# EDGAR Filing Document

**Accession Number:** 0000003794
**File Stem:** 0001752724-23-070294
**Filing Date:** 2023-3
**Character Count:** 293163
**Document Hash:** ebef0a6cdfebb948fd517a8eefff3c12
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-070294.hdr.sgml**: 20230328

**ACCESSION NUMBER**: 0001752724-23-070294

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230328

**DATE AS OF CHANGE**: 20230328

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AB BOND FUND, INC.
- **CENTRAL INDEX KEY:** 0000003794
- **IRS NUMBER:** 132754393
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02383
- **FILM NUMBER:** 23770490

**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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ALLIANCEBERNSTEIN BOND FUND INC
- **DATE OF NAME CHANGE:** 20030319

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ALLIANCE BOND FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### AB Total Return Bond Portfolio (Series ID: S000010305)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000028493 | Class A       | ABQUX           |
| C000028495 | Class C       | ABQCX           |
| C000028496 | Advisor Class | ABQYX           |
| C000028497 | Class R       | ABQRX           |
| C000028498 | Class K       | ABQKX           |
| C000028499 | Class I       | ABQIX           |
| C000143890 | Class Z       | ABQZX           |

## Nport-Ex

**AB Total Return Bond Portfolio** 

**Portfolio of Investments** 

**January 31, 2023 (unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  **CORPORATES - INVESTMENT GRADE – 27.7%** |  |  |  |
|  **Industrial – 14.5%** |  |  |  |
|  **Basic – 0.6%** |  |  |  |
|  Anglo American Capital PLC <br>3.875%, 03/16/2029<sup>(a)</sup> | U.S.$| 238 | $221786 |
|  Celanese US Holdings LLC <br>5.90%, 07/05/2024 |  | 455 | 457653 |
|  Freeport Indonesia PT <br>4.763%, 04/14/2027<sup>(a)</sup> |  | 390 | 378343 |
|  Suzano Austria GmbH <br>3.75%, 01/15/2031 |  | 145 | 123692 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1181474 |
|  **Capital Goods – 0.7%** |  |  |  |
|  CNH Industrial Capital LLC <br>3.95%, 05/23/2025 |  | 375 | 367219 |
|  Flowserve Corp. <br>2.80%, 01/15/2032 |  | 425 | 339524 |
|  Parker-Hannifin Corp. <br>3.25%, 06/14/2029 |  | 255 | 236237 |
|  Regal Rexnord Corp. <br>6.05%, 02/15/2026<sup>(a)</sup> |  | 401 | 407019 |
|  |  |  | 1349999 |
|  **Communications - Media – 1.6%** |  |  |  |
|  Charter Communications Operating LLC/Charter Communications Operating Capital <br>5.125%, 07/01/2049 |  | 198 | 163352 |
|  Discovery Communications LLC<br>5.20%, 09/20/2047 |  | 178 | 148432 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 05/15/2049 |  | 81 | 68492 |
|  Fox Corp.<br>4.709%, 01/25/2029 |  | 240 | 237206 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.576%, 01/25/2049 |  | 407 | 393272 |
|  Interpublic Group of Cos., Inc. (The) <br>4.65%, 10/01/2028 |  | 178 | 175679 |
|  Prosus NV<br>3.257%, 01/19/2027<sup>(a)</sup> |  | 219 | 198743 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.68%, 01/21/2030<sup>(a)</sup> |  | 545 | 469722 |
|  Tencent Holdings Ltd. <br>3.24%, 06/03/2050<sup>(a)</sup> |  | 328 | 224741 |
|  Weibo Corp. <br>3.375%, 07/08/2030 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1312 | 1095520 |
|  |  |  | 3175159 |
|  **Consumer Cyclical - Automotive – 0.8%** |  |  |  |
|  General Motors Financial Co., Inc. <br>4.30%, 04/06/2029 |  | 78 | 72938 |
|  Harley-Davidson Financial Services, Inc. <br>3.05%, 02/14/2027<sup>(a)</sup> |  | 501 | 458330 |
|  Nissan Motor Co., Ltd. <br>4.345%, 09/17/2027<sup>(a)</sup> |  | 1120 | 1053416 |
|  |  |  | 1584684 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  **Consumer Cyclical - Other – 0.5%** |  |  |  |
|  Las Vegas Sands Corp. <br>3.90%, 08/08/2029 | U.S.$| 797 | $713307 |
|  MDC Holdings, Inc. <br>6.00%, 01/15/2043 |  | 346 | 306881 |
|  |  |  | 1020188 |
|  **Consumer Cyclical - Retailers – 1.0%** |  |  |  |
|  Advance Auto Parts, Inc. <br>3.90%, 04/15/2030 |  | 811 | 738375 |
|  Lowe's Cos., Inc. <br>5.80%, 09/15/2062 |  | 336 | 349584 |
|  Ross Stores, Inc. <br>4.70%, 04/15/2027 |  | 893 | 888553 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1976512 |
|  **Consumer Non-Cyclical – 1.6%** |  |  |  |
|  Altria Group, Inc. <br>3.40%, 05/06/2030 |  | 750 | 664072 |
|  BAT Capital Corp.<br>2.259%, 03/25/2028 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1125 | 966949 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.906%, 04/02/2030 |  | 196 | 185424 |
|  Cargill, Inc. <br>5.125%, 10/11/2032<sup>(a)</sup> |  | 248 | 258294 |
|  CVS Health Corp. <br>4.30%, 03/25/2028 |  | 28 | 27536 |
|  Ochsner LSU Health System of North Louisiana <br>Series 2021 <br>2.51%, 05/15/2031 |  | 520 | 391451 |
|  Philip Morris International, Inc.<br>5.00%, 11/17/2025 |  | 303 | 307078 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 11/17/2029 |  | 56 | 58489 |
|  Zoetis, Inc. <br>5.40%, 11/14/2025 |  | 347 | 354846 |
|  |  |  | 3214139 |
|  **Energy – 2.5%** |  |  |  |
|  BP Capital Markets America, Inc. <br>2.939%, 06/04/2051 |  | 1201 | 858799 |
|  Continental Resources, Inc./OK<br>2.875%, 04/01/2032<sup>(a)</sup> |  | 454 | 355028 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 01/15/2031<sup>(a)</sup> |  | 335 | 328846 |
|  Marathon Oil Corp. <br>6.80%, 03/15/2032 |  | 650 | 698198 |
|  Oleoducto Central SA <br>4.00%, 07/14/2027<sup>(a)</sup> |  | 429 | 379477 |
|  ONEOK Partners LP <br>6.125%, 02/01/2041 |  | 48 | 48816 |
|  ONEOK, Inc.<br>4.35%, 03/15/2029 |  | 425 | 405042 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.35%, 01/15/2031 |  | 217 | 230994 |
|  Suncor Energy, Inc. <br>6.80%, 05/15/2038 |  | 534 | 599890 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Tengizchevroil Finance Co. International Ltd. <br>3.25%, 08/15/2030<sup>(a)</sup> | U.S.$| 237 | $178639 |
|  Var Energi ASA<br>7.50%, 01/15/2028<sup>(a)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;314 | 330818 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 11/15/2032<sup>(a)</sup> |  | 402 | 440266 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4854813 |
|  **Other Industrial – 0.3%** |  |  |  |
|  Alfa SAB de CV <br>5.25%, 03/25/2024<sup>(a)</sup> |  | 530 | 525793 |
|  **Services – 0.5%** |  |  |  |
|  Booking Holdings, Inc. <br>4.50%, 11/15/2031 | EUR | 320 | 363164 |
|  Expedia Group, Inc. <br>6.25%, 05/01/2025<sup>(a)</sup> | U.S.$| 33 | 33572 |
|  Global Payments, Inc.<br>3.20%, 08/15/2029 |  | 290 | 257476 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 08/15/2032 |  | 288 | 289040 |
|  S&P Global, Inc. <br>4.75%, 08/01/2028<sup>(a)</sup> |  | 32 | 32404 |
|  |  |  | 975656 |
|  **Technology – 3.8%** |  |  |  |
|  Apple, Inc. <br>4.10%, 08/08/2062 |  | 350 | 312252 |
|  Broadcom, Inc.<br>4.00%, 04/15/2029<sup>(a)</sup> |  | 53 | 49611 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 11/15/2030 |  | 240 | 223908 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 04/15/2032<sup>(a)</sup> |  | 187 | 170791 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.926%, 05/15/2037<sup>(a)</sup> |  | 547 | 502168 |
|  Entegris Escrow Corp. <br>4.75%, 04/15/2029<sup>(a)</sup> |  | 395 | 370597 |
|  Fiserv, Inc. <br>3.50%, 07/01/2029 |  | 869 | 809022 |
|  Honeywell International, Inc. <br>4.125%, 11/02/2034 | EUR | 410 | 457735 |
|  HP, Inc. <br>5.50%, 01/15/2033 | U.S.$| 592 | 581516 |
|  Infor, Inc. <br>1.75%, 07/15/2025<sup>(a)</sup> |  | 279 | 253723 |
|  Intel Corp. <br>5.05%, 08/05/2062 |  | 467 | 436944 |
|  International Business Machines Corp.<br>4.50%, 02/06/2026 |  | 396 | 396404 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 07/27/2052 |  | 457 | 444602 |
|  Kyndryl Holdings, Inc. <br>2.05%, 10/15/2026 |  | 869 | 749304 |
|  Micron Technology, Inc. <br>6.75%, 11/01/2029 |  | 562 | 598333 |
|  NXP BV/NXP Funding LLC <br>5.55%, 12/01/2028 |  | 277 | 285349 |
|  NXP BV/NXP Funding LLC/NXP USA, Inc. <br>3.40%, 05/01/2030 |  | 298 | 266966 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Oracle Corp. <br>5.375%, 07/15/2040 | U.S.$| 90 | $87874 |
|  SK Hynix, Inc. <br>2.375%, 01/19/2031<sup>(a)</sup> |  | &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;280 | 210927 |
|  TSMC Arizona Corp. <br>3.875%, 04/22/2027 |  | 241 | 235293 |
|  |  |  | 7443319 |
|  **Transportation - Airlines – 0.3%** |  |  |  |
|  Delta Air Lines, Inc./SkyMiles IP Ltd.<br>4.50%, 10/20/2025<sup>(a)</sup> |  | 316 | 312364 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 10/20/2028<sup>(a)</sup> |  | 401 | 389872 |
|  |  |  | 702236 |
|  **Transportation - Railroads – 0.1%** |  |  |  |
|  Lima Metro Line 2 Finance Ltd. <br>5.875%, 07/05/2034<sup>(a)</sup> |  | 163 | 159018 |
|  **Transportation - Services – 0.2%** |  |  |  |
|  ENA Master Trust <br>4.00%, 05/19/2048<sup>(a)</sup> |  | 457 | 358031 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28521021 |
|  **Financial Institutions – 12.6%** |  |  |  |
|  **Banking – 9.0%** |  |  |  |
|  AIB Group PLC <br>7.583%, 10/14/2026<sup>(a)</sup> |  | 845 | 874541 |
|  Australia & New Zealand Banking Group Ltd. <br>4.83%, 02/03/2025<sup>(a)</sup> |  | 397 | 397552 |
|  Banco de Credito del Peru S.A. <br>3.125%, 07/01/2030<sup>(a)</sup> |  | 635 | 583384 |
|  Banco Santander SA <br>4.175%, 03/24/2028 |  | 400 | 380332 |
|  Bank of America Corp. <br>4.376%, 04/27/2028 |  | 503 | 491939 |
|  Bank of Ireland Group PLC <br>6.253%, 09/16/2026<sup>(a)</sup> |  | 215 | 217980 |
|  Bank of Nova Scotia (The) <br>4.75%, 02/02/2026 |  | 394 | 393787 |
|  Barclays PLC <br>7.385%, 11/02/2028 |  | 384 | 415983 |
|  BNP Paribas SA <br>4.625%, 02/25/2031<sup>(a) (b)</sup> |  | 463 | 379623 |
|  Capital One Financial Corp. <br>5.468%, 02/01/2029 |  | 118 | 118695 |
|  Citigroup, Inc. <br>Series W <br>4.00%, 12/10/2025<sup>(b)</sup> |  | 329 | 306871 |
|  Credit Suisse Group AG<br>3.091%, 05/14/2032<sup>(a)</sup> |  | 319 | 242469 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.194%, 04/01/2031<sup>(a)</sup> |  | 396 | 334319 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.373%, 07/15/2026<sup>(a)</sup> |  | 369 | 358273 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Danske Bank A/S<br>4.298%, 04/01/2028<sup>(a)</sup> | U.S.$| 360 | $346561 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.466%, 01/09/2026<sup>(a)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;258 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;261857 |
|  Deutsche Bank AG/New York NY<br>3.961%, 11/26/2025 |  | 265 | 256756 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.119%, 07/14/2026 |  | 294 | 297948 |
|  Discover Bank <br>4.682%, 08/09/2028 |  | 250 | 242572 |
|  Federation des Caisses Desjardins du Quebec <br>4.55%, 08/23/2027<sup>(a)</sup> |  | 464 | 458154 |
|  Goldman Sachs Group, Inc. (The) <br>Series V <br>4.125%, 11/10/2026<sup>(b)</sup> |  | 268 | 239094 |
|  HSBC Holdings PLC<br>4.292%, 09/12/2026 |  | 240 | 233693 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.583%, 06/19/2029 |  | 224 | 217018 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.762%, 03/29/2033 |  | 323 | 297787 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.336%, 11/03/2026 |  | 323 | 341001 |
|  Intesa Sanpaolo SpA<br>5.017%, 06/26/2024<sup>(a)</sup> |  | 288 | 280581 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 11/21/2025<sup>(a)</sup> |  | 214 | 221092 |
|  JPMorgan Chase & Co. <br>5.546%, 12/15/2025 |  | 610 | 614929 |
|  KBC Group NV <br>5.796%, 01/19/2029<sup>(a)</sup> |  | 232 | 235371 |
|  Lloyds Banking Group PLC <br>7.953%, 11/15/2033 |  | 504 | 575780 |
|  Mizuho Financial Group, Inc. <br>5.414%, 09/13/2028 |  | 444 | 453661 |
|  Morgan Stanley<br>0.406%, 10/29/2027 | EUR | 309 | 294842 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.772%, 01/24/2029 | U.S.$| 515 | 489590 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.21%, 04/20/2028 |  | 358 | 347969 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.296%, 10/18/2028 |  | 144 | 152204 |
|  Nationwide Building Society <br>2.972%, 02/16/2028<sup>(a)</sup> |  | 398 | 362658 |
|  NatWest Group PLC <br>7.472%, 11/10/2026 |  | 260 | 275046 |
|  PNC Financial Services Group, Inc. (The) <br>5.068%, 01/24/2034 |  | 112 | 112926 |
|  Santander UK Group Holdings PLC <br>6.833%, 11/21/2026 |  | 607 | 627966 |
|  Societe Generale SA <br>2.797%, 01/19/2028<sup>(a)</sup> |  | 778 | 701095 |
|  Standard Chartered PLC<br>3.971%, 03/30/2026<sup>(a)</sup> |  | 268 | 259092 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 07/26/2025<sup>(a) (b)</sup> |  | 478 | 468999 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.312% (LIBOR 3 Month + 1.51%), 01/30/2027<sup>(a) (b) (c)</sup> |  | 400 | 349460 |
|  Swedbank AB <br>Series NC5 <br>5.625%, 09/17/2024<sup>(a) (b)</sup> |  | 400 | 389000 |
|  UBS Group AG <br>7.00%, 02/19/2025<sup>(a) (b)</sup> |  | 312 | 314377 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  UniCredit SpA<br>1.982%, 06/03/2027<sup>(a)</sup> | U.S.$| &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;205 | $180002 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.569%, 09/22/2026<sup>(a)</sup> |  | 391 | 353820 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.127%, 06/03/2032<sup>(a)</sup> |  | 356 | 287520 |
|  US Bancorp <br>Series J <br>5.30%, 04/15/2027<sup>(b)</sup> |  | 380 | 358051 |
|  Wells Fargo & Co.<br>3.584%, 05/22/2028 191 |  |  | 181536 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series BB<br>3.90%, 03/15/2026<sup>(b)</sup> |  | 273 | 251468 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17827224 |
|  **Brokerage – 0.5%** |  |  |  |
|  Charles Schwab Corp. (The)<br>Series G<br>5.375%, 06/01/2025<sup>(b)</sup> |  | 260 | 258864 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series I<br>4.00%, 06/01/2026<sup>(b)</sup> |  | 469 | 431958 |
|  Nomura Holdings, Inc. <br>5.709%, 01/09/2026 |  | 324 | 328290 |
|  |  |  | 1019112 |
|  **Finance – 1.8%** |  |  |  |
|  Air Lease Corp.<br>2.875%, 01/15/2026 |  | 72 | 67565 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 04/01/2027 |  | 34 | 31980 |
|  Aircastle Ltd.<br>2.85%, 01/26/2028<sup>(a)</sup> |  | 835 | 727093 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 05/01/2024 |  | 152 | 148817 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/15/2026 |  | 53 | 51093 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 08/11/2025<sup>(a)</sup> |  | 384 | 375721 |
