.03   | 0.15%             | 2032-04-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                              | Western Digital Corp                                                                                                           | CUSIP: 958102AR6<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |   1284000 | PA      | $923298.72    | 0.14%             | 2032-02-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140MA4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2679236 | PA      | $2280969.87   | 0.34%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                                                               | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   2706000 | PA      | $2252176.74   | 0.33%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15570000 | PA      | $11040103.13  | 1.63%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                            | Standard Chartered PLC                                                                                                         | CUSIP: 853254AA8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $308304.00    | 0.05%             | 2027-01-30      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| WRKCo Inc                                         | WRKCo Inc                                                                                                                      | CUSIP: 96145DAH8<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |   1732000 | PA      | $1615592.28   | 0.24%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                               | Altice Financing SA                                                                                                            | CUSIP: 000000000<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    540000 | PA      | $455740.45    | 0.07%             | 2028-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GCI Funding I LLC                                 | GCI Funding I LLC                                                                                                              | CUSIP: 36166VAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    630500 | PA      | $535587.65    | 0.08%             | 2046-06-18      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                                                                       | CUSIP: 539439AW9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    887000 | PA      | $940042.60    | 0.14%             | 2033-11-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                 | General Motors Co                                                                                                              | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    278000 | PA      | $283409.88    | 0.04%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                                | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    467000 | PA      | $356353.69    | 0.05%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk                | Freddie Mac Multifamily Structured Credit Risk                                                                                 | CUSIP: 35563FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    182228 | PA      | $170536.16    | 0.03%             | 2051-01-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                     | Radnor RE 2020-1 Ltd                                                                                                           | CUSIP: 750493AA6<br>LEI: 254900YVLP8CB4GC2O97 | Long             | ABS-MBS          | CORP              | BM        |     95868 | PA      | $95732.44     | 0.01%             | 2030-01-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 3137FVTE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3157087 | PA      | $589991.03    | 0.09%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                           | Long: IS1VK11   CDS USD R F  3.00000 IS1VK11 CMBX / Short: IS1VK11   CDS USD P V 01MEVENT IS1VK22 CMBX                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              |  | US        |     37382 | OU      | $-9144.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                           | Honeywell International Inc                                                                                                    | CUSIP: 000000000<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   1241000 | PA      | $1300411.28   | 0.19%             | 2034-11-02      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138WQKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187354 | PA      | $175496.09    | 0.03%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                          | Comision Federal de Electricidad                                                                                               | CUSIP: 200447AH3<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   1685000 | PA      | $1312509.69   | 0.19%             | 2031-02-09      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                        | Fiserv Inc                                                                                                                     | CUSIP: 337738AU2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   2539000 | PA      | $2287969.07   | 0.34%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MetLife Inc                                       | MetLife Inc                                                                                                                    | CUSIP: 59156RAV0<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     25000 | PA      | $33403.25     | 0.00%             | 2039-08-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                   | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    601000 | PA      | $528285.01    | 0.08%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                           | Long: IS1S8V8   CDS USD R F  3.00000 IS1S8V8 CMBX / Short: IS1S8V8   CDS USD P V 01MEVENT IS1S8W9 CMBX                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              |  | US        |    214154 | OU      | $-52385.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AB Issuer LLC                                     | AB Issuer LLC                                                                                                                  | CUSIP: 00091JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2090205 | PA      | $1666951.03   | 0.25%             | 2051-07-30      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140MA4D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2238260 | PA      | $1906944.21   | 0.28%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTERPUBLIC GROUP COS                             | Interpublic Group of Cos Inc/The                                                                                               | CUSIP: 460690BP4<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |    519000 | PA      | $496802.37    | 0.07%             | 2028-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2111099 | PA      | $1801574.05   | 0.27%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        92 | NC      | $-61790.47    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC          | Avis Budget Rental Car Funding AESOP LLC                                                                                       | CUSIP: 05377RDC5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1680000 | PA      | $1651635.89   | 0.24%             | 2025-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128M43N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138180 | PA      | $141628.36    | 0.02%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7885000 | PA      | $6958512.50   | 1.03%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        45 | NC      | $-95978.85    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: BS2INT0   CDS USD R V 03MEVENT IS2INU1 CCPCDX / Short: BS2INT0   CDS USD P F  5.00000 IS2INT0 CCPCDX                     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  18053000 | OU      | $-133187.75   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                     | CUSIP: 05369AAF8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    312000 | PA      | $304480.80    | 0.05%             | 2024-01-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2019-IMC                                                                                          | CUSIP: 05608BAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    839400 | PA      | $784785.11    | 0.12%             | 2034-04-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS ESCROW CORP                              | Entegris Escrow Corp                                                                                                           | CUSIP: 29365BAA1<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1161592.80   | 0.17%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                               | Elevance Health Inc                                                                                                            | CUSIP: 94973VBA4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     33000 | PA      | $32982.51     | 0.00%             | 2023-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59946 | PA      | $61720.73     | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust     | BHG Securitization Trust 2022-A                                                                                                | CUSIP: 054977AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    238721 | PA      | $223020.69    | 0.03%             | 2035-02-20      