|  Aviation Capital Group LLC<br>1.95%, 01/30/2026<sup>(a)</sup> |  | 449 | 399170 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 09/20/2026<sup>(a)</sup> |  | 133 | 115682 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/01/2027<sup>(a)</sup> |  | 136 | 121833 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 08/01/2025<sup>(a)</sup> |  | 5 | 4717 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 01/30/2024<sup>(a)</sup> |  | 135 | 132502 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 10/01/2025<sup>(a)</sup> |  | 153 | 146123 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/15/2024<sup>(a)</sup> |  | 381 | 377899 |
|  CDBL Funding 1 <br>3.50%, 10/24/2027<sup>(a)</sup> |  | 580 | 544156 |
|  Synchrony Financial <br>2.875%, 10/28/2031 |  | 420 | 326932 |
|  |  |  | 3571283 |
|  **Insurance – 0.8%** |  |  |  |
|  Guardian Life Insurance Co. of America (The) <br>4.85%, 01/24/2077<sup>(a)</sup> |  | 294 | 261351 |
|  MetLife Capital Trust IV <br>7.875%, 12/15/2037<sup>(a)</sup> |  | 699 | 768900 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Swiss Re Finance Luxembourg SA <br>5.00%, 04/02/2049<sup>(a)</sup> | U.S.$| 400 | $387660 |
|  Voya Financial, Inc. <br>5.65%, 05/15/2053 |  | 180 | 179241 |
|  |  |  | 1597152 |
|  **REITs – 0.5%** |  |  |  |
|  GLP Capital LP/GLP Financing II, Inc. <br>3.25%, 01/15/2032 |  | 397 | 330475 |
|  Vornado Realty LP <br>3.40%, 06/01/2031 |  | 709 | 548624 |
|  |  |  | 879099 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24893870 |
|  **Utility – 0.6%** |  |  |  |
|  **Electric – 0.6%** |  |  |  |
|  AES Panama Generation Holdings SRL <br>4.375%, 05/31/2030<sup>(a)</sup> |  | 274 | 243911 |
|  Chile Electricity Pec SpA <br>Zero Coupon, 01/25/2028<sup>(a)</sup> |  | 679 | 501314 |
|  Duke Energy Carolinas NC Storm Funding LLC <br>Series A-2 <br>2.617%, 07/01/2041 |  | 306 | 235712 |
|  Engie Energia Chile SA <br>3.40%, 01/28/2030<sup>(a)</sup> |  | 349 | 291372 |
|  |  |  | 1272309 |
|  Total Corporates - Investment Grade <br>(cost $59,642,313) |  |  | 54687200 |
|  **MORTGAGE PASS-THROUGHS – 21.5%** |  |  |  |
|  **Agency Fixed Rate 30-Year – 20.6%** |  |  |  |
|  Federal Home Loan Mortgage Corp.<br>Series 2019<br>3.50%, 10/01/2049 |  | 183 | 174876 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/01/2049 |  | 244 | 233198 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020<br>3.50%, 01/01/2050 |  | 698 | 668263 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022<br>2.00%, 03/01/2052 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1938 | 1639166 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/01/2052 |  | 2291 | 2016923 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/2052 |  | 1286 | 1176365 |
|  Federal Home Loan Mortgage Corp. Gold<br>Series 2005<br>5.50%, 01/01/2035 |  | 76 | 78930 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007<br>5.50%, 07/01/2035 |  | 13 | 13290 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016<br>4.00%, 02/01/2046 |  | 522 | 518026 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017<br>4.00%, 07/01/2044 |  | 345 | 341905 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018<br>4.50%, 03/01/2048 |  | 139 | 140169 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/01/2048 |  | 335 | 338011 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/01/2048 | U.S.$| 435 | $438875 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/01/2048 |  | 160 | 163938 |
|  Federal National Mortgage Association<br>Series 2003<br>5.50%, 04/01/2033 |  | 24 | 24393 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 07/01/2033 |  | 52 | 53745 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2004<br>5.50%, 04/01/2034 |  | 6 | 6552 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 05/01/2034 |  | 15 | 15879 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 11/01/2034 |  | 22 | 23079 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/01/2035 |  | 211 | 219359 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005<br>5.50%, 02/01/2035 |  | 31 | 32010 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007<br>5.50%, 08/01/2037 |  | 157 | 162378 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2010<br>4.00%, 12/01/2040 |  | 216 | 214141 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2012<br>3.50%, 02/01/2042 |  | 142 | 137156 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/01/2042 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1443498 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/01/2043 |  | 251 | 241977 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013<br>3.50%, 04/01/2043 |  | 856 | 826406 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/01/2043 |  | 523 | 518999 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016<br> 3.50%, 01/01/2047 |  | 384 | 368601 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018<br>4.50%, 09/01/2048 |  | 748 | 754423 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019<br>3.50%, 08/01/2049 |  | 560 | 534969 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/01/2049 |  | 262 | 250581 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/01/2049 |  | 497 | 474376 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020<br>3.50%, 01/01/2050 |  | 610 | 583123 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021<br>2.00%, 07/01/2051 |  | 1995 | 1682527 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/01/2052 |  | 655 | 576683 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022<br>2.50%, 03/01/2052 |  | 1427 | 1252713 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/01/2052 |  | 1477 | 1298652 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 05/01/2052 |  | 1896 | 1667999 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/01/2052 |  | 1691 | 1547769 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/2052 |  | 2145 | 1961533 |
|  Government National Mortgage Association<br>Series 2016<br>3.00%, 04/20/2046 |  | 74 | 68982 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/20/2046 |  | 179 | 167063 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023<br>3.00%, 02/01/2053, TBA |  | 418 | 383601 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/21/2053, TBA |  | 994 | 966239 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/01/2053, TBA |  | 2289 | 2272855 |
|  Uniform Mortgage-Backed Security<br>Series 2023<br>2.00%, 02/01/2053, TBA |  | 4891 | 4116543 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/01/2053, TBA |  | 5906 | 5169507 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/01/2053, TBA |  | 1585 | 1439000 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/01/2053, TBA | U.S.$| 1253 | $1209072 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40608318 |
|  **Agency Fixed Rate 15-Year – 0.9%** |  |  |  |
|  Federal National Mortgage Association<br>Series 2016<br>2.50%, 08/01/2031 |  | 101 | 96272 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 11/01/2031 |  | 453 | 430895 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 12/01/2031 |  | 595 | 566159 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/01/2032 |  | 148 | 140914 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017<br>2.50%, 02/01/2032 |  | 629 | 598800 |
|  |  |  | 1833040 |
|  **Agency ARMs – 0.0%** |  |  |  |
|  Federal Home Loan Mortgage Corp. <br>Series 2006 <br>4.25% (LIBOR 12 Month + 2.00%), 01/01/2037<sup>(c)</sup> |  | 8 | 8193 |
|  Total Mortgage Pass-Throughs <br>(cost $44,011,741) |  |  | 42449551 |
|  **GOVERNMENTS - TREASURIES – 18.0%** |  |  |  |
|  **United States – 18.0%** |  |  |  |
|  U.S. Treasury Bonds<br>1.25%, 05/15/2050 |  | 3371 | 1961795 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.375%, 02/15/2042 |  | 734 | 590985 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 08/15/2044<sup>(d)</sup> |  | 1549 | 1388650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/15/2042 |  | 1116 | 1031182 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 08/15/2042 |  | 992 | 934157 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/2042 |  | 728 | 749591 |
|  U.S. Treasury Notes<br>3.375%, 01/31/2028 |  | 440 | 437120 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 11/30/2027<sup>(d)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14915 | 15064150 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 12/31/2027 |  | 2615 | 2639828 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 01/31/2025 |  | 1251 | 1248746 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 10/31/2027 |  | 1364 | 1390001 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 11/15/2032 |  | 206 | 215760 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 12/31/2024 |  | 7937 | 7933479 |
|  Total Governments - Treasuries <br>(cost $35,785,156) |  |  | 35585444 |
|  **COLLATERALIZED MORTGAGE OBLIGATIONS – 11.9%** |  |  |  |
|  **Risk Share Floating Rate – 10.7%** |  |  |  |
|  Bellemeade Re Ltd.<br>Series 2019-1A, Class M1B<br>6.256% (LIBOR 1 Month + 1.75%), 03/25/2029<sup>(a) (c)</sup> |  | 8 | 8268 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class M2<br>7.606% (LIBOR 1 Month + 3.10%), 04/25/2029<sup>(a) (c)</sup> |  | 325 | 318007 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class M1B<br>6.106% (LIBOR 1 Month + 1.60%), 07/25/2029<sup>(a) (c)</sup> |  | 30 | 30126 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class M1C<br>6.456% (LIBOR 1 Month + 1.95%), 07/25/2029<sup>(a) (c)</sup> | U.S.$| 263 | $261760 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4A, Class M2<br>7.356% (LIBOR 1 Month + 2.85%), 10/25/2029<sup>(a) (c)</sup> |  | 540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;522877 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class M1C<br>7.26% (SOFR + 2.95%), 03/25/2031<sup>(a) (c)</sup> |  | 398 | 391845 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class M1C<br>8.01% (SOFR + 3.70%), 01/26/2032<sup>(a) (c)</sup> |  | 672 | 625661 |
|  Connecticut Avenue Securities Trust<br>Series 2018-R07, Class 1M2<br>6.906% (LIBOR 1 Month + 2.40%), 04/25/2031<sup>(a) (c)</sup> |  | 22 | 21667 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R01, Class 2M2<br>6.956% (LIBOR 1 Month + 2.45%), 07/25/2031<sup>(a) (c)</sup> |  | 75 | 75435 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R02, Class 1M2<br>6.806% (LIBOR 1 Month + 2.30%), 08/25/2031<sup>(a) (c)</sup> |  | 10 | 9705 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R06, Class 2M2<br>6.606% (LIBOR 1 Month + 2.10%), 09/25/2039<sup>(a) (c)</sup> |  | 5 | 5060 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-R01, Class 1B1<br>7.756% (LIBOR 1 Month + 3.25%), 01/25/2040<sup>(a) (c)</sup> |  | 500 | 481464 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SBT1, Class 1M2<br>8.156% (LIBOR 1 Month + 3.65%), 02/25/2040<sup>(a) (c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | 990173 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SBT1, Class 2M2<br>8.156% (LIBOR 1 Month + 3.65%), 02/25/2040<sup>(a) (c)</sup> |  | 300 | 302100 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R03, Class 1M2<br>5.96% (SOFR + 1.65%), 12/25/2041<sup>(a) (c)</sup> |  | 250 | 240342 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R01, Class 1B1<br>7.46% (SOFR + 3.15%), 12/25/2041<sup>(a) (c)</sup> |  | 625 | 594818 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R02, Class 2M1<br>5.51% (SOFR + 1.20%), 01/25/2042<sup>(a) (c)</sup> |  | 445 | 440321 |
|  Eagle Re Ltd.<br>Series 2018-1, Class M2<br>7.506% (LIBOR 1 Month + 3.00%), 11/25/2028<sup>(a) (c)</sup> |  | 325 | 326417 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class M2<br>7.806% (LIBOR 1 Month + 3.30%), 04/25/2029<sup>(a) (c)</sup> |  | 325 | 326496 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class M1B<br>6.36% (SOFR + 2.05%), 04/25/2034<sup>(a) (c)</sup> |  | 254 | 251308 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-HQA2, Class M3<br>9.306% (LIBOR 1 Month + 4.80%), 05/25/2028<sup>(c)</sup> | U.S.$| 170 | $174749 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-HQA3, Class M3<br>8.356% (LIBOR 1 Month + 3.85%), 03/25/2029<sup>(c)</sup> |  | &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;672 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;685194 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-DNA1, Class B2<br>15.256% (LIBOR 1 Month + 10.75%), 01/25/2049<sup>(a) (c)</sup> |  | 750 | 833083 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-FTR2, Class B1<br>7.506% (LIBOR 1 Month + 3.00%), 11/25/2048<sup>(a) (c)</sup> |  | 750 | 697457 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-FTR3, Class B2<br>9.189% (LIBOR 1 Month + 4.80%), 09/25/2047<sup>(c) (e)</sup> |  | 700 | 590201 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DNA5, Class M2<br>7.11% (SOFR + 2.80%), 10/25/2050<sup>(a) (c)</sup> |  | 238 | 239986 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA3, Class B1<br>7.81% (SOFR + 3.50%), 10/25/2033<sup>(a) (c)</sup> |  | 651 | 620952 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA6, Class M2<br>5.81% (SOFR + 1.50%), 10/25/2041<sup>(a) (c)</sup> |  | 828 | 792853 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA7, Class M2<br>6.11% (SOFR + 1.80%), 11/25/2041<sup>(a) (c)</sup> |  | 806 | 776263 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA4, Class M2<br>6.66% (SOFR + 2.35%), 12/25/2041<sup>(a) (c)</sup> |  | 513 | 458866 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA1, Class M2<br>6.81% (SOFR + 2.50%), 01/25/2042<sup>(a) (c)</sup> |  | 806 | 749307 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA2, Class M2<br>8.06% (SOFR + 3.75%), 02/25/2042<sup>(a) (c)</sup> |  | 605 | 587553 |
|  Federal National Mortgage Association Connecticut Avenue Securities<br>Series 2015-C02, Class 1M2<br>8.506% (LIBOR 1 Month + 4.00%), 05/25/2025<sup>(c)</sup> |  | 95 | 97189 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C03, Class 1M2<br>9.506% (LIBOR 1 Month + 5.00%), 07/25/2025<sup>(c)</sup> |  | 96 | 100676 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C04, Class 1M2<br>10.206% (LIBOR 1 Month + 5.70%), 04/25/2028<sup>(c)</sup> |  | 275 | 290736 |

---

------

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| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C02, Class 1B<br>16.756% (LIBOR 1 Month + 12.25%), 09/25/2028<sup>(c)</sup> | U.S.$| 149 | $166694 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C03, Class 1B<br>16.256% (LIBOR 1 Month + 11.75%), 10/25/2028<sup>(c)</sup> |  | 99 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;107519 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C06, Class 1B<br>13.756% (LIBOR 1 Month + 9.25%), 04/25/2029<sup>(c)</sup> |  | &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;377 | 383609 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C07, Class 2B<br>14.006% (LIBOR 1 Month + 9.50%), 05/25/2029<sup>(c)</sup> |  | 378 | 384591 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C01, Class 1B1<br>10.256% (LIBOR 1 Month + 5.75%), 07/25/2029<sup>(c)</sup> |  | 750 | 821609 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C02, Class 2B1<br>10.006% (LIBOR 1 Month + 5.50%), 09/25/2029<sup>(c)</sup> |  | 750 | 827318 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C04, Class 2M2<br>7.356% (LIBOR 1 Month + 2.85%), 11/25/2029<sup>(c)</sup> |  | 203 | 207412 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C06, Class 2B1<br>8.956% (LIBOR 1 Month + 4.45%), 02/25/2030<sup>(c)</sup> |  | 750 | 787250 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C07, Class 1B1<br>8.506% (LIBOR 1 Month + 4.00%), 05/25/2030<sup>(c)</sup> |  | 305 | 315668 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C07, Class 2B1<br>8.956% (LIBOR 1 Month + 4.45%), 05/25/2030<sup>(c)</sup> |  | 750 | 790803 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R02, Class 2B1<br>7.61% (SOFR + 3.30%), 11/25/2041<sup>(a) (c)</sup> |  | 441 | 415921 |
|  JPMorgan Madison Avenue Securities Trust <br>Series 2014-CH1, Class M2 <br>8.756% (LIBOR 1 Month + 4.25%), 11/25/2024<sup>(c) (e)</sup> |  | 19 | 18748 |
|  PMT Credit Risk Transfer Trust<br>Series 2019-2R, Class A<br>7.267% (LIBOR 1 Month + 2.75%), 05/27/2023<sup>(a) (c)</sup> |  | 250 | 243642 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3R, Class A<br>8.217% (LIBOR 1 Month + 3.70%), 11/27/2031<sup>(a) (c)</sup> |  | 99 | 96379 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1R, Class A<br>6.867% (LIBOR 1 Month + 2.35%), 02/27/2023<sup>(c) (e)</sup> |  | 165 | 159038 |
|  Radnor Re Ltd.<br>Series 2019-1, Class M1B<br>6.456% (LIBOR 1 Month + 1.95%), 02/25/2029<sup>(a) (c)</sup> |  | 635 | 630207 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class M1B<br>6.256% (LIBOR 1 Month + 1.75%), 06/25/2029<sup>(a) (c)</sup> |  | 25 | 25158 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class M1A<br>5.456% (LIBOR 1 Month + 0.95%), 01/25/2030<sup>(a) (c)</sup> | U.S.$| 82 | $82378 |
|  Triangle Re Ltd. <br>Series 2021-3, Class M1B <br>7.21% (SOFR + 2.90%), 02/25/2034<sup>(a) (c)</sup> |  | 530 | 514228 |
|  Wells Fargo Credit Risk Transfer Securities Trust<br>Series 2015-WF1, Class 1M2<br>9.756% (LIBOR 1 Month + 5.25%), 11/25/2025<sup>(c) (e)</sup> |  | 118 | 109654 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-WF1, Class 2M2<br>10.006% (LIBOR 1 Month + 5.50%), 11/25/2025<sup>(c) (e)</sup> |  | 27 | 26090 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21032831 |
|  **Agency Floating Rate – 0.4%** |  |  |  |
|  Federal Home Loan Mortgage Corp. REMICs<br>Series 4719, Class JS<br>1.691% (6.15% - LIBOR 1 Month), 09/15/2047<sup>(c) (f)</sup> |  | 598 | 68588 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4981, Class HS<br>1.594% (6.10% - LIBOR 1 Month), 06/25/2050<sup>(c) (f)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1843 | 189546 |
|  Federal National Mortgage Association REMICs<br>Series 2011-131, Class ST<br>2.034% (6.54% - LIBOR 1 Month), 12/25/2041<sup>(c) (f)</sup> |  | 4 | 535 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-90, Class SL<br>1.644% (6.15% - LIBOR 1 Month), 12/25/2045<sup>(c) (f)</sup> |  | 854 | 96854 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-77, Class DS<br>1.494% (6.00% - LIBOR 1 Month), 10/25/2046<sup>(c) (f)</sup> |  | 661 | 72205 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-26, Class TS<br>1.444% (5.95% - LIBOR 1 Month), 04/25/2047<sup>(c) (f)</sup> |  | 845 | 101344 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-62, Class AS<br>1.644% (6.15% - LIBOR 1 Month), 08/25/2047<sup>(c) (f)</sup> |  | 722 | 89741 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-81, Class SA<br>1.694% (6.20% - LIBOR 1 Month), 10/25/2047<sup>(c) (f)</sup> |  | 11 | 1345 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-97, Class LS<br>1.694% (6.20% - LIBOR 1 Month), 12/25/2047<sup>(c) (f)</sup> |  | 854 | 105208 |
|  Government National Mortgage Association <br>Series 2017-65, Class ST <br>1.664% (6.15% - LIBOR 1 Month), 04/20/2047<sup>(c) (f)</sup> |  | 805 | 97395 |
|  |  |  | 822761 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  **Non-Agency Floating Rate – 0.3%** |  |  |  |
|  Deutsche Alt-A Securities Mortgage Loan Trust <br>Series 2006-AR4, Class A2 <br>4.886% (LIBOR 1 Month + 0.38%), 12/25/2036<sup>(c)</sup> | U.S.$| &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;438 | $155144 |
|  HomeBanc Mortgage Trust <br>Series 2005-1, Class A1 <br>5.006% (LIBOR 1 Month + 0.50%), 03/25/2035<sup>(c)</sup> |  | 76 | 65442 |
|  Impac Secured Assets Corp. <br>Series 2005-2, Class A2D <br>5.366% (LIBOR 1 Month + 0.86%), 03/25/2036<sup>(c)</sup> |  | 141 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;110235 |
|  JPMorgan Chase Bank, NA <br>Series 2019-CL1, Class M3 <br>6.606% (LIBOR 1 Month + 2.10%), 04/25/2047<sup>(a) (c)</sup> |  | 89 | 85486 |
|  Residential Accredit Loans, Inc. Trust <br>Series 2007-QS4, Class 2A4 <br>4.846% (LIBOR 1 Month + 0.34%), 03/25/2037<sup>(c)</sup> |  | 500 | 106124 |
|  Structured Asset Securities Corp. Mortgage Pass-Through Certificates <br>Series 2002-3, Class B3<br>6.50%, 03/25/2032 |  | 452 | 81118 |
|  |  |  | 603549 |
|  **Non-Agency Fixed Rate – 0.3%** |  |  |  |
|  Alternative Loan Trust<br>Series 2006-24CB, Class A16<br>5.75%, 08/25/2036 |  | 187 | 106926 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-28CB, Class A14<br>6.25%, 10/25/2036 |  | 142 | 79650 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-J1, Class 1A13<br>5.50%, 02/25/2036 |  | 82 | 59301 |
|  CHL Mortgage Pass-Through Trust <br>Series 2006-13, Class 1A19 <br>6.25%, 09/25/2036 |  | 46 | 19470 |
|  JPMorgan Alternative Loan Trust <br>Series 2006-A3, Class 2A1 <br>3.715%, 07/25/2036 |  | 359 | 283004 |
|  |  |  | 548351 |
|  **Agency Fixed Rate – 0.2%** |  |  |  |
|  Federal National Mortgage Association Grantor Trust <br>Series 2004-T5, Class AB4 <br>5.191%, 05/28/2035 |  | 57 | 51785 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Federal National Mortgage Association REMICs <br>Series 2016-31, Class IO <br>5.00%, 06/25/2046<sup>(g)</sup> | U.S.$| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2596 | $418754 |
|  |  |  | 470539 |
|  Total Collateralized Mortgage Obligations <br>(cost $25,450,030) |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23478031 |
|  **ASSET-BACKED SECURITIES – 7.7%** |  |  |  |
|  **Other ABS - Fixed Rate – 3.9%** |  |  |  |
|  AB Issuer LLC <br>Series 2021-1, Class A2 <br>3.734%, 07/30/2051<sup>(a)</sup> |  | 739 | 611314 |
|  Affirm Asset Securitization Trust<br>Series 2021-Z1, Class A<br>1.07%, 08/15/2025<sup>(a)</sup> |  | 110 | 107258 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-Z2, Class A<br>1.17%, 11/16/2026<sup>(a)</sup> |  | 110 | 105456 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-X1, Class A<br>1.75%, 02/15/2027<sup>(a)</sup> |  | 243 | 237392 |
|  Atalaya Equipment Leasing Trust <br>Series 2021-1A, Class C <br>2.69%, 06/15/2028<sup>(a)</sup> |  | 600 | 565106 |
|  Cajun Global LLC <br>Series 2021-1, Class A2 <br>3.931%, 11/20/2051<sup>(a)</sup> |  | 139 | 119517 |
|  College Ave Student Loans LLC <br>Series 2021-C, Class C <br>3.06%, 07/26/2055<sup>(a)</sup> |  | 213 | 179611 |
|  Dext ABS LLC<br>Series 2021-1, Class C<br>2.29%, 09/15/2028<sup>(a)</sup> |  | 519 | 467900 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class D<br>2.81%, 03/15/2029<sup>(a)</sup> |  | 260 | 230569 |
|  Diamond Issuer <br>Series 2021-1A, Class B <br>2.701%, 11/20/2051<sup>(a)</sup> |  | 566 | 473902 |
|  Domino's Pizza Master Issuer LLC <br>Series 2021-1A, Class A2I <br>2.662%, 04/25/2051<sup>(a)</sup> |  | 409 | 356301 |
|  GCI Funding I LLC <br>Series 2021-1, Class A <br>2.38%, 06/18/2046<sup>(a)</sup> |  | 258 | 226188 |
|  Hardee's Funding LLC<br>Series 2018-1A, Class A23<br>5.71%, 06/20/2048<sup>(a)</sup> |  | 326 | 311166 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A2<br>3.981%, 12/20/2050<sup>(a)</sup> |  | 980 | 868479 |
|  MVW LLC <br>Series 2021-2A, Class C <br>2.23%, 05/20/2039<sup>(a)</sup> |  | 682 | 605566 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Neighborly Issuer<br>Series 2022-1A, Class A2<br>3.695%, 01/30/2052<sup>(a)</sup> | U.S.$| 363 | $302801 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A2<br>7.308%, 01/30/2053<sup>(a)</sup> |  | 395 | 387100 |
|  Neighborly Issuer LLC <br>Series 2021-1A, Class A2 <br>3.584%, 04/30/2051<sup>(a)</sup> |  | 298 | 252512 |
|  Nelnet Student Loan Trust <br>Series 2021-BA, Class B <br>2.68%, 04/20/2062<sup>(a)</sup> |  | 220 | 184676 |
|  SEB Funding LLC <br>Series 2021-1A, Class A2 <br>4.969%, 01/30/2052<sup>(a)</sup> |  | 690 | 612475 |
|  Upstart Securitization Trust <br>Series 2021-3, Class B <br>1.66%, 07/20/2031<sup>(a)</sup> |  | &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;480 | 449134 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7654423 |
|  **Autos - Fixed Rate – 3.3%** |  |  |  |
|  ACM Auto Trust <br>Series 2022-1A, Class A <br>3.23%, 04/20/2029<sup>(a)</sup> |  | 86 | 86168 |
|  Avis Budget Rental Car Funding AESOP LLC<br>Series 2017-2A, Class D<br>4.56%, 03/20/2024<sup>(a)</sup> |  | 161 | 160248 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A<br> 3.70%, 09/20/2024<sup>(a)</sup> |  | 920 | 912322 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A<br> 4.00%, 03/20/2025<sup>(a)</sup> |  | 755 | 745011 |
|  Carvana Auto Receivables Trust<br>Series 2021-N3, Class C<br>1.02%, 06/12/2028 |  | 241 | 230493 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-N4, Class D<br> 2.30%, 09/11/2028 |  | 266 | 244833 |
|  CPS Auto Receivables Trust <br>Series 2021-C, Class D <br>1.69%, 06/15/2027<sup>(a)</sup> |  | 470 | 435590 |
|  FHF Trust <br>Series 2021-2A, Class A <br>0.83%, 12/15/2026<sup>(a)</sup> |  | 166 | 158599 |
|  Flagship Credit Auto Trust<br>Series 2019-3, Class E<br>3.84%, 12/15/2026<sup>(a)</sup> |  | 960 | 901596 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class E<br> 3.52%, 06/15/2027<sup>(a)</sup> |  | 1000 | 909565 |
|  Ford Credit Auto Owner Trust <br>Series 2021-1, Class D <br>2.31%, 10/17/2033<sup>(a)</sup> |  | 542 | 476300 |
|  Hertz Vehicle Financing III LLC <br>Series 2022-1A, Class C <br>2.63%, 06/25/2026<sup>(a)</sup> |  | 450 | 411433 |
|  Octane Receivables Trust <br>Series 2021-2A, Class C <br>2.53%, 05/21/2029<sup>(a)</sup> |  | 541 | 482379 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Santander Bank Auto Credit-Linked Notes <br>Series 2022-A, Class B <br>5.281%, 05/15/2032<sup>(a)</sup> | U.S.$| &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;382 | $373527 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6528064 |
|  **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>(a)</sup> |  | 397 | 393349 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A<br> 4.63%, 07/15/2025<sup>(a)</sup> |  | 565 | 549351 |
|  |  |  | 942700 |
|  Total Asset-Backed Securities <br>(cost $16,522,929) |  |  | 15125187 |
|  **COMMERCIAL MORTGAGE-BACKED SECURITIES – 7.0%** |  |  |  |
|  **Non-Agency Fixed Rate CMBS – 3.6%** |  |  |  |
|  BAMLL Commercial Mortgage Securities Trust <br>Series 2013-WBRK, Class D <br>3.534%, 03/10/2037<sup>(a)</sup> |  | 960 | 612714 |
|  Citigroup Commercial Mortgage Trust<br>Series 2013-GC11, Class B<br>3.732%, 04/10/2046 |  | 500 | 498218 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-GC17, Class D<br> 5.101%, 11/10/2046<sup>(a)</sup> |  | 565 | 506621 |
|  Commercial Mortgage Trust<br>Series 2013-SFS, Class A1<br>1.873%, 04/12/2035<sup>(a)</sup> |  | 20 | 19436 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-LC17, Class B<br> 4.49%, 10/10/2047 |  | 800 | 764178 |
|  GS Mortgage Securities Trust <br>Series 2011-GC5, Class D <br>5.154%, 08/10/2044<sup>(a)</sup> |  | 252 | 104490 |
|  GSF<br>Series 2021-1, Class A1<br>1.433%, 08/15/2026<sup>(e) (h)</sup> |  | 277 | 260179 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A2<br> 2.435%, 08/15/2026<sup>(e) (h)</sup> |  | 719 | 680214 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class AS<br> 2.638%, 08/15/2026<sup>(e) (h)</sup> |  | 25 | 22650 |