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                            | Rockford Tower CLO 2021-2 Ltd                                                                                                  | CUSIP: 77341LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1309799 | PA      | $1272181.57   | 0.19%             | 2034-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| OCHSNER LSU HEALTH SYST                           | Ochsner LSU Health System of North Louisiana                                                                                   | CUSIP: 67555JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1069433.20   | 0.16%             | 2031-05-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                          | Embraer Netherlands Finance BV                                                                                                 | CUSIP: 29082HAC6<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |    537000 | PA      | $535086.94    | 0.08%             | 2028-01-17      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                        | Zoetis Inc                                                                                                                     | CUSIP: 98978VAU7<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   1182000 | PA      | $1205710.92   | 0.18%             | 2025-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                     | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    879000 | PA      | $862351.74    | 0.13%             | 2024-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    799000 | PA      | $623259.95    | 0.09%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4905000 | PA      | $3580650.00   | 0.53%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                               | Suzano Austria GmbH                                                                                                            | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    343000 | PA      | $286362.13    | 0.04%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                | Ford Motor Co                                                                                                                  | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    759000 | PA      | $703183.14    | 0.10%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31402C4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51642 | PA      | $52855.02     | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                                                   | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    958000 | PA      | $845061.38    | 0.13%             | 2026-11-24      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2021-Z2                                                                                      | CUSIP: 00834TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    368438 | PA      | $352478.61    | 0.05%             | 2026-11-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31417DRX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582403 | PA      | $544785.85    | 0.08%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                          | Lloyds Banking Group PLC                                                                                                       | CUSIP: 539439AS8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $248277.50    | 0.04%             | 2023-08-16      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                     | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3274982 | PA      | $3100333.43   | 0.46%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                                                                         | CUSIP: 853254CJ7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    885000 | PA      | $841458.00    | 0.12%             | 2026-03-30      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31402QYV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242176 | PA      | $248090.36    | 0.04%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    295000 | PA      | $278037.50    | 0.04%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    843000 | PA      | $713125.31    | 0.11%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                         | College Ave Student Loans 2021-C LLC                                                                                           | CUSIP: 19424WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    636508 | PA      | $519505.29    | 0.08%             | 2055-07-26      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138WPG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1999406 | PA      | $1872865.46   | 0.28%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                                                                           | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   2303000 | PA      | $1950203.43   | 0.29%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                     | Aircastle Ltd                                                                                                                  | CUSIP: 00928QAU5<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   2065000 | PA      | $1689748.20   | 0.25%             | 2028-01-26      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9349400 | PA      | $6176447.38   | 0.91%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse International                       | Long: IS17H29   CDS USD R F  3.00000 IS17H29 CMBX-BBB--379858 / Short: IS17H29   CDS USD P V 00MEVENT IS17H30 CMBX-BBB--379858 | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DCR              |  | US        |    159031 | OU      | $-38901.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OEC FINANCE LTD                                   | OEC Finance Ltd                                                                                                                | CUSIP: 67614CAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    395781 | PA      | $7907.70      | 0.00%             | 2033-12-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                              | CUSIP: 404280CN7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1410000 | PA      | $1106483.40   | 0.16%             | 2030-12-17      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                             | Takeda Pharmaceutical Co Ltd                                                                                                   | CUSIP: 874060AT3<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    460000 | PA      | $456283.20    | 0.07%             | 2023-11-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                          | CUSIP: 31335AY51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1018154 | PA      | $986107.65    | 0.15%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-DNA3                                                                                        | CUSIP: 35564KEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    778630 | PA      | $763426.55    | 0.11%             | 2033-10-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16798087 | PA      | $14241628.13  | 2.11%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                    | Lowe's Cos Inc                                                                                                                 | CUSIP: 548661EN3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1126000 | PA      | $1085745.50   | 0.16%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                            | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1532759.60   | 0.23%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                            | CCO Holdings LLC / CCO Holdings Capital Corp                                                                                   | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    348000 | PA      | $288150.96    | 0.04%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC                | Diamond Infrastructure Funding LLC                                                                                             | CUSIP: 25265LAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    934964 | PA      | $763014.30    | 0.11%             | 2049-04-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3448896 | PA      | $3029908.94   | 0.45%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                       | Rad CLO 7 Ltd                                                                                                                  | CUSIP: 48661CAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    570000 | PA      | $540780.66    | 0.08%             | 2033-04-17      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Eagle Re 2018-1 Ltd.                              | Eagle RE 2018-1 Ltd                                                                                                            | CUSIP: 269826AB9<br>LEI: 549300BLEDGL5R7YKU33 | Long             | ABS-MBS          | CORP              | US        |    217315 | PA      | $217587.08    | 0.03%             | 2028-11-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust                           | HomeBanc Mortgage Trust 2005-1                                                                                                 | CUSIP: 43739EAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150056 | PA      | $124320.37    | 0.02%             | 2035-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                            | NXP BV / NXP Funding LLC                                                                                                       | CUSIP: 62947QBC1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1300000 | PA      | $1302184.00   | 0.19%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Federal National Mortgage Association                                                                                          | CUSIP: 31359MEU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    355000 | PA      | $397686.16    | 0.06%             | 2029-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138WJKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622427 | PA      | $582680.43    | 0.09%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810PT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1525000 | PA      | $1672257.81   | 0.25%             | 2037-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PMT Credit Risk Transfer Trust                    | PMT Credit Risk Transfer Trust 2019-3R                                                                                         | CUSIP: 69349MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59819 | PA      | $57209.98     | 0.01%             | 2031-11-27      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| INFOR INC                                         | Infor Inc                                                                                                                      | CUSIP: 45674CAA1<br>LEI: 549300Q3IIYBYI4RHD64 | Long             | DBT              | CORP              | US        |    649000 | PA      | $585514.82    | 0.09%             | 2025-07-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                     | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1480123 | PA      | $1318310.77   | 0.20%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD EUR                                                                                                       | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-122984.84   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LIMA METRO LINE 2 FIN LT                          | Lima Metro Line 2 Finance Ltd                                                                                                  | CUSIP: 532522AB5<br>LEI: 5493009BVQNQT1UKQ352 | Long             | DBT              | CORP              | KY        |    241845 | PA      | $214606.84    | 0.03%             | 2036-04-05      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                              | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    581000 | PA      | $539708.33    | 0.08%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| L Street Securities                               | Wells Fargo Credit Risk Transfer Securities Trust 2015                                                                         | CUSIP: 949771AG4<br>LEI: 549300T6W1U156OOG754 | Long             | ABS-MBS          | CORP              | US        |     45546 | PA      | $43154.35     | 0.01%             | 2025-11-25      | Floating      | 9.89%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                | Banco Santander SA                                                                                                             | CUSIP: 05964HAF2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $181504.00    | 0.03%             | 2028-02-23      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2013-WBRK                                                                           | CUSIP: 05525BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $460885.84    | 0.07%             | 2037-03-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                    | Long: IS1IXF7   CDS USD R F  3.00000 IS1IXF7 CMBX / Short: IS1IXF7   CDS USD P V 01MEVENT IS1IXG8 CMBX                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     31046 | OU      | $-7594.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                          | Plains All American Pipeline LP / PAA Finance Corp                                                                             | CUSIP: 72650RBL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    683000 | PA      | $656670.35    | 0.10%             | 2026-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                    | Air Lease Corp                                                                                                                 | CUSIP: 00912XAV6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     76000 | PA      | $69307.44     | 0.01%             | 2027-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                            | BP Capital Markets America Inc                                                                                                 | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   2985000 | PA      | $1970786.55   | 0.29%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| APCOA PARKING HOLDINGS G                          | APCOA Parking Holdings GmbH                                                                                                    | CUSIP: 000000000<br>LEI: 529900H8FIYAOV5FUW68 | Long             | DBT              | CORP              | DE        |    540000 | PA      | $495729.44    | 0.07%             | 2027-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                         | Ashford Hospitality Trust 2018-KEYS                                                                                            | CUSIP: 04410CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    791993 | PA      | $762427.43    | 0.11%             | 2035-06-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                                    | Oaktown Re VII Ltd                                                                                                             | CUSIP: 67389JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1766937 | PA      | $1704671.38   | 0.25%             | 2034-04-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2011-GC5                                                                                          | CUSIP: 36191YAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27526 | PA      | $11398.60     | 0.00%             | 2044-08-10      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                               | Charles Schwab Corp/The                                                                                                        | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1949000 | PA      | $1690075.35   | 0.25%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUX                              | Swiss Re Finance Luxembourg SA                                                                                                 | CUSIP: 000000000<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |   1400000 | PA      | $1294356.00   | 0.19%             | 2049-04-02      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                  | BAT Capital Corp                                                                                                               | CUSIP: 05526DBN4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    917000 | PA      | $840448.84    | 0.12%             | 2030-04-02      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2021-C                                                                                               | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    907173 | PA      | $706272.55    | 0.10%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                                                                             | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    800000 | PA      | $741432.00    | 0.11%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8723600 | PA      | $8264247.94   | 1.22%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Tobacco Settlement Finance Authority              | TOBACCO SETTLEMENT FIN AUTH WV ASSET BACKED                                                                                    | CUSIP: 88880LAV5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    528598 | PA      | $474364.33    | 0.07%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                         | Apple Inc                                                                                                                      | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1148000 | PA      | $969210.48    | 0.14%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CDBL FUNDING 1                                    | CDBL Funding 1                                                                                                                 | CUSIP: 000000000<br>LEI: 254900PLOF8VWTAH3F83 | Long             | DBT              | CORP              | KY        |   1460000 | PA      | $1335929.20   | 0.20%             | 2027-10-24      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-DNA7                                                                                        | CUSIP: 35564KMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2411530 | PA      | $2264864.85   | 0.34%             | 2041-11-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 3137BFLM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1335247 | PA      | $124188.28    | 0.02%             | 2044-12-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 3137BYRV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1464151 | PA      | $155531.46    | 0.02%             | 2047-06-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                                                      | CUSIP: 3128NHWD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       359 | PA      | $360.30       | 0.00%             | 2037-03-01      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1447000 | PA      | $1192644.53   | 