|  JPMBB Commercial Mortgage Securities Trust <br>Series 2014-C24, Class C <br>4.383%, 11/15/2047 |  | 890 | 760211 |
|  JPMorgan Chase Commercial Mortgage Securities Trust<br>Series 2012-C6, Class D<br>4.964%, 05/15/2045 |  | 639 | 593810 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2012-C6, Class E<br> 4.964%, 05/15/2045<sup>(a)</sup> |  | 389 | 316604 |
|  LB-UBS Commercial Mortgage Trust <br>Series 2006-C6, Class AJ <br>5.452%, 09/15/2039 |  | 77 | 33650 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  LSTAR Commercial Mortgage Trust <br>Series 2016-4, Class A2 <br>2.579%, 03/10/2049<sup>(a)</sup> | U.S.$| 172 | $171368 |
|  Wells Fargo Commercial Mortgage Trust<br>Series 2016-LC24, Class XA<br>1.606%, 10/15/2049<sup>(g)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7544 | 337465 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-LC25, Class C<br> 4.342%, 12/15/2059 |  | 545 | 476842 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-NXS6, Class C<br> 4.386%, 11/15/2049 |  | 600 | 528888 |
|  WF-RBS Commercial Mortgage Trust<br>Series 2013-C11, Class B<br>3.714%, 03/15/2045 |  | 425 | 414284 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7101822 |
|  **Non-Agency Floating Rate CMBS – 3.4%** |  |  |  |
|  AREIT Trust <br>Series 2022-CRE6, Class A <br>5.56% (SOFR + 1.25%), 01/16/2037<sup>(a) (c)</sup> |  | 988 | 953391 |
|  BAMLL Commercial Mortgage Securities Trust <br>Series 2017-SCH, Class AF <br>5.46% (LIBOR 1 Month + 1.00%), 11/15/2033<sup>(a) (c)</sup> |  | 1330 | 1259670 |
|  BBCMS Mortgage Trust <br>Series 2020-BID, Class A <br>6.599% (LIBOR 1 Month + 2.14%), 10/15/2037<sup>(a) (c)</sup> |  | 692 | 675527 |
|  BFLD Trust <br>Series 2021-FPM, Class A <br>6.06% (LIBOR 1 Month + 1.60%), 06/15/2038<sup>(a) (c)</sup> |  | 1060 | 1020275 |
|  BX Commercial Mortgage Trust<br>Series 2019-IMC, Class D<br>6.359% (LIBOR 1 Month + 1.90%), 04/15/2034<sup>(a) (c)</sup> |  | 142 | 135137 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-IMC, Class E<br> 6.609% (LIBOR 1 Month + 2.15%), 04/15/2034<sup>(a) (c)</sup> |  | 566 | 535566 |
|  CLNY Trust <br>Series 2019-IKPR, Class D <br>6.484% (LIBOR 1 Month + 2.02%), 11/15/2038<sup>(a) (c)</sup> |  | 540 | 503482 |
|  Federal Home Loan Mortgage Corp. Multifamily Structured Credit Risk <br>Series 2021-MN1, Class M1 <br>6.31% (SOFR + 2.00%), 01/25/2051<sup>(a) (c)</sup> |  | 73 | 69193 |
|  HFX Funding Issuer <br>Series 2017-1A, Class A3 <br>3.647%, 03/15/2035<sup>(e)</sup> |  | 710 | 679545 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Morgan Stanley Capital I Trust <br>Series 2019-BPR, Class C <br>7.759% (LIBOR 1 Month + 3.30%), 05/15/2036<sup>(a) (c)</sup> | U.S.$| &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;520 | $485229 |
|  Natixis Commercial Mortgage Securities Trust <br>Series 2019-MILE, Class A <br>6.058% (SOFR + 1.58%), 07/15/2036<sup>(a) (c)</sup> |  | 379 | 364736 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6681751 |
|  **Agency CMBS – 0.0%** |  |  |  |
|  Government National Mortgage Association <br>Series 2006-39, Class IO <br>0.00%, 07/16/2046<sup>(g)</sup> |  | 410 | 4 |
|  Total Commercial Mortgage-Backed Securities <br>(cost $15,231,018) |  |  | 13783577 |
|  **COLLATERALIZED LOAN OBLIGATIONS – 4.2%** |  |  |  |
|  **CLO - Floating Rate – 4.2%** |  |  |  |
|  AGL CLO 12 Ltd. <br>Series 2021-12A, Class D <br>7.658% (LIBOR 3 Month + 2.85%), 07/20/2034<sup>(a) (c)</sup> |  | 500 | 462922 |
|  Balboa Bay Loan Funding Ltd. <br>Series 2021-1A, Class D <br>7.858% (LIBOR 3 Month + 3.05%), 07/20/2034<sup>(a) (c)</sup> |  | 709 | 637698 |
|  Ballyrock CLO 16 Ltd. <br>Series 2021-16A, Class C <br>7.708% (LIBOR 3 Month + 2.90%), 07/20/2034<sup>(a) (c)</sup> |  | 400 | 364214 |
|  Elevation CLO Ltd. <br>Series 2020-11A, Class D1 <br>8.642% (LIBOR 3 Month + 3.85%), 04/15/2033<sup>(a) (c)</sup> |  | 1000 | 918751 |
|  Elmwood CLO IX Ltd. <br>Series 2021-2A, Class D <br>7.758% (LIBOR 3 Month + 2.95%), 07/20/2034<sup>(a) (c)</sup> |  | 700 | 660523 |
|  Flatiron CLO 21 Ltd. <br>Series 2021-1A, Class D <br>7.698% (LIBOR 3 Month + 2.90%), 07/19/2034<sup>(a) (c)</sup> |  | 700 | 649733 |
|  Goldentree Loan Management US CLO 7 Ltd. <br>Series 2020-7A, Class AR <br>5.878% (LIBOR 3 Month + 1.07%), 04/20/2034<sup>(a) (c)</sup> |  | 581 | 571493 |
|  OCP CLO Ltd. <br>Series 2020-18A, Class AR <br>5.898% (LIBOR 3 Month + 1.09%), 07/20/2032<sup>(a) (c)</sup> |  | 761 | 753339 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Peace Park CLO Ltd. <br>Series 2021-1A, Class D <br>7.758% (LIBOR 3 Month + 2.95%), 10/20/2034<sup>(a) (c)</sup> | U.S.$| 300 | $281022 |
|  Pikes Peak CLO 8 <br>Series 2021-8A, Class A <br>5.978% (LIBOR 3 Month + 1.17%), 07/20/2034<sup>(a) (c)</sup> |  | 675 | 666143 |
|  Regatta XX Funding Ltd. <br>Series 2021-2A, Class A <br>5.952% (LIBOR 3 Month + 1.16%), 10/15/2034<sup>(a) (c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1019 | 1002027 |
|  Rockford Tower CLO Ltd.<br>Series 2021-1A, Class D<br>7.808% (LIBOR 3 Month + 3.00%), 07/20/2034<sup>(a) (c)</sup> |  | 711 | 658441 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A1<br>5.968% (LIBOR 3 Month + 1.16%), 07/20/2034<sup>(a) (c)</sup> |  | 504 | 494258 |
|  Voya CLO Ltd. <br>Series 2019-1A, Class DR <br>7.642% (LIBOR 3 Month + 2.85%), 04/15/2031<sup>(a) (c)</sup> |  | 210 | 188683 |
|  Total Collateralized Loan Obligations <br>(cost $8,769,698) |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8309247 |
|  **CORPORATES - NON-INVESTMENT GRADE – 2.5%** |  |  |  |
|  **Industrial – 2.0%** |  |  |  |
|  **Basic – 0.3%** |  |  |  |
|  INEOS Quattro Finance 2 PLC <br>2.50%, 01/15/2026<sup>(a)</sup> | EUR | 313 | 303589 |
|  Sealed Air Corp. <br>4.00%, 12/01/2027<sup>(a)</sup> | U.S.$| 379 | 350503 |
|  |  |  | 654092 |
|  **Capital Goods – 0.1%** |  |  |  |
|  TK Elevator Midco GmbH <br>4.375%, 07/15/2027<sup>(a)</sup> | EUR | 181 | 178158 |
|  **Communications - Media – 0.7%** |  |  |  |
|  Altice Financing SA <br>3.00%, 01/15/2028<sup>(a)</sup> |  | 181 | 157319 |
|  CCO Holdings LLC/CCO Holdings Capital Corp.<br>4.50%, 08/15/2030<sup>(a)</sup> | U.S.$| 136 | 116277 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/01/2033<sup>(a)</sup> |  | 483 | 392462 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/01/2032<sup>(a)</sup> |  | 146 | 124065 |
|  DISH DBS Corp. <br>5.75%, 12/01/2028<sup>(a)</sup> |  | 322 | 264095 |
|  Summer BC Holdco B SARL <br>5.75%, 10/31/2026<sup>(a)</sup> | EUR | 181 | 177077 |
|  VZ Vendor Financing II BV <br>2.875%, 01/15/2029<sup>(a)</sup> |  | 181 | 154564 |
|  |  |  | 1385859 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  **Communications - Telecommunications – 0.2%** |  |  |  |
|  Altice France SA/France <br>3.375%, 01/15/2028<sup>(a)</sup> | EUR | &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;181 | $154374 |
|  Lorca Telecom Bondco SA <br>4.00%, 09/18/2027<sup>(a)</sup> |  | 181 | 180554 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;334928 |
|  **Consumer Cyclical - Automotive – 0.1%** |  |  |  |
|  Ford Motor Co. <br>6.10%, 08/19/2032 | U.S.$| 232 | 227650 |
|  **Consumer Cyclical - Entertainment – 0.3%** |  |  |  |
|  Carnival Corp. <br>4.00%, 08/01/2028<sup>(a)</sup> |  | 712 | 613765 |
|  **Consumer Cyclical - Other – 0.1%** |  |  |  |
|  Caesars Entertainment, Inc. <br>7.00%, 02/15/2030<sup>(a)</sup> |  | 112 | 114130 |
|  NH Hotel Group SA <br>4.00%, 07/02/2026<sup>(a)</sup> | EUR | 181 | 184517 |
|  |  |  | 298647 |
|  **Consumer Non-Cyclical – 0.1%** |  |  |  |
|  IQVIA, Inc. <br>2.25%, 03/15/2029<sup>(a)</sup> |  | 100 | 91378 |
|  Organon & Co./Organon Foreign Debt Co-Issuer BV <br>2.875%, 04/30/2028<sup>(a)</sup> |  | 100 | 94956 |
|  |  |  | 186334 |
|  **Services – 0.1%** |  |  |  |
|  APCOA Parking Holdings GmbH <br>4.625%, 01/15/2027<sup>(a)</sup> |  | 181 | 170631 |
|  |  |  | 4050064 |
|  **Financial Institutions – 0.4%** |  |  |  |
|  **Banking – 0.4%** |  |  |  |
|  Credit Suisse Group AG <br>7.50%, 07/17/2023<sup>(a) (b)</sup> | U.S.$| 815 | 758178 |
|  **Utility – 0.1%** |  |  |  |
|  **Electric – 0.1%** |  |  |  |
|  Vistra Corp. <br>7.00%, 12/15/2026<sup>(a) (b)</sup> |  | 218 | 205216 |
|  Total Corporates - Non-Investment Grade <br>(cost $5,799,231) |  |  | 5013458 |
|  **EMERGING MARKETS - CORPORATE BONDS – 1.1%** |  |  |  |
|  **Industrial – 1.1%** |  |  |  |
|  **Basic – 0.2%** |  |  |  |
|  Stillwater Mining Co. <br>4.00%, 11/16/2026<sup>(a)</sup> |  | 446 | 412550 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  Volcan Cia Minera SAA <br>4.375%, 02/11/2026<sup>(a)</sup> | U.S.$| 76 | $66908 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;479458 |
|  **Capital Goods – 0.4%** |  |  |  |
|  Embraer Netherlands Finance BV<br>5.40%, 02/01/2027 |  | &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;540 | 529875 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 01/17/2028<sup>(a)</sup> |  | 219 | 224037 |
|  Odebrecht Holdco Finance Ltd. <br>Zero Coupon, 09/10/2058<sup>(a)</sup> |  | 477 | 763 |
|  |  |  | 754675 |
|  **Communications - Media – 0.2%** |  |  |  |
|  Globo Comunicacao e Participacoes SA <br>4.875%, 01/22/2030<sup>(a)</sup> |  | 417 | 354268 |
|  **Consumer Cyclical - Other – 0.2%** |  |  |  |
|  Wynn Macau Ltd. <br>5.625%, 08/26/2028<sup>(a)</sup> |  | 330 | 292050 |
|  **Consumer Non-Cyclical – 0.1%** |  |  |  |
|  Natura Cosmeticos SA <br>4.125%, 05/03/2028<sup>(a)</sup> |  | 283 | 233532 |
|  Virgolino de Oliveira Finance SA <br>10.50%, 01/28/2018<sup>(e) (h) (i) (j) (k)</sup> |  | 660 | 66 |
|  |  |  | 233598 |
|  |  |  | 2114049 |
|  **Utility – 0.0%** |  |  |  |
|  **Electric – 0.0%** |  |  |  |
|  Terraform Global Operating LP <br>6.125%, 03/01/2026<sup>(e)</sup> |  | 60 | 57073 |
|  **Financial Institutions – 0.0%** |  |  |  |
|  **Other Finance – 0.0%** |  |  |  |
|  OEC Finance Ltd.<br>5.25%, 12/27/2033<sup>(a) (l)</sup> |  | 206 | 4841 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.125%, 12/26/2046<sup>(a) (l)</sup> |  | 261 | 11124 |
|  |  |  | 15965 |
|  Total Emerging Markets - Corporate Bonds <br>(cost $3,309,248) |  |  | 2187087 |
|  **LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 1.0%** |  |  |  |
|  **United States – 1.0%** |  |  |  |
|  State of California<br>Series 2010<br>7.625%, 03/01/2040 |  | 970 | 1285127 |
|  Tobacco Settlement Finance Authority/WV<br> (Tobacco Settlement Finance Authority/WV)<br>Series 2020<br>3.00%, 06/01/2035 |  | 189 | 174523 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal**<br> **Amount**<br> **(000)** | **Principal**<br> **Amount**<br> **(000)** | **U.S. $ Value** |
|  University of California<br>Series 2021-B<br>3.071%, 05/15/2051 | U.S.$| &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;730 | $528961 |
|  Total Local Governments - US Municipal Bonds <br>(cost $2,259,116) |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1988611 |
|  **QUASI-SOVEREIGNS – 0.4%** |  |  |  |
|  **Quasi-Sovereign Bonds – 0.4%** |  |  |  |
|  **Mexico – 0.4%** |  |  |  |
|  Comision Federal de Electricidad<br>3.348%, 02/09/2031<sup>(a)</sup> |  | 653 | 534358 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.688%, 05/15/2029<sup>(a)</sup> |  | 295 | 270718 |
|  Total Quasi-Sovereigns <br>(cost $947,947) |  |  | 805076 |
|  **EMERGING MARKETS - SOVEREIGNS – 0.3%** |  |  |  |
|  **Dominican Republic – 0.3%** |  |  |  |
|  Dominican Republic International Bond <br>4.875%, 09/23/2032<sup>(a)</sup> <br>(cost $763,000) |  | 763 | 648693 |
|  **GOVERNMENTS - SOVEREIGN BONDS – 0.2%** |  |  |  |
|  **Colombia – 0.2%** |  |  |  |
|  Colombia Government International Bond <br>3.125%, 04/15/2031 <br>(cost $373,931) |  | 375 | 283430 |
|  | **Shares** | **Shares** |  |
|  **COMMON STOCKS – 0.1%** |  |  |  |
|  **Financials – 0.1%** |  |  |  |
|  **Insurance – 0.1%** |  |  |  |
|  Mt. Logan Re Ltd. (Special Investment)<sup>(h) (j)</sup> <br>(cost $140,935) |  | 299 | 253550 |
|  | **Principal**<br>**Amount**<br>**(000)** | **Principal**<br>**Amount**<br>**(000)** |  |
|  **SHORT-TERM INVESTMENTS – 4.6%** |  |  |  |
|  **U.S. Treasury Bills – 2.9%** |  |  |  |
|  U.S. Treasury Bill<br>Zero Coupon, 04/20/2023 | U.S.$| 940 | 930764 |
| &nbsp;&nbsp;&nbsp;&nbsp; Zero Coupon, 11/30/2023 |  | 4963 | 4776719 |
|  Total U.S. Treasury Bills <br>(cost $5,708,613) |  |  | 5707483 |
|  | **Shares** | **Shares** |  |
|  **Investment Companies – 1.7%** |  |  |  |
|  AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 4.15%<sup>(m) (n) (o)</sup> <br>(cost $3,335,031) |  | 3335031 | 3335031 |
|  Total Short-Term Investments <br>(cost $9,043,644) |  |  | 9042514 |