0.18%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31410FYE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2881 | PA      | $2963.69      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| State of California                               | CALIFORNIA ST                                                                                                                  | CUSIP: 13063BFR8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2040000 | PA      | $2576277.04   | 0.38%             | 2040-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140Q9T37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570951 | PA      | $561718.85    | 0.08%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Prudential Financial Inc                          | Prudential Financial Inc                                                                                                       | CUSIP: 744320AN2<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    462000 | PA      | $444286.92    | 0.07%             | 2044-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Neighborly Issuer LLC                             | Neighborly Issuer 2022-1                                                                                                       | CUSIP: 64016NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1997902 | PA      | $1583609.45   | 0.23%             | 2052-01-30      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| LIMA METRO LINE 2 FIN LT                          | Lima Metro Line 2 Finance Ltd                                                                                                  | CUSIP: 000000000<br>LEI: 5493009BVQNQT1UKQ352 | Long             | DBT              | CORP              | KY        |    392677 | PA      | $380356.59    | 0.06%             | 2034-07-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd                                     | Aircastle Ltd                                                                                                                  | CUSIP: 00928QAQ4<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    359000 | PA      | $346995.04    | 0.05%             | 2024-05-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CHILE ELEC PEC SPA                                | Chile Electricity PEC SpA                                                                                                      | CUSIP: 168831AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |   1040000 | PA      | $743795.00    | 0.11%             | 2028-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freedom Financial                                 | FREED ABS Trust 2021-2                                                                                                         | CUSIP: 35635CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1760000 | PA      | $1708525.63   | 0.25%             | 2028-06-19      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Marathon Oil Corp                                 | Marathon Oil Corp                                                                                                              | CUSIP: 565849AB2<br>LEI: 1FRVQX2CRLGC1XLP5727 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1853190.00   | 0.27%             | 2032-03-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                              | Kyndryl Holdings Inc                                                                                                           | CUSIP: 50155QAJ9<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |   2545000 | PA      | $2104231.45   | 0.31%             | 2026-10-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                            | Westinghouse Air Brake Technologies Corp                                                                                       | CUSIP: 960386AN0<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1126267.80   | 0.17%             | 2024-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140Q9T45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    815777 | PA      | $802586.11    | 0.12%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1671700 | PA      | $1174108.05   | 0.17%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                                                                      | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    489000 | PA      | $438877.50    | 0.06%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                  | Bellemeade Re 2019-3 Ltd                                                                                                       | CUSIP: 07877GAC3<br>LEI: 254900SCWI9IDKK5LV64 | Long             | ABS-MBS          | CORP              | BM        |    300000 | PA      | $297258.66    | 0.04%             | 2029-07-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31410GV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76473 | PA      | $78339.39     | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                    | Wynn Macau Ltd                                                                                                                 | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    730000 | PA      | $616769.70    | 0.09%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2949900 | PA      | $2385270.70   | 0.35%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Regatta XX Funding Ltd                            | Regatta XX Funding Ltd                                                                                                         | CUSIP: 75884YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2923878 | PA      | $2842471.39   | 0.42%             | 2034-10-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                 | TSMC Arizona Corp                                                                                                              | CUSIP: 872898AF8<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |    685000 | PA      | $654731.56    | 0.10%             | 2027-04-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ENGIE ENERGIA CHILE SA                            | Engie Energia Chile SA                                                                                                         | CUSIP: 000000000<br>LEI: 5493000FIKCC3ZDWTO77 | Long             | DBT              | CORP              | CL        |    981000 | PA      | $796633.31    | 0.12%             | 2030-01-28      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                              | Booking Holdings Inc                                                                                                           | CUSIP: 000000000<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |    789000 | PA      | $852219.69    | 0.13%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2006-13                                                                                        | CUSIP: 12543TAU9<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-MBS          | CORP              | US        |     72900 | PA      | $30688.56     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     38000 | PA      | $35096.56     | 0.01%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VZ VENDOR FINANCING                               | VZ Vendor Financing II BV                                                                                                      | CUSIP: 000000000<br>LEI: 724500DRKUUR3GFOSK76 | Long             | DBT              | CORP              | NL        |    540000 | PA      | $444850.12    | 0.07%             | 2029-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                             | Freeport Indonesia PT                                                                                                          | CUSIP: 69377FAA4<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |    324000 | PA      | $310670.64    | 0.05%             | 2027-04-14      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                             | Continental Resources Inc/OK                                                                                                   | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   1006000 | PA      | $937350.56    | 0.14%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128MJBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18141 | PA      | $18646.30     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                 | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    796000 | PA      | $735113.08    | 0.11%             | 2027-10-29      | Fixed         | 0.41%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                                                                   | CUSIP: 251526CB3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    385000 | PA      | $368117.75    | 0.05%             | 2025-11-26      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                           | CUSIP: 3137G0EW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272178 | PA      | $274953.97    | 0.04%             | 2027-10-25      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAP LLC                            | CNH Industrial Capital LLC                                                                                                     | CUSIP: 12592BAN4<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |   1191000 | PA      | $1154519.67   | 0.17%             | 2025-05-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                    | Air Lease Corp                                                                                                                 | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    175000 | PA      | $162037.75    | 0.02%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       156 | NC      | $37642.89     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                  | Long: IS1C4Z6   CDS USD R F  3.00000 IS1C4Z6 CMBX-BBB--409304 / Short: IS1C4Z6   CDS USD P V 00MEVENT IS1C508 CMBX-BBB--409304 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |     28512 | OU      | $-6974.