---

------

---

| | |
|:---|:---|
| | **U.S. $ Value** |
|  **Total Investments – 108.2%** <br>(cost $228,049,937)<sup>(p)</sup> | $213640656 |
|  Other assets less liabilities – (8.2)% | (16218511) |
|  **Net Assets – 100.0%** | $**197422145** |

---

**FUTURES** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Number<br>of<br>Contracts** | **Expiration<br>Month** | **Current<br>Notional** | **Value and<br>Unrealized<br>Appreciation<br>(Depreciation)** |
| **Purchased Contracts** | **Purchased Contracts** | **Purchased Contracts** | **Purchased Contracts** | **Purchased Contracts** |
| U.S. Ultra Bond (CBT) Futures | 114 | March 2023 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16159500 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;523737 |
| **Sold Contracts** | **Sold Contracts** | **Sold Contracts** | **Sold Contracts** | **Sold Contracts** |
| 0 Yr Japan Bond (OSE) Futures | 7 | March 2023 | 7881689 | 95190 |
| U.S. 10 Yr Ultra Futures | 20 | March 2023 | 2424062 | 6160 |
|  |  |  |  | $625087 |

---

**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)** |
| Citibank, NA | JPY | 471896 | USD | 3416 | 02/09/2023 | $(212803) |
| UBS AG | USD | 3498 | JPY | 471650 | 02/09/2023 | 129115 |
| UBS AG | EUR | 2698 | USD | 2848 | 02/27/2023 | (89843) |
|  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(173531) |

---

**CENTRALLY CLEARED CREDIT DEFAULT SWAPS** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **<br>Description** | **Fixed<br>Rate<br>(Pay)<br>Receive** | **Payment<br>Frequency** | **Implied<br>Credit<br>Spread at<br>January 31,<br>2023** | **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 | 4.29% | USD | 7540 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(252827) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;157201 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(410028) |

---

*\** *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 | 2000 | 12/13/2029 | 1.764% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;228058 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;228058 |

---

**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>January 31,<br>2023** | **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** |
| Goldman Sachs International |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00% | Monthly | 7.50% | USD | 16 | $(3922) | $(1337) | $(2585) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 32 | (7845) | (2948) | (4897) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 32 | (7845) | (2724) | (5121) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 64 | (15691) | (6444) | (9247) |
|  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(35303) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(13453) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(21850) |

---

*\** *Termination date* 

**TOTAL RETURN SWAPS** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty & <br>Referenced Obligation** | **Rate Paid/<br>Received** | **Payment<br>Frequency** | **Current<br>Notional<br>(000)** | **Current<br>Notional<br>(000)** | **Maturity<br>Date** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| **Pay Total Return on Reference Obligation** |  |  |  |  |  |  |
| JPMorgan Chase Bank, NA |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; iBoxx $ Liquid High Yield Index | 1 Day SOFR | Maturity | USD | 394 | 03/20/2023 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(326928) |

---

*(a)* *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 January 31, 2023, the aggregate market value of these securities amounted to $75,915,289 or 38.5% of net assets.* 

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

*(c)* *Floating Rate Security. Stated interest/floor/ceiling rate was in effect at January 31, 2023.* 

------

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

*(e)* *Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 1.31% of net assets as of January 31, 2023, 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** |
|  *Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes <br>Series 2019-FTR3, Class B2 <br>9.189%, 09/25/2047* | *01/07/2020* | $*730567* | | $*590201* | | *0.30%* |
|  *GSF<br>Series 2021-1, Class A1 <br>1.433%, 08/15/2026* | *02/25/2021* | *267882* | | *260179* | | *0.13%* |
|  *GSF<br>Series 2021-1, Class A2 <br>2.435%, 08/15/2026* | *02/25/2021* | *735873* | | *680214* | | *0.34%* |
|  *GSF<br>Series 2021-1, Class AS <br>2.638%, 08/15/2026* | *02/25/2021* | *25496* | | *22650* | | *0.01%* |
|  *HFX Funding Issuer <br>Series 2017-1A, Class A3 <br>3.647%, 03/15/2035* | *11/19/2020* | *755288* | | *679545* | | *0.34%* |
|  *JPMorgan Madison Avenue Securities Trust <br>Series 2014-CH1, Class M2 <br>8.756%, 11/25/2024* | *11/06/2015* | *19332* | | *18748* | | *0.01%* |
|  *PMT Credit Risk Transfer Trust<br>Series 2020-1R, Class A <br>6.867%, 02/27/2023* | *11/16/2015* | *164547* | | *159038* | | *0.08%* |
|  *Terraform Global Operating LP <br>6.125%, 03/01/2026* | *02/08/2018* | *60000* | | *57073* | | *0.03%* |
|  *Virgolino de Oliveira Finance SA <br>10.50%, 01/28/2018* | *01/24/2014* | *365927* | | *66* | | *0.00%* |
|  *Wells Fargo Credit Risk Transfer Securities Trust<br>Series 2015-WF1, Class 2M2 <br>10.006%, 11/25/2025* | *09/28/2015* | *27613* | | *26090* | | *0.01%* |
|  *Wells Fargo Credit Risk Transfer Securities Trust<br>Series 2015-WF1, Class 1M2 <br>9.756%, 11/25/2025* | *09/28/2015* | *120390* | | *109654* | | *0.06%* |

---

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

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

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

*(i)* *Defaulted matured security.* 

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

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

*(l)* *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 January 31, 2023.* 

*(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<br> at (800) 227-4618.* 

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

*(p)* *As of January 31, 2023, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $2,457,365 and gross unrealized depreciation of investments was $(16,945,838), resulting in net unrealized depreciation of $(14,488,473).* 

---

| |
|:---|
| *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* |

---

------

**AB Total Return Bond Portfolio** 

**January 31, 2023 (unaudited)** 

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund 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 Fund. Unobservable inputs reflect the Fund'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 Fund'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 Fund's investments by the above fair value hierarchy levels as of January 31, 2023:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities:** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Assets:** | **Assets:** | **Assets:** | **Assets:** | **Assets:** |
| Corporates - Investment Grade | $379623 | $54307577 | $— | $54687200 |
| Mortgage Pass-Throughs |  | 42449551 |  | 42449551 |
| Governments - Treasuries |  | 35585444 |  | 35585444 |
| Collateralized Mortgage Obligations |  | 23478031 |  | 23478031 |
| Asset-Backed Securities |  | 15125187 |  | 15125187 |
| Commercial Mortgage-Backed Securities |  | 12820534 | 963043 | 13783577 |
| Collateralized Loan Obligations |  | 8309247 |  | 8309247 |
| Corporates - Non-Investment Grade |  | 5013458 |  | 5013458 |
| Emerging Markets - Corporate Bonds |  | 2187021 | 66 | 2187087 |
| Local Governments - US Municipal Bonds |  | 1988611 |  | 1988611 |
| Quasi-Sovereigns |  | 805076 |  | 805076 |
| Emerging Markets - Sovereigns |  | 648693 |  | 648693 |
| Governments - Sovereign Bonds |  | 283430 |  | 283430 |
| Common Stocks |  |  | 253550 | 253550 |
| Short-Term Investments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 5707483 |  | 5707483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | 3335031 |  |  | 3335031 |
| Total Investments in Securities | 3714654 | 208709343 | 1216659 | 213640656 |
| **Other Financial Instruments<sup>(a)</sup>:** |  |  |  |  |
| **Assets:** | **Assets:** | **Assets:** | **Assets:** | **Assets:** |
| Futures | 625087 |  |  | 625087 |
| Forward Currency Exchange Contracts |  | 129115 |  | 129115 |
| Centrally Cleared Interest Rate Swaps |  | 228058 |  | 228058 |
| **Liabilities:** | **Liabilities:** | **Liabilities:** | **Liabilities:** | **Liabilities:** |
| Forward Currency Exchange Contracts |  | (302646) |  | (302646) |
| Centrally Cleared Credit Default Swaps |  | (252827) |  | (252827) |
| Credit Default Swaps |  | (35303) |  | (35303) |
| Total Return Swaps |  | (326928) |  | (326928) |
| **Total** | $**4339741** | $**208148812** | $**1216659** | $**213705212** |

---

*<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 Fund's transactions in AB mutual funds for the three months ended January 31, 2023 is as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Fund** | **Market Value**<br> **10/31/2022**<br> **(000)** | **Purchases**<br> **at Cost**<br> **(000)** | **Sales**<br> **Proceeds**<br> **(000)** | **Market Value**<br> **01/31/2023**<br> **(000)** | **Dividend**<br> **Income**<br> **(000)** |
| Government Money Market Portfolio | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;532 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32411 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29608 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3335 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AB BOND FUND, INC.

- **b. Investment Company Act file number:** 811-02383

- **c. CIK number of Registrant:** 0000003794

- **d. LEI of Registrant:** 549300RYJMGGIS1UBQ97

- **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:** AB Total Return Bond Portfolio

- **b. EDGAR series identifier (if any):** S000010305

- **c. LEI of Series:** 461RWIN62B1S8TT6GO40

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $216053643.31

**Total Liabilities:** $18962618.67

**Net Assets:** $197091024.64

**Delayed Delivery Securities:** $1802973.16

**Cash Not Reported:** $771203.96

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -596.31000000 | **1-Year:** -622.88000000 | **5-Year:** -2492.56000000 | **10-Year:** -1586.57000000 | **30-Year:** -3393.75000000

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

- **3-Month:** -13896.40000000 | **1-Year:** -14197.61000000 | **5-Year:** -36879.89000000 | **10-Year:** -23150.34000000 | **30-Year:** -26739.95000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000028495 | 3.39%                | 0.21%                | 3.24%                |
| Class ID C000028493 | 3.55%                | 0.17%                | 3.29%                |
| Class ID C000028497 | 3.42%                | 0.25%                | 3.27%                |
| Class ID C000143890 | 3.56%                | 0.19%                | 3.31%                |
| Class ID C000028499 | 3.57%                | 0.19%                | 3.42%                |
| Class ID C000028496 | 3.57%                | 0.30%                | 3.31%                |
| Class ID C000028498 | 3.44%                | 0.27%                | 3.29%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1203407.26             | $7167866.87                                |
| Month 2  | $11438.91                | $-446510.63                                |
| Month 3  | $-668534.67              | $6183679.80                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                           | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    503000 | PA      | $491939.03    | 0.25%             | 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        |   1427157 | PA      | $1252713.00   | 0.64%             | 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        |    483000 | PA      | $392461.65    | 0.20%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2022-R02                                                                                   | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    444648 | PA      | $440321.41    | 0.22%             | 2042-01-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                 | Elevation CLO 2020-11 Ltd                                                                                                      | CUSIP: 28621YAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $918751.00    | 0.47%             | 2033-04-15      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| Dext ABS                                          | Dext ABS 2021-1 LLC                                                                                                            | CUSIP: 23345CAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $230569.20    | 0.12%             | 2029-03-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                 | Expedia Group Inc                                                                                                              | CUSIP: 30212PAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     33000 | PA      | $33572.22     | 0.02%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140K3BF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    609802 | PA      | $583122.62    | 0.30%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                            | Mizuho Financial Group Inc                                                                                                     | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    444000 | PA      | $453661.44    | 0.23%             | 2028-09-13      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                  | Flatiron CLO 21 Ltd                                                                                                            | CUSIP: 33883PAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $649733.00    | 0.33%             | 2034-07-19      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3370600 | PA      | $1961794.53   | 1.00%             | 2050-05-15      | Fixed         | 1.25%                 | 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        |     76827 | PA      | $33649.48     | 0.02%             | 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        |    220000 | PA      | $184675.99    | 0.09%             | 2062-04-20      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                          | Brex Commercial Charge Card Master Trust                                                                                       | CUSIP: 05601DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565000 | PA      | $549350.91    | 0.28%             | 2025-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 30711XUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305000 | PA      | $315667.59    | 0.16%             | 2030-05-25      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140QLGX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1994776 | PA      | $1682526.47   | 0.85%             | 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        |   1017587 | PA      | $894636.88    | 0.45%             | 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        |     19390 | PA      | $18747.82     | 0.01%             | 2024-11-25      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY LP                                 | Vornado Realty LP                                                                                                              | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              |  | US        |    709000 | PA      | $548624.20    | 0.28%             | 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        |    159651 | PA      | $163937.94    | 0.08%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP                           | Australia & New Zealand Banking Group Ltd                                                                                      | CUSIP: 05252ADF5<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    397000 | PA      | $397551.83    | 0.20%             | 2025-02-03      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 30711XSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $787250.25    | 0.40%             | 2030-02-25      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                  | Bellemeade Re 2019-2 Ltd                                                                                                       | CUSIP: 07877BAG5<br>LEI: 254900I4ZKD8IMM1O953 | Long             | ABS-MBS          | CORP              | BM        |    325000 | PA      | $318006.81    | 0.16%             | 2029-04-25      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1252519 | PA      | $1209072.25   | 0.61%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                     | Ballyrock CLO 16 Ltd                                                                                                           | CUSIP: 05876KAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $364214.00    | 0.18%             | 2034-07-20      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2013-GC17                                                                                  | CUSIP: 17321RAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565000 | PA      | $506621.43    | 0.26%             | 2046-11-10      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                               | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    191000 | PA      | $181535.95    | 0.09%             | 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        |     76000 | PA      | $66908.50     | 0.03%             | 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        |    375000 | PA      | $283429.69    | 0.14%             | 2031-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                     | CUSIP: 05369AAL5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    133000 | PA      | $115682.07    | 0.06%             | 2026-09-20      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Discover Bank                                     | Discover Bank                                                                                                                  | CUSIP: 25466AAN1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    250000 | PA      | $242572.50    | 0.12%             | 2028-08-09      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 31346YA29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182877 | PA      | $174875.62    | 0.09%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    560000 | PA      | $520956.80    | 0.26%             | 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        |    805039 | PA      | $97394.69     | 0.05%             | 2047-04-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| WEIBO CORP                                        | Weibo Corp                                                                                                                     | CUSIP: 948596AE1<br>LEI: 549300Q9ID4640FE0422 | Long             | DBT              | CORP              | KY        |   1312000 | PA      | $1095520.00   | 0.56%             | 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        |    181000 | PA      | $180554.11    | 0.09%             | 2027-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140JXTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496892 | PA      | $474376.36    | 0.24%             | 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        |     30135 | PA      | $30125.82     | 0.02%             | 2029-07-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                              | Parker-Hannifin Corp                                                                                                           | CUSIP: 701094AN4<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    255000 | PA      | $236237.10    | 0.12%             | 2029-06-14      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 30711XGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $827317.88    | 0.42%             | 2029-09-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA2                                                                                        | CUSIP: 35564KRN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    604936 | PA      | $587553.04    | 0.30%             | 2042-02-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2020-1                                                                                              | CUSIP: 33843FAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $909564.80    | 0.46%             | 2027-06-15      | Fixed         | 3.52%                 | 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        |    828004 | PA      | $792852.99    | 0.40%             | 2041-10-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 30711XWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $790802.55    | 0.40%             | 2030-05-25      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                      | Eagle RE 2019-1 Ltd                                                                                                            | CUSIP: 269822AC6<br>LEI: 254900L82OLW9QTLJ788 | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $326496.27    | 0.17%             | 2029-04-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                       | Vistra Corp                                                                                                                    | CUSIP: 92840MAC6<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |    218000 | PA      | $205216.48    | 0.10%             | 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        |    397000 | PA      | $330474.71    | 0.17%             | 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        |    763000 | PA      | $648693.06    | 0.33%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                        | Impac Secured Assets Corp Series 2005-2                                                                                        | CUSIP: 45254TSS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141428 | PA      | $110235.23    | 0.06%             | 2036-03-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| University of California                          | UNIV OF CALIFORNIA CA REVENUES                                                                                                 | CUSIP: 91412HKE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    730000 | PA      | $528961.21    | 0.27%             | 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        |    750000 | PA      | $664072.50    | 0.34%             | 2030-05-06      | Fixed         | 3.40%                 | 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        |    719000 | PA      | $680213.55    | 0.35%             | 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        |    988207 | PA      | $953390.91    | 0.48%             | 2037-01-16      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                     | CUSIP: 05367AAH6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    153000 | PA      | $146122.65    | 0.07%             | 2025-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                            | General Motors Financial Co Inc                                                                                                | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     78000 | PA      | $72938.58     | 0.04%             | 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        |    268000 | PA      | $239093.52    | 0.12%             | 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        |    142420 | PA      | $79650.08     | 0.04%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                      | AGL CLO 12 Ltd                                                                                                                 | CUSIP: 00120BAJ9<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $462921.50    | 0.23%             | 2034-07-20      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31417EJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251152 | PA      | $241976.84    | 0.12%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                                                                            | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    778000 | PA      | $701094.70    | 0.36%             | 2028-01-19      | Fixed         | 2.80%                 | 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        |    600000 | PA      | $528887.94    | 0.27%             | 2049-11-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 30711XEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378161 | PA      | $384590.97    | 0.20%             | 2029-05-25      | Floating      | 14.01%                | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond - WI Reopening                                                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    728200 | PA      | $749590.88    | 0.38%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132XXD22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138852 | PA      | $140168.57    | 0.07%             | 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        |    457000 | PA      | $358030.94    | 0.18%             | 2048-05-19      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                         | IQVIA Inc                                                                                                                      | CUSIP: 000000000<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91378.25     | 0.05%             | 2029-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2019-IMC                                                                                          | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141649 | PA      | $135136.91    | 0.07%             | 2034-04-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                  | Altice France SA/France                                                                                                        | CUSIP: 000000000<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    181000 | PA      | $154373.30    | 0.08%             | 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        |    845000 | PA      | $874541.20    | 0.44%             | 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        |    699000 | PA      | $768900.00    | 0.39%             | 2037-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                          | Octane Receivables Trust 2021-2                                                                                                | CUSIP: 67578AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    541000 | PA      | $482378.92    | 0.24%             | 2029-05-21      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD EUR                                                                                                       | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-89842.54    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2021-3                                                                                            | CUSIP: 91679LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480000 | PA      | $449133.74    | 0.23%             | 2031-07-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                   | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    547000 | PA      | $502167.88    | 0.25%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                  | Bellemeade Re Ltd                                                                                                              | CUSIP: 07876MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    398004 | PA      | $391844.61    | 0.20%             | 2031-03-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                    | ACM Auto Trust 2022-1                                                                                                          | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86344 | PA      | $86168.20     | 0.04%             | 2029-04-20      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                   | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    240000 | PA      | $223908.00    | 0.11%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                          | Celanese US Holdings LLC                                                                                                       | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    455000 | PA      | $457652.65    | 0.23%             | 2024-07-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                         | ONEOK Inc                                                                                                                      | CUSIP: 682680AW3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    425000 | PA      | $405042.00    | 0.21%             | 2029-03-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 3136ATV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    661358 | PA      | $72205.01     | 0.04%             | 2046-10-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2020-SBT1                                                                                  | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $990172.90    | 0.50%             | 2040-02-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                     | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    136000 | PA      | $121832.88    | 0.06%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HP INC                                            | HP Inc                                                                                                                         | CUSIP: 40434LAN5<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |    592000 | PA      | $581515.68    | 0.30%             | 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        |    298219 | PA      | $252511.75    | 0.13%             | 2051-04-30      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | Long: IS2K0F1   TRS USD R V 00MSOFR IS2K0G2 IBOXXTRS / Short: IS2K0F1   TRS USD P F  1.00000 IS2K0F1 IBOXXTRS                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |  13100000 | OU      | $-326928.22   | -0.17%            |  |  |  | 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        |   3335031 | NS      | $3335030.91   | 1.69%             |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA HOLDINGS INC                               | Nomura Holdings Inc                                                                                                            | CUSIP: 65535HBG3<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    324000 | PA      | $328289.76    | 0.17%             | 2026-01-09      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 3137FTV38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1842927 | PA      | $189545.58    | 0.10%             | 2050-06-25      | Floating      | 1.59%                 | 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        |    542000 | PA      | $476300.01    | 0.24%             | 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        |    275459 | PA      | $290736.06    | 0.15%             | 2028-04-25      | Floating      | 10.21%                | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    319000 | PA      | $242468.71    | 0.12%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138EHUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142301 | PA      | $137156.45    | 0.07%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    205700 | PA      | $215760.02    | 0.11%             | 2032-11-15      | Fixed         | 4.12%                 | 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        |    388665 | PA      | $316603.67    | 0.16%             | 2045-05-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHF Trust 2021-2                                  | FHF Trust 2021-2                                                                                                               | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166159 | PA      | $158599.12    | 0.08%             | 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        |    316234 | PA      | $312363.30    | 0.16%             | 2025-10-20      | Fixed         | 4.50%                 | 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        |    382371 | PA      | $373527.36    | 0.19%             | 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        |    266000 | PA      | $244832.60    | 0.12%             | 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        |    477135 | PA      | $763.42       | 0.00%             | 2058-09-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                         | College Ave Student Loans 2021-C LLC                                                                                           | CUSIP: 19424WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213200 | PA      | $179610.87    | 0.09%             | 2055-07-26      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       114 | NC      | $523737.53    | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31385XJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51983 | PA      | $53745.17     | 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        |    540000 | PA      | $529875.00    | 0.27%             | 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        |    178636 | PA      | $167062.49    | 0.08%             | 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        |    298000 | PA      | $266966.28    | 0.14%             | 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        |    322000 | PA      | $264094.74    | 0.13%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                     | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    449000 | PA      | $399169.98    | 0.20%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1364000 | PA      | $1390001.25   | 0.71%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                                                                | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    360000 | PA      | $346561.20    | 0.18%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HFX FUNDING ISSUER                                | HFX FUNDING ISSUER                                                                                                             | CUSIP: 40422GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710000 | PA      | $679544.76    | 0.34%             | 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        |    306000 | PA      | $235711.80    | 0.12%             | 2041-07-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                          | Fox Corp                                                                                                                       | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    240000 | PA      | $237206.40    | 0.12%             | 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        |      4122 | PA      | $534.77       | 0.00%             | 2041-12-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132Y3ZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435427 | PA      | $438875.04    | 0.22%             | 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        |    181000 | PA      | $177077.11    | 0.09%             | 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        |    610000 | PA      | $614928.80    | 0.31%             | 2025-12-15      | Fixed         | 5.55%                 | 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        |    241247 | PA      | $230492.69    | 0.12%             | 2028-06-12      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -26 | NC      | $6839.14      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| L Street Securities                               | Wells Fargo Credit Risk Transfer Securities Trust 2015                                                                         | CUSIP: 949771AC3<br>LEI: 549300T6W1U156OOG754 | Long             | ABS-MBS          | CORP              | US        |    117982 | PA      | $109653.75    | 0.06%             | 2025-11-25      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                      | Eagle RE 2021-2 Ltd                                                                                                            | CUSIP: 26982AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    253783 | PA      | $251307.96    | 0.13%             | 2034-04-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                     | Carnival Corp                                                                                                                  | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    712000 | PA      | $613765.36    | 0.31%             | 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        |    512666 | PA      | $458866.21    | 0.23%             | 2041-12-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1585403 | PA      | $1439000.23   | 0.73%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                            | Anglo American Capital PLC                                                                                                     | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    238000 | PA      | $221786.25    | 0.11%             | 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        |     32164 | OU      | $-7845.35     | -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        |   2000000 | OU      | $228057.89    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2021-Z1                                                                                      | CUSIP: 00834CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110161 | PA      | $107258.34    | 0.05%             | 2025-08-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD JPY                                                                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-212803.40   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31371K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23593 | PA      | $24393.46     | 0.01%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                               | Bank of Nova Scotia/The                                                                                                        | CUSIP: 06417XAN1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    394000 | PA      | $393787.24    | 0.20%             | 2026-02-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2018-R07                                                                                   | CUSIP: 20753QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21640 | PA      | $21666.74     | 0.01%             | 2031-04-25      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                     | UniCredit SpA                                                                                                                  | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    391000 | PA      | $353819.81    | 0.18%             | 2026-09-22      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| FLOWSERVE CORPORATION                             | Flowserve Corp                                                                                                                 | CUSIP: 34355JAB4<br>LEI: 6Y0GK87T6V7NJKZJVM41 | Long             | DBT              | CORP              | US        |    425000 | PA      | $339524.00    | 0.17%             | 2032-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                                                                      | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    217000 | PA      | $230994.33    | 0.12%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                                                                | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    607000 | PA      | $627965.78    | 0.32%             | 2026-11-21      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                     | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    417555 | PA      | $383601.31    | 0.19%             | 2053-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2019-1 Ltd                                                                                                            | CUSIP: 92917NAS7<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |    210000 | PA      | $188682.69    | 0.10%             | 2031-04-15      | Floating      | 7.64%                 | 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        |     25000 | PA      | $22650.40     | 0.01%             | 2026-08-15      | Variable      | 2.64%                 | No            |                  3 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 30711XCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148597 | PA      | $166694.05    | 0.08%             | 2028-09-25      | Floating      | 16.76%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 3132DNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    661430 | PA      | $583786.53    | 0.30%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                                | Advance Auto Parts Inc                                                                                                         | CUSIP: 00751YAE6<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |    811000 | PA      | $738374.95    | 0.37%             | 2030-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                                                                      | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    545000 | PA      | $469721.88    | 0.24%             | 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        |    171665 | PA      | $171368.33    | 0.09%             | 2049-03-10      | Fixed         | 2.58%                 | 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        |   1330000 | PA      | $1259670.53   | 0.64%             | 2033-11-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                     | Radnor RE 2019-1 Ltd                                                                                                           | CUSIP: 75049SAB9<br>LEI: 254900JBDDKUTX6TX151 | Long             | ABS-MBS          | CORP              | BM        |    635336 | PA      | $630207.32    | 0.32%             | 2029-02-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                        | US Bancorp                                                                                                                     | CUSIP: 902973AZ9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    380000 | PA      | $358051.20    | 0.18%             | 2027-04-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                       | Cargill Inc                                                                                                                    | CUSIP: 141781BZ6<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    248000 | PA      | $258294.48    | 0.13%             | 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        |    294000 | PA      | $297948.42    | 0.15%             | 2026-07-14      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2013-C11                                                                                       | CUSIP: 92937EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    424901 | PA      | $414284.40    | 0.21%             | 2045-03-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                                                                                    | CUSIP: 912796ZD4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   4962600 | PA      | $4776718.92   | 2.42%             | 2023-11-30      | None          | 0.00%                 | 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        |    237783 | PA      | $239986.06    | 0.12%             | 2050-10-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 3136AX4B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11196 | PA      | $1345.44      | 0.00%             | 2047-10-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                                                               | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    273000 | PA      | $251468.49    | 0.13%             | 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        |    463000 | PA      | $379622.96    | 0.19%             | 2031-02-25      | Fixed         | 4.62%                 | No            |                  1 | On Loan: No      |