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                     | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9293.00      | 0.00%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10740000 | PA      | $11258540.63  | 1.67%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4277800 | PA      | $3078010.78   | 0.46%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    898700 | PA      | $946583.86    | 0.14%             | 2038-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140FMFN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267516 | PA      | $250432.78    | 0.04%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                 | ONEOK Partners LP                                                                                                              | CUSIP: 68268NAG8<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     73000 | PA      | $69286.49     | 0.01%             | 2041-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                          | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                                                      | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    447000 | PA      | $438981.94    | 0.06%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Credit Suisse International                       | Long: IS1PDS1   CDS USD R F  3.00000 IS1PDS1 CMBX / Short: IS1PDS1   CDS USD P V 01MEVENT IS1PDT2 CMBX                         | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DCR              |  | GB        |      3168 | OU      | $-774.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31418CDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292316 | PA      | $273649.79    | 0.04%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                       | Home RE 2021-2 Ltd                                                                                                             | CUSIP: 43730VAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1162055 | PA      | $1133965.46   | 0.17%             | 2034-01-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                      | SK Hynix Inc                                                                                                                   | CUSIP: 78392BAC1<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |    532000 | PA      | $390122.25    | 0.06%             | 2031-01-19      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    932000 | PA      | $701912.50    | 0.10%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810FT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1073800 | PA      | $1149637.13   | 0.17%             | 2036-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA4                                                                                        | CUSIP: 35564KWT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1357810 | PA      | $1365018.07   | 0.20%             | 2042-05-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                           | Fannie Mae Grantor Trust 2004-T5                                                                                               | CUSIP: 31394AXY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    283123 | PA      | $256630.10    | 0.04%             | 2035-05-28      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912828R28<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5514000 | PA      | $5462306.25   | 0.81%             | 2023-04-30      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                                  | CUSIP: 172967NB3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    139000 | PA      | $114415.07    | 0.02%             | 2026-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                               | Intesa Sanpaolo SpA                                                                                                            | CUSIP: 46115HBU0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    320000 | PA      | $326838.40    | 0.05%             | 2025-11-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                 | Elevation CLO 2020-11 Ltd                                                                                                      | CUSIP: 28621YAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1080000 | PA      | $983522.52    | 0.15%             | 2033-04-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| NEW MOUNTAIN CLO LTD                              | New Mountain CLO 3 Ltd                                                                                                         | CUSIP: 647550AJ1<br>LEI: 549300CEYMYPINCEX579 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $230391.25    | 0.03%             | 2034-10-20      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| Diamond Issuer LLC                                | Diamond Issuer                                                                                                                 | CUSIP: 25267TAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1940541 | PA      | $1608626.40   | 0.24%             | 2051-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| LYONDELLBASELL IND NV                             | LyondellBasell Industries NV                                                                                                   | CUSIP: 552081AK7<br>LEI: BN6WCCZ8OVP3ITUUVN49 | Long             | DBT              | CORP              | NL        |    568000 | PA      | $569175.76    | 0.08%             | 2024-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Playtech Plc                                      | Playtech Plc                                                                                                                   | CUSIP: 000000000<br>LEI: 21380068TTB6Z9ZEU548 | Long             | DBT              | CORP              | IM        |    310000 | PA      | $312164.59    | 0.05%             | 2026-03-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 3133KNWY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6433286 | PA      | $5276180.62   | 0.78%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                                     | CUSIP: 458140CC2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1536000 | PA      | $1355351.04   | 0.20%             | 2062-08-05      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                      | UBS Group AG                                                                                                                   | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $197740.00    | 0.03%             | 2025-02-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                    | PMT Credit Risk Transfer Trust 2019-2R                                                                                         | CUSIP: 69345WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    719737 | PA      | $688790.87    | 0.10%             | 2023-05-27      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                               | Synchrony Financial                                                                                                            | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    200000 | PA      | $178534.00    | 0.03%             | 2027-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO IX Ltd                                | Elmwood CLO IX Ltd                                                                                                             | CUSIP: 29003UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1463590.50   | 0.22%             | 2034-07-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                                                                    | CUSIP: 68389XAM7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    270000 | PA      | $247895.10    | 0.04%             | 2040-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                            | Standard Chartered PLC                                                                                                         | CUSIP: 853254BH2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $199218.00    | 0.03%             | 2023-04-02      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA1                                                                                        | CUSIP: 35564KPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    903868 | PA      | $880659.69    | 0.13%             | 2042-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140E6KU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757735 | PA      | $683988.57    | 0.10%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                          | International Business Machines Corp                                                                                           | CUSIP: 459200KV2<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   1499000 | PA      | $1370640.63   | 0.20%             | 2052-07-27      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    199700 | PA      | $165938.22    | 0.02%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 3137FRZU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5227471 | PA      | $1097997.91   | 0.16%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 31346YAV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    616328 | PA      | $571398.46    | 0.08%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                   | CVS Health Corp                                                                                                                | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     87000 | PA      | $84151.62     | 0.01%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA3                                                                                        | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    711298 | PA      | $702856.96    | 0.10%             | 2042-04-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31419LZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413371 | PA      | $400037.53    | 0.06%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                   | MVW 2021-2 LLC                                                                                                                 | CUSIP: 55400KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    826399 | PA      | $740472.49    | 0.11%             | 2039-05-20      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                     | Radnor RE 2019-2 Ltd                                                                                                           | CUSIP: 75049TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    115956 | PA      | $115824.11    | 0.02%             | 2029-06-25      | Floating      | 6.14%                 | 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        |   1059000 | PA      | $920366.31    | 0.14%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                    | Long: IS1S4J8   CDS USD R F  3.00000 IS1S4J8 CMBX / Short: IS1S4J8   CDS USD P V 01MEVENT IS1S4K9 CMBX                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     73497 | OU      | $-17978.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                                   | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1678000 | PA      | $1745354.92   | 0.26%             | 2028-11-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $42476.56     | 0.01%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Suncor Energy Inc                                 | Suncor Energy Inc                                                                                                              | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |   1377000 | PA      | $1445285.43   | 0.21%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13171000 | PA      | $10750417.81  | 1.59%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO1, LTD           | Goldentree Loan Management US Clo 7 Ltd                                                                                        | CUSIP: 38138LAL2<br>LEI: 549300DO8S88M0JNL340 | Long             | ABS-CBDO         | CORP              | KY        |   1491000 | PA      | $1448024.91   | 0.21%             | 2034-04-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Hardee's Funding                                  | Hardee's Funding LLC                                                                                                           | CUSIP: 411707AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    780112 | PA      | $717897.75    | 0.11%             | 2048-06-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31418TDT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10427 | PA      | $10549.35     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                    | CPS Auto Receivables Trust 2021-C                                                                                              | CUSIP: 12598CAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1236633.62   | 0.18%             | 2027-06-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                 | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    717000 | PA      | $739083.60    | 0.11%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| MDC Holdings Inc                                  | MDC Holdings Inc                                                                                                               | CUSIP: 552676AQ1<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |    968000 | PA      | $792085.36    | 0.12%             | 2043-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | Long: IS1SDF7   CDS USD R F  3.00000 IS1SDF7 CMBX / Short: IS1SDF7   CDS USD P V 01MEVENT IS1SDG8 CMBX                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    322498 | OU      | $-78888.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                                                                      | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    485000 | PA      | $307611.25    | 0.05%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                                                                 | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    385000 | PA      | $379610.00    | 0.06%             | 2029-08-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | Long: IS1PBC1   CDS USD R F  3.00000 IS1PBC1 CMBX / Short: IS1PBC1   CDS USD P V 01MEVENT IS1PBD2 CMBX                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     19641 | OU      | $-4804.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC          | Avis Budget Rental Car Funding AESOP LLC                                                                                       | CUSIP: 05377REW0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    763500 | PA      | $760965.80    | 0.11%             | 2024-03-20      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                                  | CUSIP: 172967MU2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    788000 | PA      | $687348.76    | 0.10%             | 2025-12-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                             | Bank of Ireland Group PLC                                                                                                      | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    571000 | PA      | $568521.86    | 0.08%             | 2026-09-16      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| INVERSIONES CMPC SA                               | Inversiones CMPC SA                                                                                                            | CUSIP: 46128MAN1<br>LEI: 549300G475ACIABB4385 | Long             | DBT              | CORP              | CL        |         0 | PA      | $0.00         | 0.00%             | 2030-01-13      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                                                                       | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    330000 | PA      | $338151.00    | 0.05%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    280000 | PA      | $240275.00    | 0.04%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                    | S&P Global Inc                                                                                                                 | CUSIP: 78409VAZ7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    411000 | PA      | $392229.63    | 0.06%             | 2029-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138X6P58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1444886 | PA      | $1397035.41   | 0.21%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2013-GC11                                                                                  | CUSIP: 17320DAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $1131544.96   | 0.17%             | 2046-04-10      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| GSF 2021 1 ISSUER LLC                             | GSF 2021 1 ISSUER LLC                                                                                                          | CUSIP: 36261CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1184639 | PA      | $1100656.04   | 0.16%             | 2026-08-15      | Variable      | 1.43%                 | No            |                  3 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                              | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    715000 | PA      | $618703.80    | 0.09%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P                              | Conn's Receivables Funding 2021-A LLC                                                                                          | CUSIP: 20825GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2233 | PA      | $2227.02      | 0.00%             | 2026-05-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 3137FR3C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2046170 | PA      | $208849.75    | 0.03%             | 2050-02-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912828WE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    160000 | PA      | $157250.00    | 0.02%             | 2023-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL LTD                       | CLNY Trust 2019-IKPR                                                                                                           | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1340958.84   | 0.20%             | 2038-11-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                                                               | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1051980 | PA      | $874912.83    | 0.13%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2022-R07                                                                                   | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1974827 | PA      | $1992264.73   | 0.29%             | 2042-06-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2015-LC21 Mortgage Trust                                                                                                  | CUSIP: 12593FBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2081308 | PA      | $26496.72     | 0.00%             | 2048-07-10      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34871000 | PA      | $34729336.56  | 5.14%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                             | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173141 | PA      | $156997.89    | 0.02%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5327100 | PA      | $4004480.95   | 0.59%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197051 | PA      | $201995.42    | 0.03%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                                                                            | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    845000 | PA      | $790345.40    | 0.12%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AES PANAMA GENERATION HL                          | AES Panama Generation Holdings SRL                                                                                             | CUSIP: 00109AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | PA        |    487000 | PA      | $419976.63    | 0.06%             | 2030-05-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA6                                                                                        | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    747682 | PA      | $748138.22    | 0.11%             | 2042-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    165000 | PA      | $135557.81    | 0.02%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2022-R05                                                                                   | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1206445 | PA      | $1167842.62   | 0.17%             | 2042-04-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 3133A1B92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1408681 | PA      | $1309071.48   | 0.19%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS 2020-BID Mortgage Trust                                                                                                  | CUSIP: 05493BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1998000 | PA      | $1928265.00   | 0.29%             | 2037-10-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2013-G1                                                                                           | CUSIP: 36197QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785044 | PA      | $780104.81    | 0.12%             | 2031-04-10      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                    | Var Energi ASA                                                                                                                 | CUSIP: 92212WAE0<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |   1108000 | PA      | $1142237.20   | 0.17%             | 2032-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                    | Long: IS1P8K8   CDS USD R F  3.00000 IS1P8K8 CMBX / Short: IS1P8K8   CDS USD P V 01MEVENT IS1P8L9 CMBX                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     27244 | OU      | $-6664.44     | -0.00%            |  |  |  | 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        |    260000 | PA      | $210784.60    | 0.03%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                  | Flatiron CLO 21 Ltd                                                                                                            | CUSIP: 33883PAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1130000 | PA      | $1102368.11   | 0.16%             | 2034-07-19      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5490000 | PA      | $4532681.25   | 0.67%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-DNA5                                                                                        | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    609419 | PA      | $601045.59    | 0.09%             | 2034-01-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140JYGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1773749 | PA      | $1644999.78   | 0.24%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR MIDCO GMBH                            | TK Elevator Midco GmbH                                                                                                         | CUSIP: 000000000<br>LEI: 254900K869UN2ZWVB351 | Long             | DBT              | CORP              | DE        |    331000 | PA      | $314082.34    | 0.05%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp        | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                                                                       | CUSIP: 341271AE4<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |   1634000 | PA      | $1422671.35   | 0.21%             | 2027-07-01      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                    | Var Energi ASA                                                                                                                 | CUSIP: 92212WAD2<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |   1132000 | PA      | $1151753.40   | 0.17%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Atalaya Equipment Leasing Fund I LP               | Atalaya Equipment Leasing Trust 21-1                                                                                           | CUSIP: 046497AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    509000 | PA      | $477180.37    | 0.07%             | 2027-02-15      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                   | Danske Bank A/S                                                                                                                | CUSIP: 23636AAP6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1744000 | PA      | $1720525.76   | 0.25%             | 2023-09-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA1                                                                                        | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1223238 | PA      | $1160695.68   | 0.17%             | 2042-01-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140HAXF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    678527 | PA      | $629487.38    | 0.09%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINL SER                          | Harley-Davidson Financial Services Inc                                                                                         | CUSIP: 41283LBA2<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |   1664000 | PA      | $1487016.96   | 0.22%             | 2027-02-14      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                            | Rockford Tower CLO 2021-1 Ltd                                                                                                  | CUSIP: 77341KAJ0<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-CBDO         | CORP              | KY        |   1882790 | PA      | $1732646.91   | 0.26%             | 2034-07-20      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                          | CUSIP: 31335A6X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    657912 | PA      | $637012.92    | 0.09%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OLEODUCTO CENTRAL SA                              | Oleoducto Central SA                                                                                                           | CUSIP: 680617AC1<br>LEI: 254900W4CPYCQFVH5E92 | Long             | DBT              | CORP              | CO        |    491000 | PA      | $431098.00    | 0.06%             | 2027-07-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLOBO COMMUNICACOES PART                          | Globo Comunicacao e Participacoes SA                                                                                           | CUSIP: 37959DAB0<br>LEI: 52990054HEKS017PVR75 | Long             | DBT              | CORP              | BR        |    645000 | PA      | $537889.69    | 0.08%             | 2030-01-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                        | BFLD Trust                                                                                                                     | CUSIP: 05554BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2976000 | PA      | $2838515.94   | 0.42%             | 2038-06-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | Long: IS1AAR4   CDS USD R F  3.00000 IS1AAR4 CMBX-BBB--398690 / Short: IS1AAR4   CDS USD P V 00MEVENT IS1AAS5 CMBX-BBB--398690 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    233795 | OU      | $-57190.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140FHQA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48297 | PA      | $45213.12     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities            | Natixis Commercial Mortgage Securities Trust 2019-MILE                                                                         | CUSIP: 63875FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    666204 | PA      | $637116.80    | 0.09%             | 2036-07-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE ENERGY PARTNERS                          | Enbridge Energy Partners LP                                                                                                    | CUSIP: 29250RAX4<br>LEI: CZ6VG2MNE1J6YDI02G48 | Long             | DBT              | CORP              | US        |   1337000 | PA      | $1495621.68   | 0.22%             | 2045-10-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |       -21 | NC      | $459289.92    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38380GQ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    851945 | PA      | $79100.37     | 0.01%             | 2047-09-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2022-X1                                                                                      | CUSIP: 00834HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    835764 | PA      | $812506.80    | 0.12%             | 2027-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 3136B0CN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1361821 | PA      | $149733.90    | 0.02%             | 2047-12-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140FTKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61299 | PA      | $57384.99     | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                           | Royal Caribbean Cruises Ltd                                                                                                    | CUSIP: 780153BS0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    993000 | PA      | $998660.10    | 0.15%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14509500 | PA      | $14473226.25  | 2.14%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                    | Morgan Stanley                                                                                                                 | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1502000 | PA      | $1374690.48   | 0.20%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-SFS Mortgage Trust                                                                                                   | CUSIP: 12625EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49211 | PA      | $48776.13     | 0.01%             | 2035-04-12      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                                                                                    | CUSIP: 912796YT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  21166600 | PA      | $20364915.03  | 3.01%             | 2023-11-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                                                                    | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1238000 | PA      | $1090120.90   | 0.16%             | 2028-02-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31410F3K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1723 | PA      | $1765.36      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE INSURANCE                           | Guardian Life Insurance Co of America/The                                                                                      | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |    868000 | PA      | $714355.32    | 0.11%             | 2077-01-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132Y3BL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    640777 | PA      | $631007.96    | 0.09%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                              | Western Digital Corp                                                                                                           | CUSIP: 958102AQ8<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |    161000 | PA      | $124517.40    | 0.02%             | 2029-02-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Prudential Financial Inc                          | Prudential Financial Inc                                                                                                       | CUSIP: 744320AV4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    139000 | PA      | $134553.39    | 0.02%             | 2045-05-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                           | Transcontinental Gas Pipe Line Co LLC                                                                                          | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FED CAISSES DESJARDINS                            | Federation des Caisses Desjardins du Quebec                                                                                    | CUSIP: 31429KAH6<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |   1523000 | PA      | $1461409.88   | 0.22%             | 2027-08-23      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC          | Avis Budget Rental Car Funding AESOP LLC                                                                                       | CUSIP: 05377RCY8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1683157.42   | 0.25%             | 2024-09-20      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1736000 | PA      | $1334550.00   | 0.20%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25                                                                    | CUSIP: 61765TAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1911795 | PA      | $37291.47     | 0.01%             | 2048-10-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA5                                                                                        | CUSIP: 35564KYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2273720 | PA      | $2377282.26   | 0.35%             | 2042-06-25      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1346000 | PA      | $1263759.40   | 0.19%             | 2026-07-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2022-R01                                                                                   | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2305760 | PA      | $2189626.48   | 0.32%             | 2041-12-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| TERRAFORM GLOBAL OPERATI                          | Terraform Global Operating LP                                                                                                  | CUSIP: 88104UAC7<br>LEI: 549300LC7QMVR79H5O86 | Long             | DBT              | CORP              | US        |    117000 | PA      | $108944.55    | 0.02%             | 2026-03-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| LYB INTL FINANCE BV                               | LYB International Finance BV                                                                                                   | CUSIP: 50247VAA7<br>LEI: 549300J6QSW38QNOJK61 | Long             | DBT              | CORP              | NL        |    187000 | PA      | $185595.63    | 0.03%             | 2023-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROSS STORES INC                                   | Ross Stores Inc                                                                                                                | CUSIP: 778296AC7<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |   1925000 | PA      | $1894180.75   | 0.28%             | 2027-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                     | Aircastle Ltd                                                                                                                  | CUSIP: 00928QAT8<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    906000 | PA      | $872305.86    | 0.13%             | 2025-08-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140M2LW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6448417 | PA      | $5706467.49   | 0.84%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    645600 | PA      | $572364.75    | 0.08%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31402CVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2210 | PA      | $2261.54      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                       | Swedbank AB                                                                                                                    | CUSIP: 000000000<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    600000 | PA      | $574620.00    | 0.09%             | 2024-09-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                               | Synchrony Financial                                                                                                            | CUSIP: 87165BAG8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    193000 | PA      | $185482.65    | 0.03%             | 2025-07-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                                                               | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    158000 | PA      | $170012.74    | 0.03%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                    | Long: IS1U5X5   CDS USD R F  3.00000 IS1U5X5 CMBX / Short: IS1U5X5   CDS USD P V 01MEVENT IS1U5Y6 CMBX                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |     15840 | OU      | $-3874.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Voya Financial Inc                                | Voya Financial Inc                                                                                                             | CUSIP: 45685EAG1<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |    742000 | PA      | $728844.34    | 0.11%             | 2053-05-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140M2QB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5116769 | PA      | $4528037.34   | 0.67%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Trust                     | Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates Series 2004-1                                                 | CUSIP: 86359BMW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38413 | PA      | $36321.71     | 0.01%             | 2034-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138MFS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3205957 | PA      | $2999893.60   | 0.44%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** BERNSTEIN SANFORD C FUND II INC

**Signature:** Joseph Mantineo

**Name of Signer:** Joseph Mantineo

**Title:** Treasurer and Chief Financial Officer