| Chase Mortgage Finance Corporation                | JPMorgan Chase Bank NA - CHASE                                                                                                 | CUSIP: 46591HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89267 | PA      | $85485.55     | 0.04%             | 2047-04-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                 | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    358000 | PA      | $347968.84    | 0.18%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| OEC FINANCE LTD                                   | OEC Finance Ltd                                                                                                                | CUSIP: 67614CAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    260826 | PA      | $11124.23     | 0.01%             | 2046-12-26      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2019-BPR                                                                                        | CUSIP: 61769GAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $485229.21    | 0.25%             | 2036-05-15      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                             | Caesars Entertainment Inc                                                                                                      | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    112000 | PA      | $114130.24    | 0.06%             | 2030-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 3133B93R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    612071 | PA      | $538499.39    | 0.27%             | 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        |   1051826 | PA      | $925395.72    | 0.47%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                       | CUSIP: 38373MVZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    409716 | PA      | $4.10         | 0.00%             | 2046-07-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ALFA S.A.                                         | Alfa SAB de CV                                                                                                                 | CUSIP: 015398AB6<br>LEI: 549300ZCGJ6T8YDJ4M34 | Long             | DBT              | CORP              | MX        |    530000 | PA      | $525793.13    | 0.27%             | 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        |     32000 | PA      | $32403.52     | 0.02%             | 2028-08-01      | Fixed         | 4.75%                 | 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        |    100000 | PA      | $94956.06     | 0.05%             | 2028-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2020-SBT1                                                                                  | CUSIP: 20753VCZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $302099.97    | 0.15%             | 2040-02-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                   | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     53000 | PA      | $49611.18     | 0.03%             | 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        |    237000 | PA      | $178638.75    | 0.09%             | 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        |    187250 | PA      | $106926.17    | 0.05%             | 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        |    138885 | PA      | $119517.07    | 0.06%             | 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        |    164547 | PA      | $159038.26    | 0.08%             | 2023-02-27      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                    | Pikes Peak CLO 8                                                                                                               | CUSIP: 72133CAA0<br>LEI: 549300NJA5BS4BQQJL72 | Long             | ABS-CBDO         | CORP              | KY        |    675000 | PA      | $666143.33    | 0.34%             | 2034-07-20      | Floating      | 5.98%                 | 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        |     32164 | OU      | $-7845.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                           | CUSIP: 3137G0LA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    671777 | PA      | $685194.35    | 0.35%             | 2029-03-25      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| NH HOTEL GROUP SA                                 | NH Hotel Group SA                                                                                                              | CUSIP: 000000000<br>LEI: 959800LM1RW3PKJ4A296 | Long             | DBT              | CORP              | ES        |    181000 | PA      | $184517.14    | 0.09%             | 2026-07-02      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                  | Bellemeade Re 2022-1 Ltd                                                                                                       | CUSIP: 078774AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    672052 | PA      | $625660.52    | 0.32%             | 2032-01-26      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2016-LC25                                                                                | CUSIP: 95000JBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545000 | PA      | $476841.76    | 0.24%             | 2059-12-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                     | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    994290 | PA      | $966239.39    | 0.49%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                               | Synchrony Financial                                                                                                            | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    420000 | PA      | $326932.20    | 0.17%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                            | PNC Financial Services Group Inc/The                                                                                           | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    112000 | PA      | $112926.24    | 0.06%             | 2034-01-24      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                               | Intesa Sanpaolo SpA                                                                                                            | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    288000 | PA      | $280581.12    | 0.14%             | 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        |    437924 | PA      | $155143.60    | 0.08%             | 2036-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                                                                            | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    288000 | PA      | $289039.68    | 0.15%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96298 | PA      | $100675.96    | 0.05%             | 2025-07-25      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                                                                            | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    290000 | PA      | $257476.50    | 0.13%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | Long: IS1BZI3   CDS USD R F  3.00000 IS1BZI3 CMBX-BBB--408196 / Short: IS1BZI3   CDS USD P V 00MEVENT IS1BZJ4 CMBX-BBB--408196 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     16082 | OU      | $-3922.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 3133B6UF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1286199 | PA      | $1176364.95   | 0.60%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                 | HSBC Holdings PLC                                                                                                              | CUSIP: 404280BX6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    240000 | PA      | $233692.80    | 0.12%             | 2026-09-12      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                   | Nissan Motor Co Ltd                                                                                                            | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   1120000 | PA      | $1053416.00   | 0.53%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                     | Aircastle Ltd                                                                                                                  | CUSIP: 00928QAS0<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     53000 | PA      | $51093.06     | 0.03%             | 2026-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NATURA COSMETICOS SA                              | Natura Cosmeticos SA                                                                                                           | CUSIP: 63883KAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |    283000 | PA      | $233531.60    | 0.12%             | 2028-05-03      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    992300 | PA      | $934157.42    | 0.47%             | 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        |     82062 | PA      | $59301.21     | 0.03%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                          | Comision Federal de Electricidad                                                                                               | CUSIP: 200447AL4<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    295000 | PA      | $270717.81    | 0.14%             | 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        |    178000 | PA      | $148432.42    | 0.08%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                                                              | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    260000 | PA      | $275046.20    | 0.14%             | 2026-11-10      | Fixed         | 7.47%                 | 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        |    980000 | PA      | $868478.94    | 0.44%             | 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        |     15329 | PA      | $15879.38     | 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        |    562000 | PA      | $598333.30    | 0.30%             | 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        |    844659 | PA      | $742602.73    | 0.38%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                     | UniCredit SpA                                                                                                                  | CUSIP: 904678AY5<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    356000 | PA      | $287519.84    | 0.15%             | 2032-06-03      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2614500 | PA      | $2639827.97   | 1.34%             | 2027-12-31      | Fixed         | 3.88%                 | 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        |    635000 | PA      | $583384.03    | 0.30%             | 2030-07-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                       | OCP CLO 2020-18 Ltd                                                                                                            | CUSIP: 671078AN3<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |    761000 | PA      | $753339.01    | 0.38%             | 2032-07-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AJ7<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    255000 | PA      | $237221.40    | 0.12%             | 2023-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                                                              | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    323000 | PA      | $341000.79    | 0.17%             | 2026-11-03      | Fixed         | 7.34%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                              | Tencent Holdings Ltd                                                                                                           | CUSIP: 88032WAV8<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    328000 | PA      | $224741.50    | 0.11%             | 2050-06-03      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Peace Park CLO, Ltd.                              | Peace Park CLO Ltd                                                                                                             | CUSIP: 70470MAL9<br>LEI: 549300XHXTUZ93V6SK42 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $281022.30    | 0.14%             | 2034-10-20      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                  | Bellemeade Re 2019-1 Ltd                                                                                                       | CUSIP: 07876RAB2<br>LEI: 254900K56RF3Z7VQ3U81 | Long             | ABS-MBS          | CORP              | BM        |      8270 | PA      | $8268.47      | 0.00%             | 2029-03-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| MT LOGAN RE LTD                                   | MT LOGAN RE LTD                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | BM        |       156 | NS      | $132140.62    | 0.07%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95265 | PA      | $97189.34     | 0.05%             | 2025-05-25      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                          | Brex Commercial Charge Card Master Trust                                                                                       | CUSIP: 05601DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    397000 | PA      | $393349.15    | 0.20%             | 2024-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                   | Sealed Air Corp                                                                                                                | CUSIP: 81211KAY6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    379000 | PA      | $350502.99    | 0.18%             | 2027-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                             | Continental Resources Inc/OK                                                                                                   | CUSIP: 212015AV3<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    454000 | PA      | $355028.00    | 0.18%             | 2032-04-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                           | CUSIP: 3137G0HJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169669 | PA      | $174749.39    | 0.09%             | 2028-05-25      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                     | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2289000 | PA      | $2272855.00   | 1.15%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140MA4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    804866 | PA      | $707617.56    | 0.36%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                      | KBC Group NV                                                                                                                   | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    232000 | PA      | $235370.96    | 0.12%             | 2029-01-19      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                                                               | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $966948.75    | 0.49%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                            | Standard Chartered PLC                                                                                                         | CUSIP: 853254AA8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $349460.00    | 0.18%             | 2027-01-30      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                               | Altice Financing SA                                                                                                            | CUSIP: 000000000<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    181000 | PA      | $157319.01    | 0.08%             | 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        |    257950 | PA      | $226188.01    | 0.11%             | 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        |    504000 | PA      | $575779.68    | 0.29%             | 2033-11-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| STILLWATER MINING CO                              | Stillwater Mining Co                                                                                                           | CUSIP: 86074QAP7<br>LEI: 6354007DPCY4ZN2MRR73 | Long             | DBT              | CORP              | US        |    446000 | PA      | $412550.00    | 0.21%             | 2026-11-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Atalaya Equipment Leasing Fund I LP               | Atalaya Equipment Leasing Trust 21-1                                                                                           | CUSIP: 046497AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $565105.50    | 0.29%             | 2028-06-15      | Fixed         | 2.69%                 | 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        |    198000 | PA      | $163351.98    | 0.08%             | 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        |     73104 | PA      | $69193.02     | 0.04%             | 2051-01-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                     | Radnor RE 2020-1 Ltd                                                                                                           | CUSIP: 750493AA6<br>LEI: 254900YVLP8CB4GC2O97 | Long             | ABS-MBS          | CORP              | BM        |     82443 | PA      | $82378.05     | 0.04%             | 2030-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                           | Honeywell International Inc                                                                                                    | CUSIP: 000000000<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    410000 | PA      | $457735.18    | 0.23%             | 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        |     73200 | PA      | $70752.68     | 0.04%             | 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        |    653000 | PA      | $534358.06    | 0.27%             | 2031-02-09      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Sec Corp Mort Pass Thr Cert Ser 2002-3                                                                        | CUSIP: 86358RWW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    452359 | PA      | $81118.25     | 0.04%             | 2032-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                        | Fiserv Inc                                                                                                                     | CUSIP: 337738AU2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    869000 | PA      | $809021.62    | 0.41%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                   | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    187000 | PA      | $170790.84    | 0.09%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Neighborly Issuer LLC                             | Neighborly Issuer 2023-1                                                                                                       | CUSIP: 64016NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    395000 | PA      | $387100.00    | 0.20%             | 2053-01-30      | Fixed         | 7.31%                 | No            |                  2 | On Loan: No      |
| AB Issuer LLC                                     | AB Issuer LLC                                                                                                                  | CUSIP: 00091JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    739412 | PA      | $611314.46    | 0.31%             | 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        |    671782 | PA      | $591033.46    | 0.30%             | 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        |    178000 | PA      | $175678.88    | 0.09%             | 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        |    655005 | PA      | $576682.86    | 0.29%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | 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        |    755000 | PA      | $745011.05    | 0.38%             | 2025-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                   | MVW 2021-2 LLC                                                                                                                 | CUSIP: 55400KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    682298 | PA      | $605566.25    | 0.31%             | 2039-05-20      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3128M43N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12811 | PA      | $13289.48     | 0.01%             | 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        |   1116300 | PA      | $1031182.13   | 0.52%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR Trust 2019-DNA1                                                                                              | CUSIP: 35563KBE9<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $833082.98    | 0.42%             | 2049-01-25      | Floating      | 15.26%                | No            |                  2 | 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        |   7540000 | OU      | $-252827.61   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                     | CUSIP: 05369AAF8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    135000 | PA      | $132502.50    | 0.07%             | 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        |    566248 | PA      | $535565.97    | 0.27%             | 2034-04-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS ESCROW CORP                              | Entegris Escrow Corp                                                                                                           | CUSIP: 29365BAA1<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |    395000 | PA      | $370596.90    | 0.19%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4891000 | PA      | $4116542.92   | 2.09%             | 2053-02-15      | Fixed         | 2.00%                 | 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        |    503814 | PA      | $494258.16    | 0.25%             | 2034-07-20      | Floating      | 5.97%                 | 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        |    520000 | PA      | $391450.80    | 0.20%             | 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        |    219000 | PA      | $224037.00    | 0.11%             | 2028-01-17      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                        | Zoetis Inc                                                                                                                     | CUSIP: 98978VAU7<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    347000 | PA      | $354845.67    | 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        |    381000 | PA      | $377898.66    | 0.19%             | 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        |    396000 | PA      | $334319.04    | 0.17%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                               | Suzano Austria GmbH                                                                                                            | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    145000 | PA      | $123692.25    | 0.06%             | 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        |    232000 | PA      | $227650.00    | 0.12%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-DNA3                                                                                        | CUSIP: 35564KFG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    650624 | PA      | $620952.10    | 0.32%             | 2033-10-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31402C4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6325 | PA      | $6551.71      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2022-R01                                                                                   | CUSIP: 20754LAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    625230 | PA      | $594817.69    | 0.30%             | 2041-12-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2021-Z2                                                                                      | CUSIP: 00834TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109944 | PA      | $105455.70    | 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        |    230841 | PA      | $222444.40    | 0.11%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                                                                         | CUSIP: 853254CJ7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    268000 | PA      | $259091.68    | 0.13%             | 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        |     30863 | PA      | $32010.17     | 0.02%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CGG0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1250700 | PA      | $1248745.78   | 0.63%             | 2025-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO IX Ltd                                | Elmwood CLO IX Ltd                                                                                                             | CUSIP: 29003UAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $660523.50    | 0.34%             | 2034-07-20      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2013-C11                                                                                       | CUSIP: 92937EAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2045-03-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138WPG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    783062 | PA      | $755653.42    | 0.38%             | 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        |    797000 | PA      | $713307.03    | 0.36%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2019-R01                                                                                   | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75342 | PA      | $75435.46     | 0.04%             | 2031-07-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                     | Aircastle Ltd                                                                                                                  | CUSIP: 00928QAU5<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    835000 | PA      | $727092.95    | 0.37%             | 2028-01-26      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| VIRGOLINO DE OLIVEIRA FI                          | Virgolino de Oliveira Finance SA                                                                                               | CUSIP: 92824BAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    660000 | PA      | $66.00        | 0.00%             | 2018-01-28      | Fixed         | 10.50%                | No            |                  3 | On Loan: No      |
| Genworth Mortgage Insurance Corporation           | Triangle Re 2021-3 Ltd                                                                                                         | CUSIP: 89600HAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    530000 | PA      | $514228.05    | 0.26%             | 2034-02-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| OEC FINANCE LTD                                   | OEC Finance Ltd                                                                                                                | CUSIP: 67614CAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    205732 | PA      | $4840.87      | 0.00%             | 2033-12-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138WJKX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453038 | PA      | $430895.09    | 0.22%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                          | CUSIP: 31335AY51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    522319 | PA      | $518026.09    | 0.26%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                    | Lowe's Cos Inc                                                                                                                 | CUSIP: 548661EN3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    336000 | PA      | $349584.48    | 0.18%             | 2062-09-15      | Fixed         | 5.80%                 | 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        |    136000 | PA      | $116277.28    | 0.06%             | 2030-08-15      | Fixed         | 4.50%                 | 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        |    325000 | PA      | $326417.00    | 0.17%             | 2028-11-25      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust                           | HomeBanc Mortgage Trust 2005-1                                                                                                 | CUSIP: 43739EAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76386 | PA      | $65442.48     | 0.03%             | 2035-03-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED JPY / SOLD USD                                                                                                       | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | JP        |         1 | NC      | $129115.29    | 0.07%             |  |  |  | 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        |    277000 | PA      | $285348.78    | 0.14%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 3136ASJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2595930 | PA      | $418753.80    | 0.21%             | 2046-06-25      | Fixed         | 5.00%                 | 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        |     98868 | PA      | $96378.94     | 0.05%             | 2031-11-27      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                               | Charles Schwab Corp/The                                                                                                        | CUSIP: 808513BD6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    260000 | PA      | $258863.80    | 0.13%             | 2025-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| INFOR INC                                         | Infor Inc                                                                                                                      | CUSIP: 45674CAA1<br>LEI: 549300Q3IIYBYI4RHD64 | Long             | DBT              | CORP              | US        |    279000 | PA      | $253722.60    | 0.13%             | 2025-07-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR Trust 2019-FTR2                                                                                              | CUSIP: 35564WBD4<br>LEI: 5493008J93RJW7PJFN93 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $697457.33    | 0.35%             | 2048-11-25      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2021-R03                                                                                   | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $240341.68    | 0.12%             | 2041-12-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                             | CUSIP: 3137FAXY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    598144 | PA      | $68587.56     | 0.03%             | 2047-09-15      | Floating      | 1.69%                 | 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        |     27457 | PA      | $26089.71     | 0.01%             | 2025-11-25      | Floating      | 10.01%                | 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        |    960000 | PA      | $612714.05    | 0.31%             | 2037-03-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7937200 | PA      | $7933479.44   | 4.03%             | 2024-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                    | Air Lease Corp                                                                                                                 | CUSIP: 00912XAV6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     34000 | PA      | $31979.72     | 0.02%             | 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        |   1201000 | PA      | $858799.07    | 0.44%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                       | Balboa Bay Loan Funding 2021-1 Ltd                                                                                             | CUSIP: 05765XAJ0<br>LEI: 549300G0EX8VHFWPJW18 | Long             | ABS-CBDO         | CORP              | KY        |    709386 | PA      | $637697.58    | 0.32%             | 2034-07-20      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| Diamond Issuer LLC                                | Diamond Issuer                                                                                                                 | CUSIP: 25267TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565855 | PA      | $473902.09    | 0.24%             | 2051-11-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| APCOA PARKING HOLDINGS G                          | APCOA Parking Holdings GmbH                                                                                                    | CUSIP: 000000000<br>LEI: 529900H8FIYAOV5FUW68 | Long             | DBT              | CORP              | DE        |    181000 | PA      | $170630.79    | 0.09%             | 2027-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 3136AQVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    854175 | PA      | $96853.92     | 0.05%             | 2045-12-25      | Floating      | 1.64%                 | 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        |    251646 | PA      | $104489.84    | 0.05%             | 2044-08-10      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376639 | PA      | $383608.59    | 0.19%             | 2029-04-25      | Floating      | 13.76%                | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                               | Charles Schwab Corp/The                                                                                                        | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    469000 | PA      | $431958.38    | 0.22%             | 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        |    400000 | PA      | $387660.00    | 0.20%             | 2049-04-02      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                                | Regal Rexnord Corp                                                                                                             | CUSIP: 758750AC7<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |    401000 | PA      | $407019.01    | 0.21%             | 2026-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                  | BAT Capital Corp                                                                                                               | CUSIP: 05526DBN4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    196000 | PA      | $185423.84    | 0.09%             | 2030-04-02      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                                                                     | CUSIP: 14040HCX1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    118000 | PA      | $118695.02    | 0.06%             | 2029-02-01      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                                                                             | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $380332.00    | 0.19%             | 2028-03-24      | Fixed         | 4.17%                 | 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        |    188682 | PA      | $174523.06    | 0.09%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                         | Apple Inc                                                                                                                      | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    350000 | PA      | $312252.50    | 0.16%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MT LOGAN RE LTD                                   | MT LOGAN RE LTD                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | BM        |       143 | NS      | $121409.13    | 0.06%             |  |  |  | No            |                  3 | On Loan: No      |
| CDBL FUNDING 1                                    | CDBL Funding 1                                                                                                                 | CUSIP: 000000000<br>LEI: 254900PLOF8VWTAH3F83 | Long             | DBT              | CORP              | KY        |    580000 | PA      | $544156.00    | 0.28%             | 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        |    805979 | PA      | $776262.55    | 0.39%             | 2041-11-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| State of California                               | CALIFORNIA ST                                                                                                                  | CUSIP: 13063BFR8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    970000 | PA      | $1285126.33   | 0.65%             | 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        |    310925 | PA      | $313391.44    | 0.16%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Neighborly Issuer LLC                             | Neighborly Issuer 2022-1                                                                                                       | CUSIP: 64016NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    363330 | PA      | $302801.40    | 0.15%             | 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        |    163116 | PA      | $159017.62    | 0.08%             | 2034-07-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd                                     | Aircastle Ltd                                                                                                                  | CUSIP: 00928QAQ4<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    152000 | PA      | $148817.12    | 0.08%             | 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        |    679000 | PA      | $501314.19    | 0.25%             | 2028-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Marathon Oil Corp                                 | Marathon Oil Corp                                                                                                              | CUSIP: 565849AB2<br>LEI: 1FRVQX2CRLGC1XLP5727 | Long             | DBT              | CORP              | US        |    650000 | PA      | $698197.50    | 0.35%             | 2032-03-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                                                | CUSIP: 718172CU1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    303000 | PA      | $307078.38    | 0.16%             | 2025-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA1                                                                                        | CUSIP: 35564KQC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    805673 | PA      | $749307.23    | 0.38%             | 2042-01-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                              | Kyndryl Holdings Inc                                                                                                           | CUSIP: 50155QAJ9<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |    869000 | PA      | $749303.94    | 0.38%             | 2026-10-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140Q9T45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437561 | PA      | $441032.12    | 0.22%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                         | Prosus NV                                                                                                                      | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    219000 | PA      | $198742.50    | 0.10%             | 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        |    263000 | PA      | $261759.80    | 0.13%             | 2029-07-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31410GV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156561 | PA      | $162378.34    | 0.08%             | 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        |    330000 | PA      | $292050.00    | 0.15%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                 | HSBC Holdings PLC                                                                                                              | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    224000 | PA      | $217017.92    | 0.11%             | 2029-06-19      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Regatta XX Funding Ltd                            | Regatta XX Funding Ltd                                                                                                         | CUSIP: 75884YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1018889 | PA      | $1002027.41   | 0.51%             | 2034-10-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                 | TSMC Arizona Corp                                                                                                              | CUSIP: 872898AF8<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |    241000 | PA      | $235293.12    | 0.12%             | 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        |    349000 | PA      | $291371.38    | 0.15%             | 2030-01-28      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                                                                                    | CUSIP: 912796V48<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    940000 | PA      | $930763.72    | 0.47%             | 2023-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                              | Booking Holdings Inc                                                                                                           | CUSIP: 000000000<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |    320000 | PA      | $363163.87    | 0.18%             | 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        |     45703 | PA      | $19470.10     | 0.01%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VZ VENDOR FINANCING                               | VZ Vendor Financing II BV                                                                                                      | CUSIP: 000000000<br>LEI: 724500DRKUUR3GFOSK76 | Long             | DBT              | CORP              | NL        |    181000 | PA      | $154564.17    | 0.08%             | 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        |    390000 | PA      | $378342.90    | 0.19%             | 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        |    335000 | PA      | $328846.05    | 0.17%             | 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        |     75793 | PA      | $78929.76     | 0.04%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                 | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    309000 | PA      | $294841.92    | 0.15%             | 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        |    265000 | PA      | $256755.85    | 0.13%             | 2025-11-26      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAP LLC                            | CNH Industrial Capital LLC                                                                                                     | CUSIP: 12592BAN4<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |    375000 | PA      | $367218.75    | 0.19%             | 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        |     72000 | PA      | $67565.52     | 0.03%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                                                                     | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4716.80      | 0.00%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | Long: IS1C2T6   CDS USD R F  3.00000 IS1C2T6 CMBX-BBB--408891 / Short: IS1C2T6   CDS USD P V 00MEVENT IS1C2U7 CMBX-BBB--408891 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     64328 | OU      | $-15690.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                     | UniCredit SpA                                                                                                                  | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    205000 | PA      | $180002.30    | 0.09%             | 2027-06-03      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                 | ONEOK Partners LP                                                                                                              | CUSIP: 68268NAG8<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     48000 | PA      | $48815.52     | 0.02%             | 2041-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                      | SK Hynix Inc                                                                                                                   | CUSIP: 78392BAC1<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |    280000 | PA      | $210927.50    | 0.11%             | 2031-01-19      | Fixed         | 2.38%                 | 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        |     56633 | PA      | $51785.67     | 0.03%             | 2035-05-28      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                       | Hertz Vehicle Financing III LLC                                                                                                | CUSIP: 42806MAL3<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $411432.66    | 0.21%             | 2026-06-25      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                               | Intesa Sanpaolo SpA                                                                                                            | CUSIP: 46115HBU0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    214000 | PA      | $221091.96    | 0.11%             | 2025-11-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 3133KNWY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1938341 | PA      | $1639166.13   | 0.83%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                                                                     | CUSIP: 458140CC2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    467000 | PA      | $436943.88    | 0.22%             | 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        |    312000 | PA      | $314377.44    | 0.16%             | 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        |    249549 | PA      | $243641.62    | 0.12%             | 2023-05-27      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                                                                    | CUSIP: 68389XAM7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87874.20     | 0.04%             | 2040-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140F4MJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101152 | PA      | $96271.52     | 0.05%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                          | International Business Machines Corp                                                                                           | CUSIP: 459200KV2<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    457000 | PA      | $444601.59    | 0.23%             | 2052-07-27      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2007-QS4 Trust                                                                                                     | CUSIP: 74923HAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499736 | PA      | $106123.58    | 0.05%             | 2037-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                          | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5906429 | PA      | $5169506.89   | 2.62%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 31346YAV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244187 | PA      | $233198.01    | 0.12%             | 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        |     28000 | PA      | $27536.32     | 0.01%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31419LZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216158 | PA      | $214140.55    | 0.11%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                     | Radnor RE 2019-2 Ltd                                                                                                           | CUSIP: 75049TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     25172 | PA      | $25158.25     | 0.01%             | 2029-06-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                                                                   | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    384000 | PA      | $415983.36    | 0.21%             | 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        |   1549400 | PA      | $1388649.75   | 0.70%             | 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        |    534000 | PA      | $599890.26    | 0.30%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                          | Delta Air Lines Inc / SkyMiles IP Ltd                                                                                          | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    401000 | PA      | $389872.25    | 0.20%             | 2028-10-20      | Fixed         | 4.75%                 | 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        |    581389 | PA      | $571492.60    | 0.29%             | 2034-04-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Hardee's Funding                                  | Hardee's Funding LLC                                                                                                           | CUSIP: 411707AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    326324 | PA      | $311165.93    | 0.16%             | 2048-06-20      | Fixed         | 5.71%                 | 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        |    470000 | PA      | $435590.08    | 0.22%             | 2027-06-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                 | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    144000 | PA      | $152203.68    | 0.08%             | 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        |    346000 | PA      | $306881.24    | 0.16%             | 2043-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                   | SEB Funding LLC                                                                                                                | CUSIP: 78433DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    690270 | PA      | $612474.50    | 0.31%             | 2052-01-30      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31418CFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148156 | PA      | $140914.37    | 0.07%             | 2032-01-01      | Fixed         | 2.50%                 | 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        |    160667 | PA      | $160248.36    | 0.08%             | 2024-03-20      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                                                                  | CUSIP: 172967MU2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    329000 | PA      | $306871.46    | 0.16%             | 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        |    215000 | PA      | $217979.90    | 0.11%             | 2026-09-16      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR Trust 2019-FTR3                                                                                              | CUSIP: 35565EAE2<br>LEI: 5493009ZFZYH4FRCW638 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $590200.94    | 0.30%             | 2047-09-25      | Floating      | 9.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138X6P58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    522982 | PA      | $518999.24    | 0.26%             | 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        |    500000 | PA      | $498217.70    | 0.25%             | 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        |    277445 | PA      | $260179.12    | 0.13%             | 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        |    323000 | PA      | $297786.62    | 0.15%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                                                                | CUSIP: 23636ABF7<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    258000 | PA      | $261857.10    | 0.13%             | 2026-01-09      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| INEOS QUATTRO FINANCE 2                           | INEOS Quattro Finance 2 Plc                                                                                                    | CUSIP: 000000000<br>LEI: 213800V48W4Y5MT5Q131 | Long             | DBT              | CORP              | GB        |    313000 | PA      | $303589.27    | 0.15%             | 2026-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL LTD                       | CLNY Trust 2019-IKPR                                                                                                           | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $503481.74    | 0.26%             | 2038-11-15      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6                                                                   | CUSIP: 46634SAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    638733 | PA      | $593810.41    | 0.30%             | 2045-05-15      | Variable      | 4.96%                 | 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        |    408720 | PA      | $356300.84    | 0.18%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2019-R06                                                                                   | CUSIP: 20754JAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5060 | PA      | $5060.42      | 0.00%             | 2039-09-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                                                               | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14915000 | PA      | $15064150.00  | 7.64%             | 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        |     73761 | PA      | $68982.17     | 0.04%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                | JP Morgan Alternative Loan Trust                                                                                               | CUSIP: 46628UAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    358504 | PA      | $283003.84    | 0.14%             | 2036-07-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22231 | PA      | $23078.66     | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AES PANAMA GENERATION HL                          | AES Panama Generation Holdings SRL                                                                                             | CUSIP: 00109AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | PA        |    274000 | PA      | $243911.38    | 0.12%             | 2030-05-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2016-LC24                                                                                | CUSIP: 95000HBJ0<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |   7544216 | PA      | $337464.86    | 0.17%             | 2049-10-15      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                               | CUSIP: 3133A1B92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    697926 | PA      | $668263.28    | 0.34%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 3136AXSW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    722228 | PA      | $89740.96     | 0.05%             | 2047-08-25      | Floating      | 1.64%                 | 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        |    692000 | PA      | $675526.87    | 0.34%             | 2037-10-15      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                          | Fox Corp                                                                                                                       | CUSIP: 35137LAK1<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    407000 | PA      | $393271.89    | 0.20%             | 2049-01-25      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                    | Var Energi ASA                                                                                                                 | CUSIP: 92212WAE0<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |    402000 | PA      | $440266.38    | 0.22%             | 2032-11-15      | Fixed         | 8.00%                 | 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        |    146000 | PA      | $124064.96    | 0.06%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140JYGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560177 | PA      | $534968.71    | 0.27%             | 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        |    181000 | PA      | $178157.40    | 0.09%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                    | Var Energi ASA                                                                                                                 | CUSIP: 92212WAD2<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |    314000 | PA      | $330817.84    | 0.17%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                                                      | CUSIP: 3128QPNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8112 | PA      | $8193.15      | 0.00%             | 2037-01-01      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2020-R01                                                                                   | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $481463.95    | 0.24%             | 2040-01-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140HAXF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261960 | PA      | $250580.56    | 0.13%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Dext ABS                                          | Dext ABS 2021-1 LLC                                                                                                            | CUSIP: 23345CAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    519000 | PA      | $467900.04    | 0.24%             | 2028-09-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31402QWA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210980 | PA      | $219358.67    | 0.11%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINL SER                          | Harley-Davidson Financial Services Inc                                                                                         | CUSIP: 41283LBA2<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |    501000 | PA      | $458329.83    | 0.23%             | 2027-02-14      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138WJL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    595254 | PA      | $566159.51    | 0.29%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-LC17 Mortgage Trust                                                                                                  | CUSIP: 12592MBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $764178.32    | 0.39%             | 2047-10-10      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2014-C24                                                                            | CUSIP: 46643GAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    890000 | PA      | $760211.03    | 0.39%             | 2047-11-15      | Variable      | 4.38%                 | 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        |    710788 | PA      | $658441.31    | 0.33%             | 2034-07-20      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                          | CUSIP: 31335A6X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344738 | PA      | $341905.42    | 0.17%             | 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        |    429000 | PA      | $379477.31    | 0.19%             | 2027-07-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 31418CFE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384461 | PA      | $368601.45    | 0.19%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLOBO COMMUNICACOES PART                          | Globo Comunicacao e Participacoes SA                                                                                           | CUSIP: 37959DAB0<br>LEI: 52990054HEKS017PVR75 | Long             | DBT              | CORP              | BR        |    417000 | PA      | $354267.56    | 0.18%             | 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        |   1060000 | PA      | $1020274.70   | 0.52%             | 2038-06-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                                                                         | CUSIP: 853254BT6<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    478000 | PA      | $468999.26    | 0.24%             | 2025-07-26      | Fixed         | 6.00%                 | 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        |    379000 | PA      | $364735.88    | 0.19%             | 2036-07-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2019-3                                                                                              | CUSIP: 33846AAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    960000 | PA      | $901596.38    | 0.46%             | 2026-12-15      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) MAR23                                                                                                        | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |        -7 | NC      | $95189.80     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| BELLEMEADE RE LT                                  | Bellemeade Re 2019-4 Ltd                                                                                                       | CUSIP: 07876LAD1<br>LEI: 254900KXN235YISGF415 | Long             | ABS-MBS          | CORP              | BM        |    540000 | PA      | $522877.30    | 0.27%             | 2029-10-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2022-X1                                                                                      | CUSIP: 00834HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242898 | PA      | $237391.95    | 0.12%             | 2027-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441001 | PA      | $415921.27    | 0.21%             | 2041-11-25      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 3136B0CN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    853651 | PA      | $105208.52    | 0.05%             | 2047-12-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3140FTKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    629158 | PA      | $598799.77    | 0.30%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99227 | PA      | $107518.62    | 0.05%             | 2028-10-25      | Floating      | 16.26%                | No            |                  2 | On Loan: No      |
| Morgan Stanley                                    | Morgan Stanley                                                                                                                 | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    515000 | PA      | $489589.90    | 0.25%             | 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        |     19570 | PA      | $19435.94     | 0.01%             | 2035-04-12      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                                                                    | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    398000 | PA      | $362657.60    | 0.18%             | 2028-02-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE INSURANCE                           | Guardian Life Insurance Co of America/The                                                                                      | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |    294000 | PA      | $261351.30    | 0.13%             | 2077-01-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2019-R02                                                                                   | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9705 | PA      | $9704.78      | 0.00%             | 2031-08-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                          | CUSIP: 3132Y3BL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335044 | PA      | $338011.38    | 0.17%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 30711XLT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203350 | PA      | $207412.13    | 0.11%             | 2029-11-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                                                                       | CUSIP: 30711XEQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $821609.25    | 0.42%             | 2029-07-25      | Floating      | 10.26%                | No            |                  2 | On Loan: No      |
| FED CAISSES DESJARDINS                            | Federation des Caisses Desjardins du Quebec                                                                                    | CUSIP: 31429KAH6<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |    464000 | PA      | $458153.60    | 0.23%             | 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        |    920000 | PA      | $912322.05    | 0.46%             | 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        |    734000 | PA      | $590984.69    | 0.30%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                          | International Business Machines Corp                                                                                           | CUSIP: 459200KW0<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    396000 | PA      | $396403.92    | 0.20%             | 2026-02-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                          | Discovery Communications LLC                                                                                                   | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     81000 | PA      | $68491.98     | 0.03%             | 2049-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                                                                         | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    369000 | PA      | $358273.17    | 0.18%             | 2026-07-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                              | CUSIP: 3136AWCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    844634 | PA      | $101344.52    | 0.05%             | 2047-04-25      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| TERRAFORM GLOBAL OPERATI                          | Terraform Global Operating LP                                                                                                  | CUSIP: 88104UAC7<br>LEI: 549300LC7QMVR79H5O86 | Long             | DBT              | CORP              | US        |     60000 | PA      | $57073.20     | 0.03%             | 2026-03-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                                                                | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     56000 | PA      | $58488.64     | 0.03%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ROSS STORES INC                                   | Ross Stores Inc                                                                                                                | CUSIP: 778296AC7<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |    893000 | PA      | $888552.86    | 0.45%             | 2027-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                     | Aircastle Ltd                                                                                                                  | CUSIP: 00928QAT8<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    384000 | PA      | $375720.96    | 0.19%             | 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        |   2144676 | PA      | $1961533.26   | 1.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                       | Swedbank AB                                                                                                                    | CUSIP: 000000000<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    400000 | PA      | $389000.00    | 0.20%             | 2024-09-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Voya Financial Inc                                | Voya Financial Inc                                                                                                             | CUSIP: 45685EAG1<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |    180000 | PA      | $179240.40    | 0.09%             | 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        |   1691124 | PA      | $1547769.00   | 0.79%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                | CUSIP: 3138MFS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1266870 | PA      | $1221054.40   | 0.62%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-28

**Name of Applicant:** AB BOND FUND, INC.

**Signature:** Joseph Mantineo

**Name of Signer:** Joseph Mantineo

**Title:** Treasurer and Chief Financial Officer